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作者：Belo, Frederico; Lin, Xiaoji; Yang, Fan
作者单位：University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities; University of Connecticut
摘要：We develop a dynamic model with time variation in external equity financing costs and show that variation in these costs is important for the model to quantitatively capture the joint dynamics of firms' asset prices, real quantities, and financial flows in the U.S. economy. Growth firms and high investment firms are less risky in equilibrium, because they can substitute more easily debt financing for equity financing when it becomes more costly to raise external equity, which are high marginal...
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作者：Pool, Veronika K.; Stoffman, Noah; Yonker, Scott E.; Zhang, Hanjiang
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Cornell University; Washington State University
摘要：Using exogenous wealth shocks stemming from the collapse of the housing market, we show that managers who experience substantial losses in their home values subsequently reduce risk in their delegated funds. The decline in fund risk comes through reductions in idiosyncratic risk and tracking error, suggesting that the behavior is likely driven by career concerns. Our paper provides evidence that idiosyncratic personal preferences affect mutual fund managers' professional decisions and offers a...
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作者：Bessembinder, Hendrik; Cooper, Michael J.; Zhang, Feng
作者单位：Arizona State University; Arizona State University-Tempe; Utah System of Higher Education; University of Utah
摘要：We propose that fitted values from market-wide regressions of firm returns on lagged firm characteristics provide useful benchmarks for assessing whether average returns to certain stocks are abnormal. To illustrate, we study eight documented events with abnormal returns, including credit rating and analyst recommendation downgrades, initial and seasoned public equity offerings, mergers and acquisitions, dividend initiations, share repurchases, and stock splits. We show that the apparently abn...
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作者：Faulkender, Michael W.; Hankins, Kristine W.; Petersen, Mitchell A.
作者单位：University System of Maryland; University of Maryland College Park; University of Kentucky; Northwestern University; National Bureau of Economic Research
摘要：What has driven the dramatic rise in U.S. corporate cash? Using non-public data, we show that the run-up is not uniform across firms but is concentrated in the foreign subsidiaries of multinational firms. Standard precautionary motives explain only domestic cash holdings, not these burgeoning foreign cash balances. Falling foreign tax rates, coupled with relaxed restrictions on income shifting, are the root of the changing foreign cash patterns. Firms with intellectual property have the greate...
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作者：Hoffmann, Peter; Langfield, Sam; Pierobon, Federico; Vuillemey, Guillaume
作者单位：European Central Bank; Hautes Etudes Commerciales (HEC) Paris
摘要：We study the allocation of interest rate risk within the European banking sector using novel data. Banks' exposure to interest rate risk is small on aggregate, but heterogeneous in the cross-section. Contrary to conventional wisdom, net worth is increasing in interest rates for approximately half of the institutions in our sample. Cross-sectional variation in banks' exposures is driven by cross-country differences in loan-rate fixation conventions for mortgages. Banks use derivatives to partia...
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作者：Dessaint, Olivier; Foucault, Thierry; Fresard, Laurent; Matray, Adrien
作者单位：University of Toronto; Hautes Etudes Commerciales (HEC) Paris; Swiss Finance Institute (SFI); Universita della Svizzera Italiana; University System of Maryland; University of Maryland College Park; Princeton University
摘要：Firms significantly reduce their investment in response to nonfundamental drops in the stock price of their product-market peers. We argue that this results stems from managers' limited ability to filter out the noise in the stock prices when using them as signals about their investment opportunities. Ensuing losses of capital investment and shareholders' wealth are economically large and even affect firms not facing severe financing constraints or agency problems. Our findings offer a novel p...
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作者：Yang, Ming; Zeng, Yao
作者单位：Duke University; University of Washington; University of Washington Seattle
摘要：We propose a theory of security design in financing entrepreneurial production, positing that the investor can acquire costly information on the entrepreneur's project before making the financing decision. When the entrepreneur has enough bargaining power in security design, the optimal security helps incentivize both efficient information acquisition and efficient financing. Debt is optimal when information is not very valuable for production, whereas the combination of debt and equity is opt...
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作者：Huang, Chong; Oehmke, Martin; Zhong, Hongda
作者单位：University of California System; University of California Irvine; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK
摘要：We develop a theory of multiperiod debt structure. A simple trade-off between the termination threat required to make debt repayments incentive compatible and the desire to avoid early liquidation determines the number of repayments, their timing, and amounts. As firms increase their borrowing, they add periodic risky repayments from the back of the maturity structure, with the time between repayments increasing in cash-flow risk. Cash-flow growth or a significant risk-free cash-flow component...
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作者：Meier, Jean-Marie; Servaes, Henri
作者单位：University of Texas System; University of Texas Dallas; University of London; London Business School; Centre for Economic Policy Research - UK
摘要：Firms that buy assets in fire sales earn excess returns that are 2 percentage points higher than in regular acquisitions. The mechanism behind this result is the sellers' reduced bargaining power. We find no difference in real effects or in the combined returns for buyers and sellers between fire sales and regular acquisitions, suggesting that the quality of the match is similar in both types of transactions. The externalities of fire sales for other stakeholders are limited. These results ind...
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作者：Larrain, Borja; Sertsios, Giorgo; Urzua, Francisco, I
作者单位：Pontificia Universidad Catolica de Chile; Universidad de los Andes - Chile; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：We propose a novel identification strategy for estimating the effects of business group affiliation. We study two-firm business groups, some of which split up during the sample period, leaving some firms as stand-alone firms. We instrument for stand-alone status using shocks to the industry of the other group firm. We find that firms that become stand-alone reduce leverage and investment. Consistent with collateral cross-pledging, the effects are more pronounced when the other firm had high ta...
