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作者：Klingler, Sven; Lando, David
作者单位：BI Norwegian Business School; Copenhagen Business School
摘要：Credit default swaps can be used to lower the capital requirements of dealer banks entering into uncollateralized derivatives positions with sovereigns. We show in a model that the regulatory incentive to obtain capital relief makes CDS contracts valuable to dealer banks and empirically that, consistent with the use of CDS for regulatory purposes, there is a disconnect between changes in bond yield spreads and in CDS premiums, especially for safe sovereigns. Additional empirical tests related ...
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作者：Tantri, Prasanna L.
作者单位：Indian School of Business (ISB)
摘要：Using an unexpected government regulation that restricted the ability of microfinance institutions to recover loans in one Indian state, I examine whether this intervention affected bank loan performance. The bank loan delinquency rate significantly increased as a result. In response, the ex post bank credit supply declined by more than half. For identification, I compare loans from branches located in regions subject to this intervention with loans from nearby branches of the same bank locate...
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作者：Bakshi, Gurdip; Cerrato, Mario; Crosby, John
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; University of Glasgow; University of Technology Sydney
摘要：We develop a restriction that precludes implausibly high reward-for-risk in incomplete international economies to consider a theoretical problem that characterizes a lower bound on the covariance between stochastic discount factors (SDFs) subject to correct pricing. The problem is analytically solvable and synthesizes domestic and foreign SDFs into spanned and unspanned components. Our novelty is that exchange rate growth need not equal the ratio of SDFs and that the SDF correlations are plaus...
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作者：Da, Zhi; Larrain, Borja; Sialm, Clemens; Tessada, Jose
作者单位：University of Notre Dame; Pontificia Universidad Catolica de Chile; University of Texas System; University of Texas Austin; National Bureau of Economic Research
摘要：We document a novel channel through which coordinated trading exerts externalities on financial markets. We study the impact of a financial advisory firm that recommends frequent reallocations between equity and bond funds to Chilean pension investors. The recommendations generate large and coordinated fund flows that are exacerbated by the strategic complementarity arising from fund trading restrictions. The recommendations generate significant price pressure and increased volatility in the s...
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作者：Chu, Yongqiang
作者单位：University of South Carolina System; University of South Carolina Columbia
摘要：This paper studies how the conflict of interest between shareholders and creditors affects corporate payout policy. Using mergers between lenders and equity holders of the same firm as shocks to the shareholder-creditor conflict, I find that firms pay out less when there is less conflict between shareholders and creditors, suggesting that the shareholder-creditor conflict induces firms to pay out more at the expense of creditors. The effect is stronger for firms in financial distress.
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作者：Buehlmaier, Matthias M. M.; Whited, Toni M.
作者单位：University of Hong Kong; University of Michigan System; University of Michigan; National Bureau of Economic Research
摘要：We construct novel measures of financial constraints using textual analysis of firms' annual reports and investigate their impact on stock returns. Our three measures capture access to equity markets, debt markets, and external financial markets in general. In all cases, constrained firms earn higher returns, which move together and cannot be explained by the Fama and French (2015) factor model. A trading strategy based on financial constraints is most profitable for large, liquid stocks. Our ...
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作者：Chernov, Mikhail; Dunn, Brett R.; Longstaff, Francis A.
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：We develop a three-factor no-arbitrage model for valuing mortgage-backed securities in which we solve for the implied prepayment function from the cross-section of market prices. This model closely fits the cross-section of mortgage-backed security prices without needing to specify an econometric prepayment model. We find that implied prepayments are generally higher than actual prepayments, providing direct evidence of significant macroeconomic-driven prepayment risk premiums in mortgage-back...
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作者：Van Bekkum, Sjoerd; Gabarro, Marc; Irani, Rustom M.
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of Mannheim; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We examine a change in the European Central Bank's collateral framework, which significantly lowered the rating requirement for eligible residential mortgage-backed securities (RMBS), and its impact on bank lending and risk-taking in the Netherlands. Banks most affected by the policy increase loan supply and lower interest rates on new mortgage originations. These lower-interest-rate loans serve as collateral for newly issued RMBS with lower-rated tranches and subsequently experience worse rep...
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作者：Linn, Matthew; Shive, Sophie; Shumway, Tyler
作者单位：University of Massachusetts System; University of Massachusetts Amherst; University of Notre Dame; University of Michigan System; University of Michigan
摘要：A large literature finds evidence that pricing kernels nonparametrically estimated from option prices and historical returns are not monotonically decreasing in market index returns. We argue that existing estimation methods are inconsistent and propose a new nonparametric estimator of the pricing kernel that reflects the information available to investors who set asset prices. In simulations, the estimator outperforms existing techniques. Our empirical estimates using S&P 500 index option dat...
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作者：Kumar, Praveen; Yerramilli, Vijay
作者单位：University of Houston System; University of Houston
摘要：We examine the joint optimization of financial leverage and irreversible capacity investment in a real options framework with risky debt and endogenous interest costs. Higher capacity, ceteris paribus, increases operating leverage and default probability, but lowers ex post adjustment costs and generates larger tax shields. A key insight is that financial leverage and capacity are substitutes in the debt market equilibrium. We develop novel predictions about the effects of capital adjustment c...
