Review of Financial Studies

最新文章

• News Shocks and the Production-Based Term Structure of Equity Returns AI翻译
  作者：Ai, Hengjie; Croce, Mariano Max; Diercks, Anthony M.; Li, Kai
  作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of North Carolina; University of North Carolina Chapel Hill; Bocconi University; Center for Economic & Policy Research (CEPR); Federal Reserve System - USA; Hong Kong University of Science & Technology
  摘要：We propose a production-based general equilibrium model to study the link between timing of cash flows and expected returns, both in the cross-section of stocks and along the aggregate equity term structure. Our model incorporates long-run growth news with time-varying volatility and slow learning about the exposure that firms have with respect to these shocks. Our framework provides a unified explanation of the stylized features of the slope of the term structure of equity returns, its variat...
• Rolling Mental Accounts AI翻译
  作者：Frydman, Cary; Hartzmark, Samuel M.; Solomon, David H.
  作者单位：University of Southern California; University of Chicago; Boston College
  摘要：When investors sell one asset and quickly buy another (reinvestment days), their trades suggest the original mental account is not closed, but is instead rolled into the new asset. Retail investors trading on their own accounts display a rolled disposition effect, selling the new position when its value exceeds the initial investment in the original position. On reinvestment days, these investors display no disposition effect (consistent with no disutility from realizing a loss) and make bette...
• Long Forward Probabilities, Recovery, and the Term Structure of Bond Risk Premiums AI翻译
  作者：Qin, Likuan; Linetsky, Vadim; Nie, Yutian
  作者单位：Northwestern University
  摘要：This paper examines the assumption of transition independence of the stochastic discount factor (SDF) in the bond market. This assumption underlies the recovery result of Ross 2015. Following the methodology of Alvarez and Jermann 2005 and Hansen and Scheinkman 2009, we estimate the martingale component in the long-term factorization of the SDF using U.S. Treasury data. The empirically estimated martingale component is highly volatile and produces a downward-sloping term structure of bond Shar...
• Product Market Competition Shocks, Firm Performance, and Forced CEO Turnover AI翻译
  作者：Dasgupta, Sudipto; Li, Xi; Wang, Albert Y.
  作者单位：Chinese University of Hong Kong; Lancaster University; Centre for Economic Policy Research - UK; University of Arkansas System; University of Arkansas Fayetteville; Auburn University System; Auburn University
  摘要：We examine the effect of competition shocks induced by major industry-level tariff cuts on forced CEO turnover. Both the likelihood of forced CEO turnover and its sensitivity to performance increase. These effects are stronger for firms exposed to greater predation risk and with products more similar to those of other firms. CEOs are more likely to be forced out in weak governance firms; however, in good governance firms, CEOs are offered higher incentive pay. New outside CEOs receive higher i...
• Housing Price Booms and Crowding-Out Effects in Bank Lending AI翻译
  作者：Chakraborty, Indraneel; Goldstein, Itay; MacKinlay, Andrew
  作者单位：University of Miami; University of Pennsylvania; Virginia Polytechnic Institute & State University
  摘要：Analyzing the period 1988-2006, we document that banks that are active in strong housing markets increase mortgage lending and decrease commercial lending. Firms that borrow from these banks have significantly lower investment. This is especially pronounced for firms that are more capital constrained or borrow from more-constrained banks. Various extensions and robustness analyses are consistent with the interpretation that commercial loans were crowded out by banks responding to profitable op...
• The Costs of Sovereign Default: Evidence from the Stock Market AI翻译
  作者：Andrade, Sandro C.; Chhaochharia, Vidhi
  作者单位：University of Miami
  摘要：We use stock market data to test cross-sectional implications of theories of sovereign default and provide a market-based estimate of sovereign default costs. We find that the stock prices of firms vulnerable to financial intermediation disruption, or firms more exposed to the government, are particularly sensitive to changes in sovereign credit spreads. This is consistent with theories in which default is costly because it disrupts financial intermediation and damages government reputation. E...
• Trust Busting: The Effect of Fraud on Investor Behavior AI翻译
  作者：Gurun, Umit G.; Stoffman, Noah; Yonker, Scott E.
  作者单位：University of Texas System; University of Texas Dallas; National Bureau of Economic Research; Indiana University System; Indiana University Bloomington; Cornell University
  摘要：We study the importance of trust in the investment advisory industry by exploiting the geographic dispersion of victims of the Madoff Ponzi scheme. Residents of communities that were exposed to the fraud subsequently withdrew assets from investment advisers and increased deposits at banks. Additionally, exposed advisers were more likely to close. Advisers who provided services that can build trust, such as financial planning advice, experienced fewer withdrawals. Our evidence suggests that the...
• Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle AI翻译
  作者：Chen, Hui; Cui, Rui; He, Zhiguo; Milbradt, Konstantin
  作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; University of Chicago; Northwestern University
  摘要：We develop a structural credit model to examine how interactions between default and liquidity affect corporate bond pricing. The model features debt rollover and bond-price-dependent holding costs. Over the business cycle and in the cross-section, the model matches average default rates and credit spreads in the data, and captures variations in bid-ask and bond-CDS spreads. A structural decomposition reveals that default-liquidity interactions can account for 10%-24% of the level of credit sp...
• The Retention Effects of Unvested Equity: Evidence from Accelerated Option Vesting AI翻译
  作者：Jochem, Torsten; Ladika, Tomislav; Sautner, Zacharias
  作者单位：University of Amsterdam; Frankfurt School Finance & Management
  摘要：We document that firms can effectively retain executives by granting deferred equity pay. We show this by analyzing a unique regulatory change (FAS 123-R) that prompted 723 firms to suddenly eliminate stock option vesting periods. This allowed CEOs to keep 33% more options when departing the firm, and we find that voluntary CEO departure rates subsequently rose from 5% to 21%. Our identification strategy exploits FAS 123-R's almost-random timing, which was staggered by firms' fiscal year-ends....
• Monetary Policy Implementation and Financial Vulnerability: Evidence from the Overnight Reverse Repurchase Facility AI翻译
  作者：Anderson, Alyssa G.; Kandrac, John
  作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
  摘要：In this paper, we examine the Federal Reserve's newest policy tool, known as the overnight reverse repo (ONRRP) facility, to understand its effects on the repo market. Using exogenous variation in the parameters of the ONRRP, we show that private repo activity is crowded out when money funds invest in the ONRRP. Additionally, we find that the ONRRP increases lenders' bargaining power, thereby raising borrower funding costs. Lastly, we show that repo borrowers reallocate to repo backed by riski...