-
作者：Celik, Murat Alp; Tian, Xu; Wang, Wenyu
作者单位：University of Toronto; University System of Georgia; University of Georgia; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：Acquiring innovation through M&A is subject to information frictions, as assessing the value of innovative targets is a challenging task. We find an inverted U-shaped relation between firm innovation and takeover exposure; equity usage increases with target innovation; and the deal completion rate drops with innovation. We develop and estimate a model of acquiring innovation under information frictions, featuring endogenous merger, innovation, and offer composition decisions. Our estimates sug...
-
作者：Brown, James R.; Martinsson, Gustav; Thomann, Christian
作者单位：Iowa State University; Royal Institute of Technology; Stockholm School of Economics
摘要：Higher country taxes on noxious manufacturing emissions lead to substantial increases in firms' R&D spending. The R&D response is entirely driven by those high-pollution firms most affected by emissions taxes. Pollution taxes increase the marginal value of R&D spending in polluting firms, even when this spending does not lead to new innovation. Pollution taxes have the strongest effect on R&D investment in sectors in which new invention is difficult to appropriate and outside knowledge is easi...
-
作者：He, Zhiguo; Khorrami, Paymon; Song, Zhaogang
作者单位：University of Chicago; National Bureau of Economic Research; Imperial College London; Johns Hopkins University
摘要：Two intermediary-based factors-a corporate bond dealer inventory measure and a broad intermediary distress measure-explain more than 40% of the puzzling common variation in credit spread changes beyond canonical structural factors. A simple intermediary-based model with partial market segmentation accounts for intermediary factors' explanatory power and delivers three further implications with empirical support. First, whereas bond sorts on risk-related variables produce monotonic loading patt...
-
作者：Braeuer, Konstantin; Hackethal, Andreas; Hanspal, Tobin
作者单位：Goethe University Frankfurt; Vienna University of Economics & Business
摘要：This paper studies why investors buy dividend-paying assets and how they time consumption accordingly. We combine administrative bank data linking customers' consumption and income to portfolio data and survey responses on financial behavior. We find that private consumption is excessively sensitive to dividend income. Investors across wealth, income, and age distributions increase spending precisely around days of dividend receipt. Our results are at odds with a number of existing rational an...
-
作者：Ma, Yiming; Xiao, Kairong; Zeng, Yao
作者单位：University of Pennsylvania
摘要：We identify fixed-income mutual funds as an important contributor to the unusually high selling pressure in liquid asset markets during the COVID-19 crisis. We show that mutual funds experienced pronounced investor outflows amplified by their liquidity transformation. In meeting redemptions, funds followed a pecking order by first selling their liquid assets, including Treasuries and high-quality corporate bonds, which generated the most concentrated selling pressure in these markets. Overall,...
-
作者：Fleckenstein, Matthias; Longstaff, Francis A.
作者单位：University of Delaware; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：We use the prices of credit card asset-backed securities to study the market risk premium associated with unsecured consumer credit risk. We find that the market incorporates a substantial credit risk premium into the prices of these securities. Furthermore, there has been a major repricing of unsecured consumer credit risk since the 2007-2009 financial crisis. We find evidence that this increase is linked to balance-sheet costs imposed by postcrisis changes in regulations that have placed cre...
-
作者：Piccolo, Alessio; Shapiro, Joel
作者单位：Indiana University System; Indiana University Bloomington; University of Oxford
摘要：Accurate credit ratings are important for both investors and regulators. We demonstrate that the market for credit risk provides an important source of discipline for credit rating agencies (CRAs). We examine a model in which a CRA's rating is followed by a market for credit risk that provides a public signal - the price. More informative trading increases the CRA's incentives to be accurate by making rating errors more transparent. We show that this source of discipline is (a) robust to moral...
-
作者：Jorda, Oscar; Kornejew, Martin; Schularick, Moritz; Taylor, Alan M.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco; University of California System; University of California Davis; Centre for Economic Policy Research - UK; University of Bonn; Institut d'Etudes Politiques Paris (Sciences Po); National Bureau of Economic Research
摘要：Debt overhang is associated with higher financial fragility and slower recovery from recession. However, while household credit booms have been extensively documented to have this property, we find that corporate debt does not fit the same pattern. Newly collected data on nonfinancial business liabilities for 18 advanced economies over the past 150 years shows that, in the aggregate, greater frictions in corporate debt resolution make for slower recoveries, with weak investment and more persis...
-
作者：Du, Wenxin; Schreger, Jesse
作者单位：University of Chicago; Federal Reserve System - USA; Federal Reserve Bank - New York; National Bureau of Economic Research; Centre for Economic Policy Research - UK; Columbia University
摘要：We provide a comprehensive account of the evolution of the currency composition of sovereign and corporate external borrowing by emerging markets from 2003 to 2017. We show that a higher reliance on foreign currency debt by the corporate sector is associated with higher sovereign default risk. We introduce local currency sovereign debt and private sector currency mismatch into a standard sovereign debt model to examine how the currency composition of corporate borrowing affects the sovereign's...
-
作者：Ready, Mark J.; Ready, Robert C.
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Oregon
摘要：Using intraday data, we document statistically strong, but temporary, impacts of commodity index trade flows on commodity futures prices. We also examine the previously documented positive returns around the issuance of commodity-linked notes and find that these returns are an order of magnitude too large to be caused by the small trades necessary to hedge the notes. We provide new evidence that they are instead the result of endogenous issuance. Our results provide novel support for commodity...
