-
作者：Bouvard, Matthieu; Lee, Samuel
作者单位：McGill University; Santa Clara University; Swedish House of Finance
摘要：We model risk management as information acquisition that delays trading decisions. In markets with preemptive competition, this can lead to a race to the bottom, where prioritizing trade execution over risk management is optimal for each firm, but collectively inefficient. As time competition intensifies, mean trading profit supplants risk concerns as the main driver of risk management quality, causing risk misallocation to rise with trading speed and volume. This pathology of risk management ...
-
作者：Raponi, Valentina; Robotti, Cesare; Zaffaroni, Paolo
作者单位：Imperial College London; University of Warwick
摘要：We propose a methodology for estimating and testing beta-pricing models when a large number of assets is available for investment but the number of time-series observations is fixed. We first consider the case of correctly specified models with constant risk premia, and then extend our framework to deal with time-varying risk premia, potentially misspecified models, firm characteristics, and unbalanced panels. We show that our large cross-sectional framework poses a serious challenge to common...
-
作者：Karolyi, G. Andrew; Van Nieuwerburgh, Stijn
作者单位：Cornell University; Columbia University
摘要：The cross-section and time series of stock returns contains a wealth of information about the stochastic discount factor (SDF), the object that links cash flows to prices. A large empirical literature has uncovered many candidate factors-many more than seem plausible-to summarize the SDF. This special volume of the Review of Financial Studies presents recent advances in extracting information from both the cross-section and the time series, in dealing with issues of replication and false disco...
-
作者：Bircan, Cagatay; De Haas, Ralph
作者单位：European Bank of Reconstructon & Development; European Bank of Reconstructon & Development; Centre for Economic Policy Research - UK; Tilburg University
摘要：We exploit historically determined variation in local credit markets to identify the impact of bank lending on innovation across Russian firms. We find that deeper credit markets increase firms' use of bank credit, their adoption of new products and technologies, and their productivity growth. This relationship is more pronounced in industries farther from the technological frontier, more exposed to import competition, and that export more. These impacts are also stronger for firms near histor...
-
作者：Augustin, Patrick; Jiao, Feng; Sarkissian, Sergei; Schill, Michael J.
作者单位：McGill University; University of Lethbridge; University of Edinburgh; University of Virginia
摘要：We study how listing in multiple markets affects the dynamics between firms' credit default swap (CDS) and stock returns. We find that cross-listing increases (1) the sensitivity of CDS to stock returns, (2) the integration of CDS with world equity and bond markets, and (3) the statistical synchronicity of CDS and stock prices. Our results are stronger for firms with greater media attention, analyst and CDS coverage, and Google search intensity and for listings in familiar markets. We suggest ...
