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作者：Chava, Sudheer; Hsu, Alex
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：We analyze the impact of unanticipated monetary policy changes on the cross-section of U.S. equity returns. Financially constrained firms earn a significantly lower (higher) return following surprise interest rate increases (decreases) as compared to unconstrained firms. This differential return response between constrained and unconstrained firms appears after a delay of 3 to 4 days. Further, unanticipated Federal funds rate increases are associated with a larger decrease in expected cash flo...
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作者：Gandhi, Priyank; Lustig, Hanno; Plazzi, Alberto
作者单位：Rutgers University System; Rutgers University New Brunswick; National Bureau of Economic Research
摘要：Across a wide panel of countries, the top-10% of financial stocks on average account for over 20% of a country's market capitalization but earn on average significantly lower returns than do nonfinancial firms of the same size and risk exposures. In a bailout-augmented, rare disasters asset pricing model, the spread in risk-adjusted returns between large and small institutions depends on country characteristics that determine the likelihood of bailouts. Consistent with this model, we find larg...
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作者：Baron, Matthew
作者单位：Cornell University
摘要：Over the period 1980-2012, large U.S. commercial banks raise and retain less equity during credit expansions, which amplifies their leverage. The decrease in equity issuance is large relative to subsequent banking losses. I consider a variety of explanations for why banks resist raising equity and find evidence consistent with the diminishment of creditor market discipline due to government guarantees. I test this explanation by analyzing the removal of government guarantees to German Landesba...
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作者：Eaton, Charlie; Howell, Sabrina T.; Yannelis, Constantine
作者单位：University of California System; University of California Merced; New York University; University of Chicago
摘要：We study how private equity buyouts create value in higher education, a sector with opaque product quality and intense government subsidy. With novel data on 88 private equity deals involving 994 schools, we show that buyouts lead to higher tuition and per-student debt. Exploiting loan limit increases, we find that private equity-owned schools better capture government aid. After buyouts, we observe lower education inputs, graduation rates, loan repayment rates, and earnings among graduates. N...
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作者：Juelsrud, Ragnar E.; Nenov, Plamen T.
作者单位：Norges Bank; BI Norwegian Business School
摘要：We study dividend payouts when banks face coordination-based rollover crises. Banks in the model can use dividends to both risk shift and signal their available liquidity to shortterm lenders, thus, influencing the lenders' actions. In the unique equilibrium both channels induce banks to pay higher dividends than in the absence of a rollover crisis. In our model banks exert an informational externality on other banks via the inferences and actions of lenders. Optimal dividend regulation that c...
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作者：Cunha, Igor; Pollet, Joshua
作者单位：University of Kentucky; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We exploit variation in demand induced by demographics to provide causal evidence of the precautionary motive of cash holdings. We show that firms significantly increase their cash levels in response to exogenous increases in investment opportunities. We also provide novel evidence of the dynamics of accumulation and use of cash. Financially constrained firms build their cash reserves using internal sources. Consequently, they start saving earlier and keep high cash levels longer. Unconstraine...
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作者：Babina, Tania
作者单位：Columbia University
摘要：Using U.S. Census firm-worker data, I document that firms' financial distress has an economically important effect on employee departures to entrepreneurship. The impact is amplified in the high-tech and service sectors, where employees are key assets. In states with enforceable noncompete contracts, the effect is mitigated. Compared to typical entrepreneurs, distress-driven entrepreneurs are high-wage workers who found better firms, as measured by jobs, pay, and survival. Startup jobs compens...
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作者：Howell, Sabrina T.; Niessner, Marina; Yermack, David
作者单位：New York University; National Bureau of Economic Research; New York University; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：Initial coin offerings (ICOs) have emerged as a new mechanism for entrepreneurial finance, with parallels to initial public offerings, venture capital, and presale crowdfunding. In a sample of more than 1,500 ICOs that collectively raise $12.9 billion, we examine which issuer and ICO characteristics predict successful real outcomes (increasing issuer employment and avoiding enterprise failure). Success is associated with disclosure, credible commitment to the project, and quality signals. An i...
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作者：Boloorforoosh, Ali; Christoffersen, Peter; Fournier, Mathieu; Gourieroux, Christian
作者单位：Concordia University - Canada; University of Toronto; Copenhagen Business School; Universite de Montreal; HEC Montreal; Institut Polytechnique de Paris; ENSAE Paris
摘要：We develop a conditional capital asset pricing model in continuous time that allows for stochastic beta exposure. When beta comoves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return on a stock deviates from the security market line. The model predicts that low-beta stocks earn high returns, because their beta positively comoves with market variance and the SDF. The opposite is true for high-beta stocks. Estimating the model on equity an...
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作者：Brunnermeier, Markus; Rother, Simon; Schnabel, Isabel
作者单位：National Bureau of Economic Research; Princeton University; National Bureau of Economic Research; Princeton University; Center for Economic & Policy Research (CEPR); University of Bonn; University of Bonn; Leibniz Association; Ifo Institut; Max Planck Society; Max Planck Society; University of Bonn
摘要：We analyze the relationship between asset price bubbles and systemic risk, using bank-level data covering almost 30 years. Banks' systemic risk already rises during a bubble's buildup and even more so during its bust. The increase in risk strongly differs across banks and by bubble. It depends on bank characteristics (especially bank size) and bubble characteristics and can become very large: in a median real estate bust, systemic risk increases by almost 70% of the median for banks with unfav...
