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作者：Dick-Nielsen, Jens; Rossi, Marco
作者单位：Copenhagen Business School; Texas A&M University System; Texas A&M University College Station
摘要：Liquidity provision for corporate bonds has become significantly more expensive after the 2008 crisis. Using index exclusions as a natural experiment during which uninformed index trackers request immediacy, we find that the cost of immediacy has more than doubled. In addition, the supply of immediacy has become more elastic with respect to its price. Consistent with a stringent regulatory environment incentivizing smaller dealer inventories, we also find that dealers revert deviations from th...
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作者：Brogaard, Jonathan; Ringgenberg, Matthew C.; Sovich, David
作者单位：Utah System of Higher Education; University of Utah; Washington University (WUSTL)
摘要：We study the impact of index investing on firm performance by examining the link between commodity indices and firms that use index commodities. Around 2004, commodity index investing dramatically increased. This event is referred to as the financialization of commodity markets. Following financialization, firms that use index commodities make worse production decisions, earn 40% lower profits, and have 6% higher costs. Consistent with a feedback channel in which market participants learn from...
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作者：Cortes, Gustavo S.; Weidenmier, Marc D.
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作者：Andrei, Daniel; Hasler, Michael; Jeanneret, Alexandre
作者单位：McGill University; University of Toronto; Universite de Montreal; HEC Montreal
摘要：Persistence risk is an endogenous source of risk that arises when a rational agent learns about the length of business cycles. Persistence risk is positive during recessions and negative during expansions. This asymmetry, which solely results from learning about persistence, causes expected returns, return volatility, and the price of risk to rise during recessions. Persistence risk predicts future excess returns, particularly at 3- to 7-year horizons. Its predictability is strongest around bu...
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作者：Appel, Ian R.; Gormley, Todd A.; Keim, Donald B.
作者单位：Boston College; Washington University (WUSTL); University of Pennsylvania
摘要：We analyze whether the growing importance of passive investors has influenced the campaigns, tactics, and successes of activists. We find activists are more likely to seek board representation when a larger share of the target company's stock is held by passively managed mutual funds. Furthermore, higher passive ownership is associated with increased use of proxy fights, settlements, and a higher likelihood the activist achieves board representation or the sale of the targeted company. Our fin...
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作者：Ahnert, Toni; Anand, Kartik; Gai, Prasanna; Chapman, James
作者单位：Bank of Canada; Deutsche Bundesbank; University of Auckland
摘要：We model asset encumbrance by banks subject to rollover risk and study the consequences for fragility, funding costs, and prudential regulation. A bank's privately optimal encumbrance choice balances the benefit of expanding profitable, yet illiquid, investment funded by cheap long-term senior secured debt, against the cost of greater fragility from runs on unsecured debt. We derive testable implications about encumbrance ratios. The introduction of deposit insurance or wholesale funding guara...
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作者：Tang, Huan
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：This paper studies whether, in the consumer credit market, peer-to-peer (P2P) lending platforms serve as substitutes for banks or instead as complements. I develop a conceptual framework and derive testable predictions to distinguish between these two possibilities. Using a regulatory change as an exogenous shock to bank credit supply, I find that P2P lending is a substitute for bank lending in terms of serving infra-marginal bank borrowers yet complements bank lending with respect to small lo...
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作者：Morellec, Erwan; Zhdanov, Alexei
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Most firms face some form of competition in product markets. The degree of competition a firm faces feeds back into its cash flows and affects the values of the securities it issues. Through its effects on stock prices, product market competition affects the prices of options on equity and leads to an inverse relationship between equity returns and volatility, generating a negative volatility skew in option prices. Using a large sample of U.S. equity options, we provide empirical support for t...
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作者：Jacob, Martin; Michaely, Roni; Mueller, Maximilian A.
作者单位：WHU - Otto Beisheim School of Management; University of Geneva
摘要：Consumers nominally pay the consumption tax, but theoretical and empirical evidence is mixed on whether corporations partly shoulder this burden, thereby affecting corporate investment. Using a quasi-natural experiment, we show that consumption taxes decrease investment. Firms facing more elastic demand decrease investment more strongly, because they bear more of the consumption tax. We corroborate the validity of our findings using 86 consumption tax changes in a cross-country panel. We docum...
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作者：Giannetti, Mariassunta; Saidi, Farzad
作者单位：Stockholm School of Economics; Centre for Economic Policy Research - UK; European Corporate Governance Institute
摘要：We explore whether lenders' decisions to provide liquidity in periods of distress are affected by the extent to which they internalize the negative spillovers of industry downturns. We conjecture that high-market-share lenders are more likely to internalize negative spillovers and show that they provide liquidity to industries in distress when fire sales are likely to ensue. High-market-share lenders also provide liquidity to customers and suppliers of distressed industries when the disruption...
