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作者：Lucca, David O.; Nadauld, Taylor; Shen, Karen
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Brigham Young University; Harvard University
摘要：We study the link between the student credit expansion of the past 15 years and the contemporaneous rise in college tuition. To disentangle simultaneity issues, we analyze the effects of increases in federal student loan caps using detailed student-level financial data. We find a pass-through effect on tuition of changes in subsidized loan maximums of about 60 cents on the dollar and of about 20 cents on the dollar for unsubsidized federal loans. The effect is most pronounced for more expensiv...
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作者：Jayaraman, Sudarshan; Wu, Joanna Shuang
作者单位：University of Rochester
摘要：Mandatory disclosure provides benefits, but it also entails costs. One cost concerns managerial learning: by discouraging informed trading, disclosure could reduce managers' ability to glean decision-relevant information from prices. Using mandatory segment reporting in the United States, we uncover a reduction in investment-q sensitivity, indicating lower investment efficiency after regulation. Consistent with learning, lower sensitivity is concentrated in firms with more informed trading and...
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作者：Pennacchi, George; Tchistyi, Alexei
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：Initial proposals for contingent convertibles (CoCos) envisioned that these bonds would convert to equity when the issuing bank's stock price declined to a prespecified trigger. Subsequent research has claimed that doing so causes the stock price to have multiple equilibria or no equilibrium. We show that when CoCos are perpetuities, which characterizes most actual CoCos, a unique stock price equilibrium exists, except under unrealistic conditions. Unique equilibria occur when conversion favor...
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作者：Chen, Zhiyao; Strebulaev, Ilya A.
作者单位：Chinese University of Hong Kong; Stanford University; National Bureau of Economic Research
摘要：We develop and estimate a dynamic model of risk-shifting over the business cycle. First, equity holders with Epstein-Zin preferences increase their taking of idiosyncratic risk substantially more than the standard model in repeated games, because they perceive the arrival probability of bad states to be higher than the actual probability and prefer an early resolution of macroeconomic uncertainty. Second, sudden switches to bad states and large shocks in the bad states induce the countercyclic...
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作者：Murfin, Justin; Pratt, Ryan
作者单位：Yale University; Brigham Young University
摘要：Finance professionals commonly set prices based on the analysis of recently closed, comparable transactions. Using data on syndicated loans, we exploit the lag between loans' closing dates and their inclusion in a widely used comparables database to identify the effect of past transactions on new transaction pricing. Comparables pricing is an important determinant of individual loan spreads, but a failure to account for overlap in information across loans leads to pricing mistakes. Comparables...
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作者：Baele, Lieven; Driessen, Joost; Ebert, Sebastian; Londono, Juan M.; Spalt, Oliver G.
作者单位：Tilburg University; Frankfurt School Finance & Management; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We develop a tractable equilibrium asset pricing model with cumulative prospect theory (CPT) preferences. Using GMM on a sample of U.S. equity index option returns, we show that by introducing a single common probability weighting parameter for both tails of the return distribution, the CPT model can simultaneously generate the otherwise puzzlingly low returns on both out-of-the-money put and out-of-the-money call options as well as the high observed variance premium. In a dynamic setting, pro...
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作者：Dasgupta, Sudipto; Zaldokas, Alminas
作者单位：Chinese University of Hong Kong; Lancaster University; Centre for Economic Policy Research - UK; Hong Kong University of Science & Technology
摘要：We consider the case of changing competition that comes from stronger antitrust enforcement around the world to show that, as the equilibrium switches from collusion to oligopolistic competition, firms step up investment and increase equity issuance. As a result, debt ratios fall. These results imply the importance of financial flexibility in surviving competitive threats. Our identification relies on a difference-in-differences estimation based on the staggered passage of leniency programs in...
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作者：Zhu, Christina
作者单位：University of Pennsylvania
摘要：This study empirically investigates two effects of alternative data availability: stock price informativeness and its disciplining effect on managers' actions. Recent computing advancements have enabled technology companies to collect real-time, granular indicators of fundamentals to sell to investment professionals. These data include consumer transactions and satellite images. The introduction of these data increases price informativeness through decreased information acquisition costs, part...
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作者：Dubinsky, Andrew; Johannes, Michael; Kaeck, Andreas; Seeger, Norman J.
作者单位：Columbia University; University of Sussex; Vrije Universiteit Amsterdam
摘要：This paper uses option prices to learn about the equity price uncertainty surrounding information released on earnings announcement dates. To do this, we introduce reduced-form models and estimators to separate price uncertainty about earnings announcements from normal day-to-day volatility. Empirically, we find strong support for the importance of earnings announcements. We find that the anticipated price uncertainty is quantitatively large, varies across time, and is informative about the fu...
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作者：Song, Zhaogang; Zhu, Haoxiang
作者单位：Johns Hopkins University; Massachusetts Institute of Technology (MIT)
摘要：Mortgage dollar roll, the most common financing strategy for agencyMBS, differs from repo in that the returned collateral can differ from those received. Also, MBS ownership changes hands in the funding period. We show that dollar roll specialness, how much implied financing rates fall below MBS repo rates, (1) increases in the value of the cheapest-to-deliver option, (2) decreases in the leverage of primary dealers, (3) decreases in prepayment risk exposure during the financing period, and (4...
