-
作者：Dou, Ying; Masulis, Ronald W.; Zein, Jason
作者单位：Monash University; University of New South Wales Sydney
摘要：We study a widespread yet under-explored corporate governance phenomenon: the pledging of company stock by insiders as collateral for personal bank loans. Utilizing a regulatory change that exogenously decreases pledging, we document a negative causal impact of pledging on shareholder wealth. We study two channels that could explain this effect. First, we find that margin calls triggered by severe price falls exacerbate the crash risk of pledging firms. Second, since margin calls may cause ins...
-
作者：Lyandres, Evgeny; Marchica, Maria-Teresa; Michaely, Roni; Mura, Roberto
作者单位：Boston University; University of Manchester; Alliance Manchester Business School; University of Geneva
摘要：Portfolio diversification of firms' controlling owners influences their firms' capital investment. Empirically, the effect of owners' portfolio diversification on their firms' investment levels is positive for publicly traded firms and tends to be negative for privately held ones. These findings are consistent with predictions of a model in which a risk-averse investor simultaneously chooses her portfolio structure, and both the level and riskiness of capital investment of the firm she control...
-
作者：Chakrabarti, Rajashri; Pattison, Nathaniel
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Southern Methodist University
摘要：Auto lenders were perhaps the biggest winners of the 2005 Bankruptcy Reform, as Chapter 13 bankruptcy filers can no longer cramdown the amount owed on recent auto loans. We estimate the causal effect of this anticramdown provision on the price and quantity of auto credit. Exploiting historical variation in states' usage of Chapter 13 bankruptcy, we find strong evidence that eliminating cramdowns decreased interest rates and some evidence that loan sizes increased among subprime borrowers. The ...
-
作者：Hanley, Kathleen Weiss; Hoberg, Gerard
作者单位：Lehigh University; University of Southern California
摘要：We use computational linguistics to develop a dynamic, interpretable methodology that can detect emerging risks in the financial sector. Our model can predict heightened risk exposures as early as mid-2005, well in advance of the 2008 financial crisis. Risks related to real estate, prepayment, and commercial paper are elevated. Individual bank exposure strongly predicts returns, bank failures, and return volatility. We also document a rise in market instability since 2014 related to sources of...
-
作者：Lenkey, Stephen L.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Rule 10b5-1 enables insiders to preplan future trades before becoming informed. Within a strategic rational expectations equilibrium framework, I characterize an insider's unique optimal trading plan, which balances portfolio diversification against exploitation of the rule's selective termination option. Because the rule reduces adverse selection and provides insurance against bad outcomes, the rule generally improves welfare for both the insider, who later becomes informed, and uninformed ou...
-
作者：Basak, Suleyman; Chabakauri, Georgy; Yavuz, M. Deniz
作者单位：University of London; London Business School; Center for Economic & Policy Research (CEPR); University of London; London School Economics & Political Science; Purdue University System; Purdue University
摘要：Empirical evidence suggests that investor protection significantly affects ownership concentration and asset prices. We develop a dynamic asset pricing model to address the empirical regularities and uncover some of the underlying mechanisms at play. Our model features a controlling shareholder that endogenously accumulates control over a firm, and diverts a fraction of its output. Better investor protection decreases stock holdings of controlling shareholders, increases stock mean returns, an...
-
作者：Kacperczyk, Marcin; Pagnotta, Emiliano S.
作者单位：Imperial College London; Center for Economic & Policy Research (CEPR)
摘要：Using over 5,000 trades unequivocally based on nonpublic information about firm fundamentals, we find that asymmetric information proxies display abnormal values on days with informed trading. Volatility and volume are abnormally high, whereas illiquidity is low, in equity and option markets. Daily returns reflect the sign of private signals, but bid-ask spreads are lower when informed investors trade. Market makers' learning under event uncertainty and limit orders help explain these findings...
-
作者：Jorion, Philippe; Schwarz, Christopher
作者单位：University of California System; University of California Irvine
摘要：Researchers have long known about backfill bias in hedge fund databases. The most common treatments include either retaining all backfilled returns or truncating a fixed number of returns from each return series. However, we show that truncation largely preserves backfilled returns and document that either of these backfill treatments can lead to biased empirical findings, including cross-sectional results. Thus, our findings show that the best practice for empirical tests is to remove returns...
-
作者：Silva, Andre F.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This paper examines whether banks strategically incorporate their competitors' liquidity mismatch policies when determining their own and the impact of these collective decisions on financial stability. Using a novel identification strategy exploiting the presence of partially overlapping peer groups, I show that banks' liquidity transformation activity is driven by that of their peers. These correlated decisions are concentrated on the asset side of riskier banks and are asymmetric, with mimi...
-
作者：Minton, Bernadette A.; Stulz, Rene M.; Taboada, Alvaro G.
作者单位：University System of Ohio; Ohio State University; National Bureau of Economic Research; European Corporate Governance Institute; Mississippi State University
摘要：Some argue too-big-to-fail (TBTF) status increases the value of the largest banks. In contrast, we find that the value of the largest banks is negatively related to asset size in normal times, but much less so during the crisis. Further, shareholders lose when large banks cross a TBTF threshold through acquisitions. The negative relation between bank value and bank size for the largest banks cannot be explained by differences in ROA, ROE, equity volatility, tail risk, distress risk, or equity ...
