-
作者：Qin, Likuan; Linetsky, Vadim; Nie, Yutian
作者单位：Northwestern University
摘要：This paper examines the assumption of transition independence of the stochastic discount factor (SDF) in the bond market. This assumption underlies the recovery result of Ross 2015. Following the methodology of Alvarez and Jermann 2005 and Hansen and Scheinkman 2009, we estimate the martingale component in the long-term factorization of the SDF using U.S. Treasury data. The empirically estimated martingale component is highly volatile and produces a downward-sloping term structure of bond Shar...
-
作者：Dasgupta, Sudipto; Li, Xi; Wang, Albert Y.
作者单位：Chinese University of Hong Kong; Lancaster University; Centre for Economic Policy Research - UK; University of Arkansas System; University of Arkansas Fayetteville; Auburn University System; Auburn University
摘要：We examine the effect of competition shocks induced by major industry-level tariff cuts on forced CEO turnover. Both the likelihood of forced CEO turnover and its sensitivity to performance increase. These effects are stronger for firms exposed to greater predation risk and with products more similar to those of other firms. CEOs are more likely to be forced out in weak governance firms; however, in good governance firms, CEOs are offered higher incentive pay. New outside CEOs receive higher i...
-
作者：Chakraborty, Indraneel; Goldstein, Itay; MacKinlay, Andrew
作者单位：University of Miami; University of Pennsylvania; Virginia Polytechnic Institute & State University
摘要：Analyzing the period 1988-2006, we document that banks that are active in strong housing markets increase mortgage lending and decrease commercial lending. Firms that borrow from these banks have significantly lower investment. This is especially pronounced for firms that are more capital constrained or borrow from more-constrained banks. Various extensions and robustness analyses are consistent with the interpretation that commercial loans were crowded out by banks responding to profitable op...
-
作者：Andrade, Sandro C.; Chhaochharia, Vidhi
作者单位：University of Miami
摘要：We use stock market data to test cross-sectional implications of theories of sovereign default and provide a market-based estimate of sovereign default costs. We find that the stock prices of firms vulnerable to financial intermediation disruption, or firms more exposed to the government, are particularly sensitive to changes in sovereign credit spreads. This is consistent with theories in which default is costly because it disrupts financial intermediation and damages government reputation. E...
-
作者：Gurun, Umit G.; Stoffman, Noah; Yonker, Scott E.
作者单位：University of Texas System; University of Texas Dallas; National Bureau of Economic Research; Indiana University System; Indiana University Bloomington; Cornell University
摘要：We study the importance of trust in the investment advisory industry by exploiting the geographic dispersion of victims of the Madoff Ponzi scheme. Residents of communities that were exposed to the fraud subsequently withdrew assets from investment advisers and increased deposits at banks. Additionally, exposed advisers were more likely to close. Advisers who provided services that can build trust, such as financial planning advice, experienced fewer withdrawals. Our evidence suggests that the...
-
作者：Chen, Hui; Cui, Rui; He, Zhiguo; Milbradt, Konstantin
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; University of Chicago; Northwestern University
摘要：We develop a structural credit model to examine how interactions between default and liquidity affect corporate bond pricing. The model features debt rollover and bond-price-dependent holding costs. Over the business cycle and in the cross-section, the model matches average default rates and credit spreads in the data, and captures variations in bid-ask and bond-CDS spreads. A structural decomposition reveals that default-liquidity interactions can account for 10%-24% of the level of credit sp...
-
作者：Jochem, Torsten; Ladika, Tomislav; Sautner, Zacharias
作者单位：University of Amsterdam; Frankfurt School Finance & Management
摘要：We document that firms can effectively retain executives by granting deferred equity pay. We show this by analyzing a unique regulatory change (FAS 123-R) that prompted 723 firms to suddenly eliminate stock option vesting periods. This allowed CEOs to keep 33% more options when departing the firm, and we find that voluntary CEO departure rates subsequently rose from 5% to 21%. Our identification strategy exploits FAS 123-R's almost-random timing, which was staggered by firms' fiscal year-ends....
-
作者：Anderson, Alyssa G.; Kandrac, John
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：In this paper, we examine the Federal Reserve's newest policy tool, known as the overnight reverse repo (ONRRP) facility, to understand its effects on the repo market. Using exogenous variation in the parameters of the ONRRP, we show that private repo activity is crowded out when money funds invest in the ONRRP. Additionally, we find that the ONRRP increases lenders' bargaining power, thereby raising borrower funding costs. Lastly, we show that repo borrowers reallocate to repo backed by riski...
-
作者：Melzer, Brian T.
作者单位：Northwestern University
摘要：Low-income households with proximate access to payday loans exhibit greater economic distress, higher take-up of food assistance benefits, and greater delinquency on child support payments than peers without proximate loan access. These findings suggest that borrowing can exacerbate distress, leading borrowers to use transfer programs and to prioritize payday loan payments over other liabilities like child support. In that way, payday lending produces negative externalities-costs imposed on ta...
-
作者：Feldhutter, Peter; Schaefer, Stephen M.
作者单位：Copenhagen Business School; University of London; London Business School
摘要：Are standard structural models able to explain credit spreads on corporate bonds? In contrast to much of the literature, we find that the Black-Cox model matches the level of investmentgrade spreads well. Model spreads for speculative-grade debt are too low, and we find that bond illiquidity contributes to this underpricing. Our analysis makes use of a new approach for calibrating the model to historical default rates that leads to more precise estimates of investment-grade default probabiliti...
