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作者：Klingler, Sven; Lando, David
作者单位：BI Norwegian Business School; Copenhagen Business School
摘要：Credit default swaps can be used to lower the capital requirements of dealer banks entering into uncollateralized derivatives positions with sovereigns. We show in a model that the regulatory incentive to obtain capital relief makes CDS contracts valuable to dealer banks and empirically that, consistent with the use of CDS for regulatory purposes, there is a disconnect between changes in bond yield spreads and in CDS premiums, especially for safe sovereigns. Additional empirical tests related ...
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作者：Gine, Xavier; Kanz, Martin
作者单位：The World Bank
摘要：We study the credit market impact and real effects of one of the largest borrower bailouts in history, enacted by the government of India against the backdrop of the 2007-2008 financial crisis. We find that the bailout led to a significant reallocation of credit and greater defaults, but had no offsetting positive effect on productivity, wages, or consumption. Post-program loan performance deteriorates faster in districts with greater program exposure, an effect that is not driven by greater r...
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作者：Schumacher, David
作者单位：McGill University
摘要：In their foreign portfolio allocations, international mutual funds overweight industries that are comparatively large in their domestic stock market. Aggregate excess foreign industry allocations are sizeable, on average amounting to over 100% for the largest domestic industries. While this foreign industry bias partly reflects familiarity-based motives, a large body of evidence on investment and performance patterns is, on the whole, remarkably consistent with a specialized learning motive co...
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作者：Goyal, Amit; Jegadeesh, Narasimhan
作者单位：University of Lausanne; Swiss Finance Institute (SFI); Emory University
摘要：We compare the performance of time-series (TS) and cross-sectional (CS) strategies based on past returns. While CS strategies are zero-net investment long/short strategies, TS strategies take on a time-varying net long investment in risky assets. For individual stocks, the difference between the performances of TS and CS strategies is largely due to this time-varying net long investment. With multiple international asset classes with heterogeneous return distributions, scaled CS strategies sig...
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作者：Hoberg, Gerard; Kumar, Nitin; Prabhala, Nagpurnanand
作者单位：University of Southern California; Indian School of Business (ISB); University System of Maryland; University of Maryland College Park
摘要：What economic forces limit mutual fund managers from generating consistent outperformance? We propose and test the hypothesis that buy-side competition from other funds matters. We make three contributions. First, we propose new style-based spatial methods to identify the customized rivals of each fund. Second, we construct dynamic, fund-specific measures of competition and generate measures of skill as a fund's outperformance relative to its customized peers. Third, and finally, we show that ...
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作者：Bandiera, Oriana; Lemos, Renata; Prat, Andrea; Sadun, Raffaella
作者单位：University of London; London School Economics & Political Science; The World Bank; Columbia University; Harvard University
摘要：We build a comparable and bottom-up measure of CEO labor supply for 1,114 CEOs and investigate whether family and professional CEOs differ along this dimension. Family CEOs work 9% fewer hours relative to professional CEOs. CEO hours worked are positively correlated with firm performance and account for 18% of the performance gap between family and professional CEOs. We study the sources of the differences in labor supply across family and professional CEOs by exploiting firm and industry hete...
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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...
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作者：Agarwal, Vikas; Vashishtha, Rahul; Venkatachalam, Mohan
作者单位：University System of Georgia; Georgia State University; Duke University
摘要：Pressure from institutional money managers to generate profits in the short run is often blamed for corporate myopia. Theoretical research suggests that money managers' short-term focus stems from their career concerns and greater fund transparency can amplify these concerns. Using a difference-in-differences design around a regulatory shock that increased the transparency of fund managers' portfolio choices, we examine whether increased transparency encourages myopic corporate investment beha...
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作者：Choi, Jaewon; Kronlund, Mathias
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：We examine reaching for yield in U.S. corporate bond mutual funds. We define reaching for yield as tilting portfolios toward bonds with yields higher than the benchmarks. We find that funds generate higher returns and attract more inflows when they reach for yield, especially in periods of low-interest rates. Returns for high reaching-for-yield funds nevertheless tend to be negative on a risk-adjusted basis. Funds engage in rank-chasing behavior by reaching for yield, although these incentives...
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作者：Gerakos, Joseph; Linnainmaa, Juhani T.
作者单位：Dartmouth College; University of Southern California; National Bureau of Economic Research
摘要：Firms move between growth and value because of changes in either size or book value of equity. The value premium is specific to variation in book-to-market that emanates from size changes. A factor based on this variation earns the entire value premium; one based on the remaining variation earns no premium. Hence, not all high book-to-market firms earn the value premium, and some low book-to-market firms earn value-like returns. Many models price portfolios sorted by size and book-to-market. N...
