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作者：Busch, Pascal; Obernberger, Stefan
作者单位：University of Mannheim
摘要：We examine the impact of actual share repurchases on stock prices using several measures of price efficiency and manually collected data on U.S. repurchases. We find that share repurchases make prices more efficient and reduce idiosyncratic risk. Further analyses reveal that the effects are primarily driven by repurchases in down markets. We conclude that share repurchases help to maintain accurate stock prices by providing price support at fundamental values. We find no evidence that managers...
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作者：Brownlees, Christian; Engle, Robert F.
作者单位：Pompeu Fabra University; Barcelona School of Economics; New York University
摘要：We introduce SRISK to measure the systemic risk contribution of a financial firm. SRISK measures the capital shortfall of a firm conditional on a severe market decline, and is a function of its size, leverage and risk. We use the measure to study top financial institutions in the recent financial crisis. SRISK delivers useful rankings of systemic institutions at various stages of the crisis and identifies Fannie Mae, Freddie Mac, Morgan Stanley, Bear Stearns, and Lehman Brothers as top contrib...
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作者：Chang, Tom Y.; Hartzmark, Samuel M.; Solomon, David H.; Soltes, Eugene F.
作者单位：University of Southern California; Harvard University
摘要：We present evidence consistent with markets failing to properly price information in seasonal earnings patterns. Firms with historically larger earnings in one quarter of the year (positive seasonality quarters) have higher returns when those earnings are usually announced. Analysts have more positive forecast errors in positive seasonality quarters, consistent with the returns being driven by mistaken earnings estimates. We show that investors appear to overweight recent lower earnings follow...
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作者：Acharya, Viral V.; Pedersen, Lasse H.; Philippon, Thomas; Richardson, Matthew
作者单位：New York University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; New York University; Centre for Economic Policy Research - UK; New York University
摘要：We present an economic model of systemic risk in which undercapitalization of the financial sector as a whole is assumed to harm the real economy, leading to a systemic risk externality. Each financial institution's contribution to systemic risk can be measured as its systemic expected shortfall (SES), that is, its propensity to be undercapitalized when the system as a whole is undercapitalized. SES increases in the institution's leverage and its marginal expected shortfall (MES), that is, its...
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作者：Oehmke, Martin; Zawadowski, Adam
作者单位：Columbia University; National Bureau of Economic Research; Central European University
摘要：Using novel position and trading data for single-name corporate credit default swaps (CDSs), we provide evidence that CDS markets emerge as alternative trading venues serving a standardization and liquidity role. CDS positions and trading volume are larger for firms with bonds fragmented into many separate issues and with heterogeneous contractual terms. Whereas hedging motives are associated with trading volume in the bond and CDS markets, speculative trading concentrates in the CDS. Cross-ma...
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作者：Katz, Michael; Lustig, Hanno; Nielsen, Lars
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作者：Bond, Philip; Elul, Ronel; Garyn-Tal, Sharon; Musto, David K.
作者单位：University of Washington; University of Washington Seattle; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; Max Stern Yezreel Valley College; University of Pennsylvania
摘要：In most U.S. states, mortgage seniority follows time priority: older mortgages are paid first. This potentially impedes refinancing of senior mortgages because replacement mortgages are junior unless the existing junior lienholders consent to resubordination. We exploit legal variation across states to provide evidence that time priority reduces refinancing, especially of smaller mortgages (suggesting a significant fixed cost of obtaining resubordination) and of mortgages close to the conformi...
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作者：Begley, Taylor A.; Purnanandam, Amiyatosh
作者单位：Washington University (WUSTL); Washington University (WUSTL); University of Michigan System; University of Michigan
摘要：We study the key drivers of security design in the residential mortgage-backed security (RMBS) market during the run-up to the subprime mortgage crisis. We show that deals with a higher level of equity tranche have a significantly lower delinquency rate conditional on observable loan characteristics. The effect is concentrated within pools with a higher likelihood of asymmetric information between deal sponsors and potential buyers of the securities. Further, securities sold from high-equity-t...
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作者：Decamps, Jean-Paul; Gryglewicz, Sebastian; Morellec, Erwan; Villeneuve, Stephane
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK
摘要：We model the financing, cash holdings, and hedging policies of a firm facing financing frictions and subject to permanent and transitory cash flow shocks. The permanent and transitory shocks generate distinct, sometimes opposite, effects on corporate policies. We use the model to develop a rich set of empirical predictions. In our model, correlated permanent and transitory shocks imply less risk, lower cash savings, and a drop in the value of credit lines. The composition of cash-flow shocks a...
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作者：Kim, Hyunseob; Kung, Howard
作者单位：Cornell University; University of London; London Business School
摘要：This paper examines how uncertainty affects corporate investment under varying degrees of asset redeployability. We develop new measures of asset redeployability by accounting for the usability of assets within and across industries. We identify plausibly exogenous shocks to economic uncertainty by using major economic and political events. We find that after an increase in uncertainty, firms using less redeployable capital reduce investment more. More redeployable assets exhibit higher recove...
