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作者：Oehmke, Martin; Zawadowski, Adam
作者单位：Columbia University; Boston University; Central European University
摘要：We provide a model of nonredundant credit default swaps (CDSs), building on the observation that CDSs have lower trading costs than bonds. CDS introduction involves a trade-off: it crowds out existing demand for the bond, but improves the bond allocation by allowing long-term investors to become levered basis traders and absorb more of the bond supply. We characterize conditions under which CDS introduction raises bond prices. The model predicts a negative CDS-bond basis, as well as turnover a...
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作者：Berg, Tobias
作者单位：University of Bonn
摘要：This paper studies the dual role of risk managers and loan officers in a bank's organizational structure. Using 75,000 retail mortgage applications, I analyze the effect of risk-management involvement on loan default rates. The bank requires risk-management approval for loans that are considered risky based on hard information, using a sharp threshold that changes during the sample period. Using a regression discontinuity design and a difference-in-differences estimator, I am able to show that...
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作者：Denis, David J.; Denis, Diane K.; Walker, Mark D.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; North Carolina State University
摘要：Following corporate spinoffs, unit boards are formed from scratch. We find that these de novo boards are smaller, more independent, include more outside directors with relevant industry expertise, and derive more industry expertise from outsiders than do industry- and size-matched peers. These differences are observed only when the unit CEO was not the CEO or a director of the pre-spinoff parent firm-that is, when there is a greater need to assess the CEO's ability and match with the firm. We ...
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作者：Jegadeesh, Narasimhan; Kraeussl, Roman; Pollet, Joshua M.
作者单位：Emory University; University of Luxembourg; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We estimate the risk and expected return of private equity using market prices of publicly traded funds of funds holding unlisted private equity funds and of publicly traded private equity funds participating directly in private equity transactions. We find that the market expects unlisted private equity funds to earn abnormal returns between -0.5% and 2% per year. In addition, private equity has a market beta close to one and a positive beta on the SMB factor. These listed funds exhibit great...
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作者：Brogaard, Jonathan; Hagstromer, Bjorn; Norden, Lars; Riordan, Ryan
作者单位：University of Washington; University of Washington Seattle; Stockholm University; Queens University - Canada
摘要：We exploit an optional colocation upgrade at NASDAQ OMX Stockholm to assess how speed affects market liquidity. Liquidity improves for the overall market and even for noncolocated trading entities. We find that the upgrade is pursued mainly by participants who engage in market making. Those that upgrade use their enhanced speed to reduce their exposure to adverse selection and to relax their inventory constraints. In particular, the upgraded trading entities remain competitive at the best bid ...
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作者：Dimson, Elroy; Karakas, Oguzhan; Li, Xi
作者单位：University of Cambridge; University of London; London Business School; Boston College; Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
摘要：We analyze an extensive proprietary database of corporate social responsibility engagements with U.S. public companies from 1999-2009. Engagements address environmental, social, and governance concerns. Successful (unsuccessful) engagements are followed by positive (zero) abnormal returns. Companies with inferior governance and socially conscious institutional investors are more likely to be engaged. Success in engagements is more probable if the engaged firm has reputational concerns and high...
