-
作者：Fishman, Michael J.; Parker, Jonathan A.
作者单位：Northwestern University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We study a market for funding real investment where valuation-meaning investors devoting resources to acquiring information about future payoffs-creates an adverse selection problem. Unlike previous models, more valuation is associated with lower market prices and so greater returns to valuation. This strategic complementarity in the capacity to do valuation generates multiple equilibria. With multiple equilibria, the equilibrium without valuation is most efficient despite funding some unprofi...
-
作者：Bai, Jennie; Collin-Dufresne, Pierre; Goldstein, Robert S.; Helwege, Jean
作者单位：Georgetown University; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities; University of California System; University of California Riverside
摘要：Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit-event risk typically preclude the most plausible economic justification for such risk to be priced, namely, a contemporaneous drop in the market portfolio. When this contagion channel is introduced within a general equilibrium framework for an economy comprising a large number of firms, credit-event risk premia have an upper bound of a few basis points, and are dwarfed by the contagion p...
-
作者：Gilbert, Thomas; Hrdlicka, Christopher
作者单位：University of Washington; University of Washington Seattle
摘要：We build a model of universities combining their real production decisions with their choice of endowment size and asset allocation. Variation in opportunity cost, that is, the productivity of internal projects, has a first-order effect on these choices. Adding the UPMIFA-mandated 7% payout constraint, the endowment size and asset allocations match those empirically observed. This constraint has little effect on universities that do not value the output of their internal projects but harms tho...
-
作者：Carvalho, Daniel
作者单位：University of Southern California
摘要：This paper shows that during industry downturns, firms experience significantly greater valuation losses when their industry peers' long-term debt is maturing at the time of the shocks. Across a range of tests, the analysis addresses the endogenous determination of peer debt-maturity structure. Overall, the evidence suggests that the negative externalities financially constrained firms impose on their industry peers can significantly amplify the effects of industry downturns. The evidence also...
-
作者：Acharya, Viral V.; Lambrecht, Bart M.
作者单位：New York University; Centre for Economic Policy Research - UK; National Bureau of Economic Research; University of Cambridge
摘要：We develop a theory of income and payout smoothing by firms when insiders know more about income than outside shareholders, but property rights ensure that outsiders can enforce a fair payout. Insiders set payout to meet outsiders' expectations and underproduce to manage future expectations downward. The observed income and payout process are smooth and adjust partially and over time in response to economic shocks. The smaller the inside ownership, the more severe underproduction is, resulting...
-
作者：Dai, Min; Liu, Hong; Yang, Chen; Zhong, Yifei
作者单位：National University of Singapore; National University of Singapore; Washington University (WUSTL); University of Oxford
摘要：We develop an optimal tax-timing model that takes into account asymmetric long-term and short-term tax rates for positive capital gains and limited tax deductibility of capital losses. In contrast to the existing literature, this model can help explain why many investors not only defer short-term capital losses to long term but also defer large long-term capital gains and losses. Because the benefit of tax deductibility of capital losses increases with the short-term tax rates, effective tax r...
-
作者：Gale, Douglas; Gottardi, Piero
作者单位：New York University; Imperial College London; European University Institute; Universita Ca Foscari Venezia
摘要：We study a dynamic general equilibrium model in which firms choose their investment level and capital structure, trading off the tax advantages of debt against the risk of costly default. Bankruptcy costs are endogenous, as bankrupt firms are forced to liquidate their assets, resulting in a fire sale if the market is illiquid. When the corporate income tax rate is positive, firms have a unique optimal capital structure. In equilibrium, firms default with positive probability and their assets a...
