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作者：Adrian, Tobias; Shin, Hyun Song
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Princeton University
摘要：The availability of credit varies over the business cycle through shifts in the leverage of financial intermediaries. Empirically, we find that intermediary leverage is negatively aligned with the banks' Value-at-Risk (VaR). Motivated by the evidence, we explore a contracting model that captures the observed features. Under general conditions on the outcome distribution given by extreme value theory (EVT), intermediaries maintain a constant probability of default to shifts in the outcome distr...
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作者：Chambers, Donald R.; Foy, Matthew; Liebner, Jeffrey; Lu, Qin
作者单位：Lafayette College
摘要：Previous research indicates mixed conclusions on the potential mispricing of equity index put options. We examine the returns of put writing and other option strategies by comparing historical option returns with returns generated using option pricing models. We find it is generally possible to reject the hypothesis that put returns are consistent with option pricing models. An implication is that the average cost of buying out-of-the-money put options to provide tail-risk protection to a port...
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作者：Kelly, Bryan; Jiang, Hao
作者单位：University of Chicago; National Bureau of Economic Research; Michigan State University
摘要：We propose a new measure of time-varying tail risk that is directly estimable from the cross-section of returns. We exploit firm-level price crashes every month to identify common fluctuations in tail risk among individual stocks. Our tail measure is significantly correlated with tail risk measures extracted from S&P 500 index options and negatively predicts real economic activity. We show that tail risk has strong predictive power for aggregate market returns. Cross-sectionally, stocks with h...
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作者：Fulghieri, Paolo; Strobl, Guenter; Xia, Han
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Frankfurt School Finance & Management; University of Texas System; University of Texas Dallas
摘要：This paper develops a dynamic rational expectations model of the credit rating process, incorporating three critical elements of this industry: (1) the rating agencies' ability to misreport the issuer's credit quality, (2) their ability to issue unsolicited ratings, and (3) their reputational concerns. We analyze the incentives of credit rating agencies to issue unsolicited credit ratings and the effects of this practice on the agencies' rating strategies. We find that issuance of unfavorable ...
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作者：Arif, Salman; Lee, Charles M. C.
作者单位：Indiana University System; Indiana University Bloomington; Stanford University
摘要：Using bottom-up information from corporate financial statements, we examine the relation between aggregate investment, future equity returns, and investor sentiment. Consistent with the business cycle literature, corporate investments peak during periods of positive sentiment, yet these periods are followed by lower equity returns. This pattern exists in most developed countries and survives controls for discount rates, equity flows, valuation multiples, operating accruals, and other investor ...
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作者：Gospodinov, Nikolay; Kan, Raymond; Robotti, Cesare
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; University of Toronto; Imperial College London
摘要：This paper shows that in misspecified models with risk factors that are uncorrelated with the test asset returns, the conventional inference methods tend to erroneously conclude, with high probability, that these factors are priced. Our proposed model selection procedure, which is robust to identification failure and potential model misspecification, restores the standard inference and proves to be effective in eliminating factors that do not improve the model's pricing ability. Applying our m...
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作者：Gopalan, Radhakrishnan; Nanda, Vikram; Seru, Amit
作者单位：Washington University (WUSTL); University System of Georgia; Georgia Institute of Technology; University of Chicago; National Bureau of Economic Research
摘要：We argue that internal capital market imperatives of business groups i.e., reallocation of capital across group firms, influences an affiliated firms dividend policy. Intuition is developed in a model in which business group insiders distribute dividends from cash-rich firms and use their share of payout to invest in other affiliated firms. Employing multi-country panel-data, we find support for this channel: Dividends by a group firm are positively related with equity-financed investments by ...
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作者：Hillert, Alexander; Jacobs, Heiko; Mueller, Sebastian
作者单位：University of Mannheim
摘要：Relying on 2.2 million articles from forty-five national and local U.S. newspapers between 1989 and 2010, we find that firms particularly covered by the media exhibit, ceteris paribus, significantly stronger momentum. The effect depends on article tone, reverses in the long run, is more pronounced for stocks with high uncertainty, and is stronger in states with high investor individualism. Our findings suggest that media coverage can exacerbate investor biases, leading return predictability to...
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作者：Franks, Julian; Mayer, Colin; Miyajima, Hideaki
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; Centre for Economic Policy Research - UK; University of Oxford; Waseda University
摘要：Twentieth century Japan provides a remarkable laboratory for examining how an externally imposed institutional and regulatory intervention affects the ownership of corporations. In the first half of the century, Japan had weak legal protection but strong institutional arrangements. The institutions were dismantled after the war and replaced by a strong form of legal protection. This inversion resulted in a switch from Japan being a country in which equity markets flourished and ownership was d...
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作者：Barzuza, Michal; Smith, David C.
作者单位：University of Virginia; University of Virginia
摘要：We find that Nevada, the second most popular state for out-of-state incorporations and a state with lax corporate law, attracts firms that are 30-40% more likely to report financial results that later require restatement than firms incorporated in other states, including Delaware. Our results suggest that firms favoring protections for insiders select Nevada as a corporate home, and these firms are prone to financial reporting failures. We provide some evidence that Nevada law also has a causa...
