-
作者：Erel, Isil; Nadauld, Taylor; Stulz, Rene M.
作者单位：University System of Ohio; Ohio State University; Brigham Young University; National Bureau of Economic Research; University System of Ohio; Ohio State University; University System of Ohio; Ohio State University
摘要：We provide estimates of holdings of highly rated securitization tranches of U.S. bank holding companies before the credit crisis and evaluate hypotheses that have been advanced to explain them. Whereas holdings exceeded Tier 1 capital for some large banks, they were economically trivial for the typical bank. Banks with high holdings were not riskier before the crisis using conventional measures, but they performed poorly during the crisis. We find that holdings of highly rated tranches were co...
-
作者：Buraschi, Andrea; Kosowski, Robert; Trojani, Fabio
作者单位：Imperial College London; University of Oxford; Universita della Svizzera Italiana; Swiss Finance Institute (SFI)
摘要：Using a novel data set on correlation swaps, we study the relation between correlation risk, hedge fund characteristics, and their risk-return profile. We find that the ability of hedge funds to create market-neutral returns is often associated with a significant exposure to correlation risk, which helps to explain the large abnormal returns found in previous models. We also estimate a significant negative market price of correlation risk, which accounts for the cross-section of hedge fund exc...
-
作者：Jiang, Wei; Nelson, Ashlyn Aiko; Vytlacil, Edward
作者单位：Columbia University; Indiana University System; Indiana University Bloomington; New York University
摘要：This study examines the relation between securitization and loan performance using a comprehensive dataset from a major national mortgage lender. Loans remaining on the bank's balance sheet ex post incurred higher delinquency rates than sold loans, contrasting the negative relation between screening efforts and ex ante probability of loan sale explored by prior studies. Moreover, the performance gap between sold and retained loans was wider among the subsample of loans that were perceived as e...
-
作者：Bhamra, Harjoat S.; Uppal, Raman
作者单位：University of British Columbia; Imperial College London; Universite Catholique de Lille; EDHEC Business School
摘要：In this paper, we study asset prices in a dynamic, continuous-time, and general-equilibrium endowment economy in which agents have catching up with the Joneses utility functions and differ with respect to their beliefs (because of differences in priors) and their preference parameters for time discount, risk aversion, and sensitivity to habit. A key contribution of our paper is to demonstrate how one can obtain a closed-form solution to the consumption-sharing rule for agents who have both het...
-
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...
-
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 ...
-
作者：Gormley, Todd A.; Matsa, David A.
作者单位：University of Pennsylvania; Northwestern University
摘要：Controlling for unobserved heterogeneity (or common errors), such as industry-specific shocks, is a fundamental challenge in empirical research.This paper discusses the limitations of two approaches widely used in corporate finance and asset pricing research: demeaning the dependent variable with respect to the group (e.g., industry-adjusting) and adding the mean of the group's dependent variable as a control. We show that these methods produce inconsistent estimates and can distort inference....
