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作者：Chabakauri, Georgy
作者单位：University of London; London School Economics & Political Science
摘要：We study dynamic equilibrium in a Lucas economy with two stocks, two heterogeneous constant relative risk aversion investors, and portfolio constraints. We focus on margin and leverage constraints, which restrict access to credit. We find a positive relationship between the amount of leverage in the economy and magnitudes of stock return correlations and volatilities. Tighter constraints generate rich patterns in correlations and volatilities, make them less countercyclical, increase risk prem...
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作者：Phillips, Gordon M.; Zhdanov, Alexei
作者单位：University of Southern California; National Bureau of Economic Research; University of Lausanne
摘要：We provide a model and empirical tests showing how an active acquisition market affects firm incentives to innovate and conduct R&D. Our model shows that small firms optimally may decide to innovate more when they can sell out to larger firms. Large firms may find it disadvantageous to engage in an R&D race with small firms, as they can obtain access to innovation through acquisition. Our model and evidence also show that the R&D responsiveness of firms increases with demand, competition, and ...
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作者：Cornaggia, Jess; Cornaggia, Kimberly J.
作者单位：Georgetown University; American University
摘要：We compare the stability and timeliness of credit ratings produced by a traditional issuer-paid rating agency (Moody's Investors Service) and a subscriber-paid rater (Rapid Ratings). Moody's ratings exhibit less volatility but are slower to identify default risk. We control for Moody's aversion to ratings volatility and still find its ratings lag Rapid Ratings'. More importantly, accuracy ratios indicate that Rapid Ratings provides a better ordinal ranking of credit risk. We quantify the loss ...
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作者：Fischer, Marcel; Stamos, Michael Z.
作者单位：Copenhagen Business School
摘要：In recent decades U.S. households have experienced residential house prices moving persistently, that is, returns being positively serially correlated. We set up a realistically calibrated life cycle model with slow-moving time variation in expected housing returns, showing that not only age, labor income, and pre-existing housing wealth but also the state of the housing market significantly affect household decisions. Consistently with the data, the model predicts that in good states of housi...
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作者：Christoffersen, Peter; Heston, Steven; Jacobs, Kris
作者单位：University of Toronto; Copenhagen Business School; University System of Maryland; University of Maryland College Park; University of Houston System; University of Houston; Tilburg University
摘要：We develop a GARCH option model with a new pricing kernel allowing for a variance premium. While the pricing kernel is monotonic in the stock return and in variance, its projection onto the stock return is nonmonotonic. A negative variance premium makes it U shaped. We present new semiparametric evidence to confirm this U-shaped relationship between the risk-neutral and physical probability densities. The new pricing kernel substantially improves our ability to reconcile the time-series proper...
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作者：Marquez, Robert; Yavuz, M. Deniz
作者单位：University of California System; University of California Davis; Purdue University System; Purdue University
摘要：We analyze optimal financial contracts when the specificity of investments is endogenous. Specialization decreases the liquidation value of assets, but improves the asset's long-term productivity. While the former is known to make financing more difficult, we show that the latter can ease financing constraints and increase financing capacity by improving an entrepreneur's incentive to repay. The overall impact of specialization on the terms of financing depends on which effect is more importan...
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作者：Custodio, Claudia; Metzger, Daniel
作者单位：Arizona State University; Arizona State University-Tempe; Stockholm School of Economics
摘要：This paper shows how chief executive officer (CEO) characteristics affect the performance of acquirers in diversifying takeovers. When the acquirer's CEO has previous experience in the target industry, the acquirer's abnormal announcement returns are between 1.2 and 2.0 percentage points larger than those generated by a CEO who is new to the target industry. This outcome is driven by the industryexpert CEO's ability to capture a larger fraction of the merger surplus. Industryexpert CEOs typica...
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作者：Fernandes, Nuno; Ferreira, Miguel A.; Matos, Pedro; Murphy, Kevin J.
作者单位：Universidade Nova de Lisboa; University of Virginia; University of Southern California
摘要：This paper challenges the widely accepted stylized fact that chief executive officers (CEOs) in the United States are paid significantly more than their foreign counterparts. Using CEO pay data across fourteen countries with mandated pay disclosures, we show that the U.S. pay premium is economically modest and primarily reflects the performance-based pay demanded by institutional shareholders and independent boards. Indeed, we find no significant difference in either level of CEO pay or the us...
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作者：Repullo, Rafael; Suarez, Javier
摘要：We compare various bank capital regulation regimes using a dynamic equilibrium model of relationship lending in which banks are unable to access the equity markets every period and the business cycle determines loans' probabilities of default. Banks hold endogenous capital buffers as a precaution against shocks that impair their future lending capacity. We find that Basel II is more procyclical than Basel I but makes banks safer, and it is generally superior in welfare terms. For high social c...
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作者：Lerner, Josh; Malmendier, Ulrike
作者单位：Harvard University; National Bureau of Economic Research; University of California System; University of California Berkeley
摘要：How do individuals decide to become entrepreneurs and learn to make optimal entrepreneurial decisions? The concentration of entrepreneurs in regions such as Silicon Valley has stimulated research and policy interest into the influence of peers, but the causal effect is hard to identify empirically. We exploit the exogenous assignment of students into business-school sections to identify the causal effect of entrepreneurial peers. We show that, in contrast to prior findings, a higher share of e...
