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作者：Garmaise, Mark J.
摘要：A mortgage program that offered borrowers greater flexibility in the timing of repayments increased a bank's volume by over 35%. Loans in the program exhibited superior performance. Despite this, a regression discontinuity analysis shows that the causal impact of offering flexibility was to attract borrowers to the bank who experienced quadruple the average delinquency rate. These contrasting findings are driven by the fact that the bank engaged in ex post sorting of stronger borrowers into th...
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作者：Griffin, John M.; Nickerson, Jordan; Tang, Dragon Yongjun
作者单位：University of Texas System; University of Texas Austin; University of Hong Kong
摘要：We examine whether rating shopping or rating catering is a more accurate characterization of rating agency interactions regarding collateralized debt obligations (CDOs). Although investors paid a premium for dual ratings, AAA CDO tranches rated by both Moody's and S&P defaulted more frequently than tranches rated by only one of them, which is inconsistent with pure rating shopping. Rating agencies made upward adjustments beyond their model when their competitor had more lenient assumptions. Fi...
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作者：Engelberg, Joseph; Gao, Pengjie; Parsons, Christopher A.
作者单位：University of California System; University of California San Diego; University of Notre Dame
摘要：CEOs with large networks earn more than those with small networks. An additional connection to an executive or director outside the firm increases compensation by about $17,000 on average, more so for important members, such as CEOs of big firms. Pay-for-connectivity is unrelated to several measures of corporate governance, evidence in favor of an efficient contracting explanation for CEO pay.
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作者：Banal-Estanol, Albert; Ottaviani, Marco; Winton, Andrerw
作者单位：Pompeu Fabra University; Barcelona School of Economics; Bocconi University; University of Minnesota System; University of Minnesota Twin Cities
摘要：This paper characterizes when joint financing of two projects through debt increases expected default costs, contrary to conventional wisdom. Separate financing dominates joint financing when risk-contamination losses-that are associated with the contagious default of a well-performing project that is dragged down by the other project's poor performance-outweigh standard coinsurance gains. Separate financing becomes more attractive than joint financing when the fraction of returns lost under d...
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作者：Gaul, Lewis; Uysal, Pinar
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：This paper examines whether unobservable differences in firm volatility are responsible for the global loan pricing puzzle, which is the observation that corporate loan interest rates appear to be lower in Europe than in the United States. We analyze whether equity volatility, an error prone measure of firm volatility, can explain this difference in loan spreads. We show that using equity volatility in OLS regressions will result in biased and inconsistent estimates of the difference in U.S. a...
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作者：Kogan, Leonid; Papanikolaou, Dimitris
作者单位：National Bureau of Economic Research
摘要：Average return differences among firms sorted on valuation ratios, past investment, profitability, market beta, or idiosyncratic volatility are largely driven by differences in exposures of firms to the same systematic factor related to embodied technology shocks. Using a calibrated structural model, we show that these firm characteristics are correlated with the ratio of growth opportunities to firm value, which affects firms' exposures to capital-embodied productivity shocks and risk premia....
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作者：Epstein, Larry G.; Ji, Shaolin
作者单位：Boston University; Shandong University
摘要：We formulate a model of utility for a continuous-time framework that captures aversion to ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are presented. First, we derive arbitrage-free pricing rules based on hedging arguments. Because ambiguous volatility implies market incompleteness, hedging arguments determine prices only up to intervals. In order to obtain sharper predictions, we apply the model of utility to a representativ...
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作者：Saretto, Alessio; Tookes, Heather E.
作者单位：University of Texas System; University of Texas Dallas; Yale University
摘要：Does the ability of suppliers of corporate debt capital to hedge risk through credit default swap (CDS) contracts impact firms' capital structures? We find that firms with traded CDS contracts on their debt are able to maintain higher leverage ratios and longer debt maturities. This is especially true during periods in which credit constraints become binding, as would be expected if the ability to hedge helps alleviate frictions on the supply side of credit markets.
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作者：Subrahmanyam, Avanidhar; Titman, Sheridan
作者单位：University of California System; University of California Los Angeles; University of Texas System; University of Texas Austin; National Bureau of Economic Research
摘要：Feedback from stock prices to cash flows occurs because information revealed by firms' stock prices influences the actions of competitors. We explore the implications of feedback within a noisy rational expectations setting with incumbent publicly traded firms and privately held new entrants. In this setting the equilibrium relation among stock prices and both future dividends and aggregate output depends on the strategic environment in which these firms operate. In general, under reasonable c...
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作者：Tiu, Cristian; Yoeli, Uzi
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY
摘要：We develop a parsimonious model in which frictions in the labor market may turn small, continuous labor productivity declines into large drops in employment, endogenously causing disasters. Assuming one state variable and CRRA agents, we solve for prices in closed form, calibrate the model using labor market data, and show that this simple setting captures the high, countercyclical volatility and equity premium observed in the United States. Moreover, returns in our model are conditionally pre...
