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作者：Matvos, Gregor
作者单位：University of Chicago; National Bureau of Economic Research
摘要：I provide a revealed-preference-based framework that uses covenant prices and choices to quantitatively study how covenants generate firm benefits by completing debt contracts. I use a rational-expectations-based panel estimator of covenant prices, which does not require quasi-experimental variation, to circumvent the problem of endogenous covenant choices. I find that firms' surpluses exceed the spread paid on a loan. Leverage and interest-rate covenants produce the largest benefits, lending ...
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作者：Vayanos, Dimitri; Woolley, Paul
作者单位：University of London; London School Economics & Political Science; National Bureau of Economic Research
摘要：We propose a theory of momentum and reversal based on flows between investment funds. Flows are triggered by changes in fund managers' efficiency, which investors either observe directly or infer from past performance. Momentum arises if flows exhibit inertia, and because rational prices underreact to expected future flows. Reversal arises because flows push prices away from fundamental values. Besides momentum and reversal, flows generate comovement, lead-lag effects, and amplification, with ...
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作者：Jostova, Gergana; Nikolova, Stanislava; Philipov, Alexander; Stahel, Christof W.
作者单位：George Washington University; University of Nebraska System; University of Nebraska Lincoln; George Mason University
摘要：This paper documents significant momentum in a comprehensive sample of 81,491 U.S. corporate bonds with both transaction and dealer-quote data from 1973 to 2011. Momentum is driven by noninvestment grade (NIG) bonds. Momentum profits have increased over time, along with the growth of this segment. From 1991 to 2011, they average 59 basis points (bps) per month across all bonds and 192 bps in NIG bonds. NIG bonds issued by private firms earn even higher profits (282 bps). Momentum profits do no...
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作者：Fee, C. Edward; Hadlock, Charles J.; Pierce, Joshua R.
作者单位：Michigan State University; University of South Carolina System; University of South Carolina Columbia
摘要：In a large panel of Compustat firms, we find that firm policy changes after exogenous CEO departures do not display abnormally high levels of variability, casting doubt on the presence of idiosyncratic-style effects in policy choices. After endogenous CEO departures, we do detect abnormally large policy changes. These changes are larger when the firm is likely to draw from a deeper pool of replacement CEO candidates, suggesting the presence of causal-style effects that are anticipated by the b...
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作者：Belo, Frederico; Xue, Chen; Zhang, Lu
作者单位：University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; University System of Ohio; University of Cincinnati; University System of Ohio; Ohio State University
摘要：A new methodology for equity valuation arises from the perspective of managers' supply of capital assets. Under q-theory, managers optimally adjust the supply of assets to changes in their market value. The first-order condition of investment then provides a valuation equation that infers asset prices from managers' costs of supplying the assets. This equation fits well the Tobin's q levels across many testing assets, including portfolios formed on q. With current investment-to-capital as the ...
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作者：Huang, Sheng; Thakor, Anjan V.
作者单位：Singapore Management University; Washington University (WUSTL)
摘要：This paper develops and tests a new theoretical explanation for stock repurchases. Investors may disagree with the manager about the firm's investment projects. Arepurchase causes a change in the investor base as investors who are most likely to disagree with the manager tender their shares. Therefore, a firm is more likely to buy back shares when the level of investor-management agreement is lower, and agreement improves as a consequence. Moreover, dispersion of opinion among investors cannot...
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作者：Doshi, Hitesh; Ericsson, Jan; Jacobs, Kris; Turnbull, Stuart M.
作者单位：University of Houston System; University of Houston; McGill University; Tilburg University
摘要：Observable covariates are useful for predicting default, but several studies question their value for explaining credit spreads. We introduce a discrete-time no-arbitrage model with observable covariates, which allows for a closed-form solution for the value of credit default swaps (CDS). The default intensity is a quadratic function of the covariates, specified such that it is always positive. The model yields economically plausible results in terms of fit, the economic impact of the covariat...
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作者：Liu, Jun; Timmermann, Allan
作者单位：University of California System; University of California San Diego
摘要：Convergence trades exploit temporary mispricing by simultaneously buying relatively underpriced assets and selling short relatively overpriced assets. This paper studies optimal convergence trades under both recurring and nonrecurring arbitrage opportunities represented by continuing and stopped cointegrated price processes and considers both fixed and stochastic (Poisson) horizons. Conventional long-short delta neutral strategies are generally suboptimal and it can be optimal to simultaneousl...
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作者：Faulkender, Michael; Yang, Jun
作者单位：University System of Maryland; University of Maryland College Park; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：Firms routinely justify CEO compensation by benchmarking against companies with highly paid CEOs. We examine whether the 2006 regulatory requirement of disclosing compensation peers mitigated firms' opportunistic peer selection activities. We find that strategic peer benchmarking did not disappear after enhanced disclosure. In fact, it intensified at firms with low institutional ownership, low director ownership, low CEO ownership, busy boards, large boards, and non-intensive monitoring boards...
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作者：Bansal, Ravi; Shaliastovich, Ivan
作者单位：University of Pennsylvania; Duke University
摘要：We show that bond risk premia rise with uncertainty about expected inflation and fall with uncertainty about expected growth; the magnitude of return predictability using these uncertainty measures is similar to that by multiple yields. Motivated by this evidence, we develop and estimate a long-run risks model with timevarying volatilities of expected growth and inflation. The model simultaneously accounts for bond return predictability and violations of uncovered interest parity in currency m...
