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作者：Fang, Lily; Ivashina, Victoria; Lerner, Josh
作者单位：Harvard University; National Bureau of Economic Research
摘要：Bank-affiliated private equity groups account for 30% of all private equity investments. Their market share is highest during peaks of the private equity market, when the parent banks arrange more debt financing for in-house transactions yet have the lowest exposure to debt. Using financing terms and ex post performance, we show overall that banks do not make superior equity investments to those of stand-alone private equity groups. Instead, they appear to expand their private equity engagemen...
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作者：Carlin, Bruce Ian; Gervais, Simon; Manso, Gustavo
作者单位：University of California System; University of California Los Angeles; Duke University; University of California System; University of California Berkeley
摘要：We develop a theoretical model to analyze the effects of libertarian paternalism on information production and financial decision making. Individuals in our model appreciate the information content of the recommendations made by a social planner. This affects their incentive to gather information, and in turn the speed at which information spreads across market participants, via social learning or formal advice channels. We characterize situations in which libertarian paternalism improves welf...
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作者：Alan, Sule; Loranth, Gyongyi
作者单位：Koc University; University of Vienna
摘要：Using a unique panel data set from a U.K. credit card company, we analyze the interest rate sensitivity of subprime credit card borrowers. In addition to all individual transactions and loan terms, we have access to details of a randomized interest rate experiment conducted by the lender on existing (inframarginal) loans. For the whole sample, we estimate a statistically significant 3.4 pound reduction in monthly credit demand in response to a five percentage point increase in interest rates. ...
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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：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：Kozhan, Roman; Neuberger, Anthony; Schneider, Paul
作者单位：University of Warwick; City St Georges, University of London; Universita della Svizzera Italiana
摘要：We develop a new method for measuring moment risk premiums. We find that the skew premium accounts for over 40% of the slope in the implied volatility curve in the S&P 500 market. Skew risk is tightly related to variance risk, in the sense that strategies designed to capture the one and hedge out exposure to the other earn an insignificant risk premium. This provides a new testable restriction for asset pricing models trying to capture, in particular, disaster risk premiums. We base our result...
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作者：Natividad, Gabriel
摘要：I provide a new characterization of internal capital markets in an emerging economy using daily divisional data on all Peruvian fish-processing firms. A regression discontinuity model exploiting government production bans on regulated divisions (fishmeal) shows that the increased investment in the nonfishmeal divisions due to the bans is substantial (over 30% of the mean value), after controlling for productivity. The redeployment of financial capacity into nonfishmeal investments is particula...
