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作者：Bao, Jack; Pan, Jun
作者单位：University System of Ohio; Ohio State University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We find that the empirical volatilities of corporate bond and CDS returns are higher than implied by equity return volatilities and the Merton model. This excess volatility may arise because structural models inadequately capture either fundamentals or illiquidity. Our evidence supports the latter explanation. We find little relation between excess volatility and measures of firm fundamentals and the volatility of firm fundamentals but some relation with variables proxying for time-varying ill...
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作者：Dittmann, Ingolf; Maug, Ernst; Spalt, Oliver G.
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; University of Mannheim; Tilburg University
摘要：We analyze the efficiency of indexing executive pay by calibrating the standard compensation model to a large sample of U.S. CEOs. The benefits from indexing the strike price of options are small, and fully indexing all options would increase compensation costs by 50% for most firms. Indexing has several effects with overall ambiguous outcome; the quantitatively most important effect is to reduce incentives, because indexed options pay off when CEOs' marginal utility is low. The results also h...
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作者：Ang, Andrew; Shtauber, Assaf A.; Tetlock, Paul C.
作者单位：Columbia University
摘要：Over-the-counter (OTC) stocks are far less liquid, disclose less information, and exhibit lower institutional holdings than do listed stocks. We exploit these different market conditions to test theories of cross-sectional return premiums. Compared with premiums in listed markets, the OTC illiquidity premium is several times higher, the size, value, and volatility premiums are similar, and the momentum premium is three times lower. The OTC illiquidity, size, value, and volatility premiums are ...
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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：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：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 ...
