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作者：Guibaud, Stephane; Nosbusch, Yves; Vayanos, Dimitri
作者单位：University of London; London School Economics & Political Science; National Bureau of Economic Research
摘要：We propose a clientele-based model of the yield curve and optimal maturity structure of government debt. Clienteles are generations of agents at different lifecycle stages in an overlapping-generations economy. An optimal maturity structure exists in the absence of distortionary taxes and induces efficient intergenerational risksharing. If agents are more risk-averse than log, then an increase in the long-horizon clientele raises the price and optimal supply of long-term bonds-effects that we ...
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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：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：Ewens, Michael; Jones, Charles M.; Rhodes-Kropf, Matthew
作者单位：Carnegie Mellon University; Columbia University; Harvard University; National Bureau of Economic Research
摘要：This paper demonstrates how the principal-agent problem between venture capitalists and their investors (limited partners) causes limited partner returns to depend on diversifiable risk. Our theory shows why the need for investors to motivate VCs alters the negotiations between VCs and entrepreneurs and changes how new firms are priced. The three-way interaction rationalizes the use of high discount rates by VCs and predicts a correlation between total risk and net of fee investor returns. We ...
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作者：Lou, Dong; Yan, Hongjun; Zhang, Jinfan
作者单位：University of London; London School Economics & Political Science; Yale University
摘要：We show that Treasury security prices in the secondary market decrease significantly in the few days before Treasury auctions and recover shortly thereafter, even though the time and amount of each auction are announced in advance. These results are linked to dealers' limited risk-bearing capacity and end-investors' imperfect capital mobility, highlighting the important role of frictions even in very liquid financial markets. Our results imply a hidden issuance cost to the U. S. Department of ...
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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...
