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作者：Pool, Veronika K.; Stoffman, Noah; Yonker, Scott E.
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：We show that familiarity affects the portfolio decisions of mutual fund managers. Controlling for fund location, funds overweight stocks from their managers' home states by 12% compared with their peers. In team-managed funds, home-state overweighting is 37% larger than the fund location effect. The home-state bias is stronger if the manager is inexperienced, is resource-constrained, or spent more time in his home state. Home-state stocks do not outperform other holdings, confirming that home-...
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作者：Fontaine, Jean-Sebastien; Garcia, Rene
作者单位：Bank of Canada; Universite Catholique de Lille; EDHEC Business School
摘要：Theory predicts that funding conditions faced by financial intermediaries are an important limit to arbitrage. We identify and measure the value of funding liquidity from the cross-section of Treasury securities. To validate our interpretation, we establish linkages with funding conditions in the repo market, the shadow banking sector, and the overall economy. Looking at asset pricing implications, we find that increases in funding liquidity predict lower risk premia for all Treasury securitie...
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作者：Campbell, John L.; Dhaliwal, Dan S.; Schwartz, William C., Jr.
作者单位：Oklahoma State University System; Oklahoma State University - Stillwater; University of Arizona; University System of Georgia; University of Georgia
摘要：We investigate the relation between firms' weighted average cost of capital and internal financial resources, using mandatory pension contributions as a proxy for internal financial resources. Rauh (2006) documents a negative association between mandatory pension contributions and capital expenditures. We find that an increase in mandatory pension contributions increases the cost of capital, but only for firms facing greater external financing constraints. Our results suggest that firms' cost ...
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作者：Basak, Suleyman; Chabakauri, Georgy
作者单位：University of London; London School Economics & Political Science; Center for Economic & Policy Research (CEPR)
摘要：We provide fully analytical, optimal dynamic hedges in incomplete markets by employing the traditional minimum-variance criterion. Our hedges are in terms of generalized Greeks and naturally extend no-arbitrage-based risk management in complete markets to incomplete markets. Whereas the literature characterizes either minimum-variance static, myopic, or dynamic hedges from which a hedger may deviate unless able to precommit, our hedges are time-consistent. We apply our results to derivatives r...
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作者：Boutchkova, Maria; Doshi, Hitesh; Durnev, Art; Molchanov, Alexander
作者单位：University of Iowa; University of Leicester; University of Houston System; University of Houston; Massey University
摘要：We examine how local and global political risks affect industry return volatility. Our central premise is that some industries are more sensitive to political events than others. We find that industries that are more dependent on trade, contract enforcement, and labor exhibit greater return volatility when local political risks are higher. Political uncertainty in countries of trading partners of trade-dependent industries similarly results in greater volatility. Volatility decomposition resul...
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作者：Davydenko, Sergei A.; Strebulaev, Ilya A.; Zhao, Xiaofei
作者单位：University of Toronto; Stanford University; National Bureau of Economic Research
摘要：This article proposes a novel method of extracting the cost of default from the change in the market value of a firm's assets upon default. Using a large sample of firms with observed prices of debt and equity that defaulted over fourteen years, we estimate the cost of default for an average defaulting firm to be 21.7% of the market value of assets. The costs vary from 14.7% for bond renegotiations to 30.5% for bankruptcies, and are substantially higher for investment-grade firms (28.8%) than ...
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作者：Keys, Benjamin J.; Seru, Amit; Vig, Vikrant
作者单位：University of Chicago; University of Chicago; University of London; London Business School
摘要：This article examines the link between mortgage securitization and lender screening during the boom and bust of the U.S. housing market. Using comprehensive data on both prime and subprime securitized and bank-held loans, we provide evidence that securitization affected lenders' screening decisions in the subprime market for low-documentation loans through two channels: the securitization rate and the time it takes to securitize a loan. The change in decision-making by subprime lenders occurs ...
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作者：Zhu, Haoxiang
作者单位：Stanford University
摘要：This article offers a dynamic model of opaque over-the-counter markets. A seller searches for an attractive price by visiting multiple buyers, one at a time. The buyers do not observe contacts, quotes, or trades elsewhere in the market. A repeat contact with a buyer reveals the seller's reduced outside options and worsens the price offered by the revisited buyer. When the asset value is uncertain and common to all buyers, a visit by the seller suggests that other buyers could have quoted unatt...
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作者：Miller, Darius P.; Reisel, Natalia
作者单位：Southern Methodist University
摘要：This article studies the ability of security-level contracts to substitute for poor country-level investor protections. Using a cross-country sample of restrictive covenants, we find that bond contacts are more likely to include covenants when creditor protection laws are weak. Further, the use of restrictive covenants in weak creditor protection countries is associated with a lower cost of debt. We also find that strong country-level shareholder rights are not necessarily harmful to bondholde...
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作者：Wermers, Russ; Yao, Tong; Zhao, Jane
作者单位：University System of Maryland; University of Maryland College Park; University of Iowa
摘要：We develop a stock return-predictive measure based on an efficient aggregation of the portfolio holdings of all actively managed U.S. domestic equity mutual funds, and use this model to study the source of fund managers' stock selection abilities. This generalized inverse alpha (GIA) approach reveals differences in the ability of managers to predict firms' future earnings from fundamental research. Notably, the GIA's return-forecasting power is not subsumed by publicly available quantitative p...
