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作者：He, Zhiguo; Xiong, Wei
作者单位：Princeton University; University of Chicago; National Bureau of Economic Research
摘要：This article analyzes the dynamic coordination problem among creditors of a firm with a time-varying fundamental and a staggered debt structure. In deciding whether to roll over his debt, each maturing creditor is concerned about the rollover decisions of other creditors whose debt matures during his next contract period. We derive a unique threshold equilibrium and characterize the roles of fundamental volatility, credit lines, and debt maturity in driving runs. In particular, we show that wh...
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作者：Anand, Amber; Irvine, Paul; Puckett, Andy; Venkataraman, Kumar
作者单位：Southern Methodist University; Syracuse University; University System of Georgia; University of Georgia; University of Tennessee System; University of Tennessee Knoxville
摘要：Using a proprietary dataset of institutional investors' equity transactions, we document that institutional trading desks can sustain relative performance over adjacent periods. We find that trading-desk skill is positively correlated with the performance of the institution's traded portfolio, suggesting that institutions that invest resources in developing execution abilities also invest in generating superior investment ideas. Although some brokers can deliver better executions consistently ...
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作者：Bollen, Nicolas P. B.; Pool, Veronika K.
作者单位：Vanderbilt University; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：Recent cases of hedge fund fraud have caused large losses for investors and have fueled the debate regarding the ability of regulators to oversee the industry. This article proposes a set of performance flags, based on suspicious patterns in returns, as indicators of a heightened risk of fraud. We collect a sample of hedge funds charged with legal or regulatory violations and find that funds charged with misappropriation, overvaluation, misrepresentation, or Ponzi schemes trigger the performan...
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作者：Ferreira, Miguel A.; Matos, Pedro
作者单位：University of Virginia
摘要：We investigate the effects of bank control over borrower firms whether by representation on boards of directors or by the holding of shares through bank asset management divisions. Using a large sample of syndicated loans, we find that banks are more likely to act as lead arrangers in loans when they exert some control over the borrower firm. Bank-firm governance links are associated with higher loan spreads during the 2003-2006 credit boom but lower spreads during the 2007-2008 financial cris...
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作者：Chernenko, Sergey; Sunderam, Adi
作者单位：University System of Ohio; Ohio State University; Harvard University
摘要：We study the real effects of market segmentation due to credit ratings by using a matched sample of firms just above and just below the investment-grade cutoff. These firms have similar observables, including average investment rates. However, flows into high-yield mutual funds have an economically significant effect on the issuance and investment of the speculative-grade firms relative to their matches, especially for firms likely to be financially constrained. The effect is associated with t...
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作者：Bayazitova, Dinara; Shivdasani, Anil
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：We study the government equity infusions into banks under the Capital Purchase Program (CPP) of the Troubled Asset Relief Program (TARP). Strong banks opted out of CPP, and equity infusions were provided to banks that posed systemic risk and faced high financial distress costs but had strong asset quality. Concerns over executive compensation led banks to reject CPP infusions and exit the program. CPP infusions did not have meaningful certification effects, but the subsequent stress tests cond...
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作者：Acharya, Viral; Davydenko, Sergei A.; Strebulaev, Ilya A.
作者单位：University of Toronto; New York University; Stanford University; National Bureau of Economic Research
摘要：Intuition suggests that firms with higher cash holdings should be safer and have lower credit spreads. Yet empirically, the correlation between cash and spreads is robustly positive. This puzzling finding can be explained by the precautionary motive for saving cash, which in our model causes riskier firms to accumulate higher cash reserves. In contrast, spreads are negatively related to the part of cash holdings that is not determined by credit risk factors. Similarly, although firms with high...
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作者：Buss, Adrian; Vilkov, Grigory
作者单位：Goethe University Frankfurt; Goethe University Frankfurt
摘要：We use forward-looking information from option prices to estimate option-implied correlations and to construct an option-implied predictor of factor betas. With our implied market betas, we find a monotonically increasing risk-return relation, not detectable with standard rolling-window betas, with the slope close to the market excess return. Our implied betas confirm a risk-return relation consistent with linear factor models because, when compared to other beta approaches: (i) they are bette...
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作者：He, Zhiguo
作者单位：University of Chicago
摘要：This article studies a dynamic agency problem in which a risk-averse agent can save privately. In the optimal contract, (i) cash compensations exhibit downward rigidity to failures; (ii) permanent pay raises occur when the agent's historical performance is sufficiently good; (iii) and when the agent is dismissed due to poor performance, he walks away with severance pay to support his post-firing consumption at the current compensation level. Thus, the theory can simultaneously explain the popu...
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作者：Aslan, Hadiye; Kumar, Praveen
作者单位：University of Houston System; University of Houston
摘要：We theoretically and empirically address the endogeneity of corporate ownership structure and the cost of debt, with a novel emphasis on the role of control concentration in post-default firm restructuring. Control concentration raises agency costs of debt, and dominant shareholders trade off private benefits of control against higher borrowing costs in choosing their ownership stakes. Based on our theoretical predictions, and using an international sample of syndicated loans and unique dynami...
