-
作者：Haubrich, Joseph; Pennacchi, George; Ritchken, Peter
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Federal Reserve System - USA; Federal Reserve Bank - Cleveland; University System of Ohio; Case Western Reserve University
摘要：We develop a model of nominal and real bond yield curves that has four stochastic drivers but seven factors: three factors primarily determine the cross-section of yields, whereas four volatility factors solely determine risk premia. The model is estimated using nominal Treasury yields, survey inflation forecasts, and inflation swap rates and has attractive empirical properties. Time-varying volatility is particularly apparent in short-term real rates and expected inflation. Also, we detail th...
-
作者：Liu, Tingjun
摘要：This study examines takeover bidding contests in which privately informed bidders have incentives to signal high values to uninformed investors through their bids. Such incentives could arise in a large number of situations from financing and managerial concerns. The findings show that the dynamic nature of the takeover contests plays a critical role in the signaling process, allowing bidders to signal high values in two ways. Such signaling bears important consequences on the bids, the alloca...
-
作者：Julliard, Christian; Ghosh, Anisha
作者单位：Carnegie Mellon University; University of London; London School Economics & Political Science
摘要：Probably not. First, allowing the probabilities of the states of the economy to differ from their sample frequencies, the consumption-CAPM is still rejected in both U.S. and international data. Second, the recorded world disasters are too small to rationalize the puzzle, unless one assumes that disasters occur every 6-10 years. Third, if the data were generated by the rare events distribution needed to rationalize the equity premium puzzle, the puzzle itself would be unlikely to arise. Fourth,...
-
作者：Heider, Florian; Inderst, Roman
作者单位：European Central Bank; Goethe University Frankfurt
摘要：We analyze corporate lending when loan officers must be incentivized to prospect for loans and to transmit the soft information they obtain in that process. We explore how this multi-task agency problem shapes loan officers' compensation, banks' use of soft information in credit approval, and their lending standards. When competition intensifies, prospecting for loans becomes more important and banks' internal agency problems worsen. In response to more competition, banks lower lending standar...
-
作者：Nini, Greg; Smith, David C.; Sufi, Amir
作者单位：University of Pennsylvania; University of Virginia; University of Chicago; National Bureau of Economic Research
摘要：We provide evidence that creditors play an active role in the governance of corporations well outside of payment default states. By examining the Securities and Exchange Commission's filings of all U.S. nonfinancial firms from 1996 through 2008, we document that, in any given year, between 10% and 20% of firms report being in violation of a financial covenant in a credit agreement. We show that violations are followed immediately by a decline in acquisitions and capital expenditures, a sharp r...
-
作者：Andersen, Steffen; Nielsen, Kasper Meisner
作者单位：Copenhagen Business School; Hong Kong University of Science & Technology
摘要：We use a natural experiment in Denmark to test the hypothesis that aspiring entrepreneurs face financial constraints because of low entrepreneurial quality. We identify 304 constrained entrepreneurs who start a business after receiving windfall wealth and examine the performance of these marginal entrepreneurs. We find that constrained entrepreneurs have significantly lower survival rates and lower profits when compared with a matched sample of unconstrained entrepreneurs. These results are co...
-
作者：Piotroski, Joseph D.; So, Eric C.
作者单位：Stanford University
摘要：It is well established that value stocks outperform glamour stocks, yet considerable debate exists about whether the return differential reflects compensation for risk or mispricing. Under mispricing explanations, prices of glamour (value) firms reflect systematically optimistic (pessimistic) expectations; thus, the value/glamour effect should be concentrated (absent) among firms with (without) ex ante identifiable expectation errors. Classifying firms based upon whether expectations implied b...
-
作者：Dicks, David L.
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：This article establishes a role for corporate governance regulation. An externality operating through executive compensation motivates regulation. Governance lowers agency costs, allowing firms to grant less incentive pay. When a firm increases governance and lowers incentive pay, other firms can also lower executive compensation. Because firms do not internalize the full benefit of governance, regulation can improve investor welfare. When regulation is enforced, large firms increase in value,...
