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作者：Nagel, Stefan
作者单位：Stanford University; National Bureau of Economic Research
摘要：The returns of short-term reversal strategies in equity markets can be interpreted as a proxy for the returns from liquidity provision. Using this approach, this article shows that the return from liquidity provision is highly predictable with the VIX index. Expected returns and conditional Sharpe ratios from liquidity provision spike during periods of financial market turmoil. The results point to withdrawal of liquidity supply and an associated increase in the expected returns from liquidity...
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作者：Chen, Hui; Joslin, Scott; Ngoc-Khanh Tran
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：Risks of rare economic disasters can have a large impact on asset prices. At the same time, difficulties in inference regarding both the likelihood and severity of disasters, as well as agency problems, can lead to significant disagreements among investors about disaster risk. We show that such disagreements generate strong risk-sharing motives, such that just a small number of optimists in the economy will significantly reduce the disaster risk premium. Our model highlights the latent nature ...
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作者：Favara, Giovanni
作者单位：International Monetary Fund
摘要：This article proposes a theory of investment fluctuations in which the source of the oscillating dynamics is an agency problem between financiers and entrepreneurs. In the model, investment decisions depend on entrepreneurs' initiative to select investment projects ex ante, and financiers' incentive to control entrepreneurs ex post. Too much control discourages entrepreneurial incentive to initiate new investment, whereas too little control jeopardizes its productivity. This initiative-control...
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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：Chen, Hui; Joslin, Scott
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：Nonlinearity is an important consideration in many problems of finance and economics, such as pricing securities and solving equilibrium models. This article provides analytical treatment of a general class of nonlinear transforms for processes with tractable conditional characteristic functions. We extend existing results on characteristic function-based transforms to a substantially wider class of nonlinear functions while maintaining low dimensionality by avoiding the need to compute the de...
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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：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...
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作者：Dziuda, Wioletta; Mondria, Jordi
作者单位：University of Toronto; University of North Carolina; University of North Carolina Chapel Hill
摘要：We propose a model of delegated asset management that can explain the following empirical regularities in international markets: the presence of home bias, the lower proportion of mutual funds investing domestically, and the higher market value of mutual funds investing domestically. In the model, fund managers choose whether to specialize in domestic or foreign assets. Individual investors are uncertain about managers' abilities, and they are more informed about domestic markets. This makes d...
