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作者：Keloharju, Matti; Knuepfer, Samuli; Linnainmaa, Juhani
作者单位：Aalto University; University of London; London Business School
摘要：This article shows that individuals' product market choices influence their investment decisions. Using microdata from the brokerage and automotive industries, we find a strong positive relation between customer relationship, ownership of a company, and size of the ownership stake. Investors are also more likely to purchase and less likely to sell shares of companies they frequent as customers. These effects are stronger for individuals with longer customer relationships. A merger-based natura...
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作者：Allen, Linda; Bali, Turan G.; Tang, Yi
作者单位：Georgetown University; City University of New York (CUNY) System; Baruch College (CUNY); Fordham University
摘要：We derive a measure of aggregate systemic risk, designated CATFIN, that complements bank-specific systemic risk measures by forecasting macroeconomic downturns six months into the future using out-of-sample tests conducted with U.S., European, and Asian bank data. Consistent with bank specialness, the CATFIN of both large and small banks forecasts macroeconomic declines, whereas a similarly defined measure for both nonfinancial firms and simulated fake banks has no marginal predictive ability....
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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：Thornton, Daniel L.; Valente, Giorgio
作者单位：University of Essex; Federal Reserve System - USA; Federal Reserve Bank - St. Louis
摘要：This article investigates the out-of-sample predictability of bond excess returns. We assess the economic value of the forecasting ability of empirical models based on long-term forward interest rates in a dynamic asset allocation strategy. The results show that the information content of forward rates does not generate systematic economic value to investors. Indeed, these models do not outperform the no-predictability benchmark. Furthermore, their relative performance deteriorates over time.
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作者：Brown, Stephen J.; Grundy, Bruce D.; Lewis, Craig M.; Verwijmeren, Patrick
作者单位：Vrije Universiteit Amsterdam; Tinbergen Institute; University of Glasgow; University of Melbourne; New York University; Vanderbilt University
摘要：By buying convertibles and shorting the underlying stock, hedge funds distribute equity exposure to well-diversified shareholders. We find that firms with characteristics that make seasoned equity offerings expensive are more likely to issue convertibles to hedge funds. We conclude that hedge funds provide opportunities for firms to issue convertible securities at a lower cost than seasoned equity by serving as relatively low-cost distributors of equity exposure. A higher fraction of a convert...
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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：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,...
