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作者：Bolton, Patrick; Oehmke, Martin
作者单位：Columbia University
摘要：The empty creditor problem arises when a debtholder has obtained insurance against default but otherwise retains control rights in and outside bankruptcy. We analyze this problem from an ex ante and ex post perspective in a formal model of debt with limited commitment, by comparing contracting outcomes with and without insurance through credit default swaps (CDS). We show that CDS, and the empty creditors they give rise to, have important ex ante commitment benefits: By strengthening creditors...
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作者：Hirshleifer, David; Teoh, Siew Hong; Yu, Jeff Jiewei
作者单位：University of California System; University of California Irvine; Southern Methodist University
摘要：We find a positive association between short selling and accruals during 1988-2009, and that asymmetry between the up- and downsides of the accrual anomaly is stronger when constraints on short arbitrage are more severe (low availability of loanable shares as proxied by institutional holdings). Short arbitrage occurs primarily among firms in the top accrual decile. Asymmetry is present only on NASDAQ. Thus, there is short arbitrage of the accrual anomaly, but short-sale constraints limit its e...
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作者：Garleanu, Nicolae; Pedersen, Lasse Heje
作者单位：National Bureau of Economic Research; University of California System; University of California Berkeley; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; New York University
摘要：In a model with heterogeneous-risk-aversion agents facing margin constraints, we show how securities' required returns increase in both their betas and their margin requirements. Negative shocks to fundamentals make margin constraints bind, lowering risk-free rates and raising Sharpe ratios of risky securities, especially for high-margin securities. Such a funding-liquidity crisis gives rise to bases, that is, price gaps between securities with identical cash-flows but different margins. In th...
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作者：Erel, Isil
作者单位：University System of Ohio; Ohio State University
摘要：Bank mergers can increase or decrease loan spreads, depending on whether the increased market power outweighs efficiency gains. Using proprietary loan-level data for U.S. commercial banks, I find that, on average, mergers reduce loan spreads, with the magnitude of the reduction being larger when postmerger cost savings increase. My results suggest that the relation between spreads and the extent of the market overlap between merging banks is nonmonotonic. The market overlap increases cost savi...
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作者：Iyer, Rajkamal; Peydro, Jose-Luis
作者单位：European Central Bank; University of Amsterdam
摘要：This article tests financial contagion due to interbank linkages. For identification, we exploit an idiosyncratic, sudden shock caused by a large-bank failure in conjunction with detailed data on interbank exposures. First, we find robust evidence that higher interbank exposure to the failed bank leads to large deposit withdrawals. Second, the magnitude of contagion is higher for banks with weaker fundamentals. Third, interbank linkages among surviving banks further propagate the shock. Finall...
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作者：Inkmann, Joachim; Lopes, Paula; Michaelides, Alexander
作者单位：University of Melbourne; University of London; London School Economics & Political Science; University of Cyprus
摘要：Using microeconomic data for the United Kingdom, we analyze the empirical determinants of voluntary annuity market demand. We find that annuity market participation increases with financial wealth, life expectancy, and education and decreases with other pension income and a possible bequest motive for surviving spouses. We then show that these empirically motivated determinants of annuity market participation have the same, quantitatively important, effects in a life-cycle model of annuity and...
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作者：Gormley, Todd A.; Matsa, David A.
作者单位：Northwestern University; University of Pennsylvania
摘要：This article analyzes corporate responses to the liability risk arising from workers' exposure to newly identified carcinogens. We find that firms, especially those with weak balance sheets, tend to respond to such risks by acquiring large, unrelated businesses with relatively high operating cash flows. The diversifying growth appears to be primarily motivated by managers' personal exposure to their firms' risk in that the growth has negative announcement returns and is related to firms' exter...
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作者：Degryse, Hans; Masschelein, Nancy; Mitchell, Janet
作者单位：Tilburg University
摘要：Assessing the impacts of bank mergers on small firms requires separating borrowers with single versus multiple banking relationships and distinguishing the three alternatives of staying, dropping, and switching of relationships. Single-relationship borrowers who switch to another bank following a merger will be less harmed than those whose relationship is dropped and not replaced. Using Belgian data, we find that single-relationship borrowers of target banks are more likely than other borrower...
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作者：Carr, Peter; Wu, Liuren
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); New York University
摘要：We develop a simple robust link between deep out-of-the-money American put options on a company's stock and a credit insurance contract on the company's bond. We assume that the stock price stays above a barrier B before default but drops below a lower barrier A after default, thus generating a default corridor [A, B] that the stock price can never enter. Given the presence of this default corridor, a spread between two co-terminal American put options struck within the corridor replicates a p...
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作者：Bonomo, Marco; Garcia, Rene; Meddahi, Nour; Tedongap, Romeo
作者单位：Universite Catholique de Lille; EDHEC Business School; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Stockholm School of Economics
摘要：We propose an asset pricing model with generalized disappointment aversion preferences and long-run volatility risk. With Markov switching fundamentals, we derive closed-form solutions for all returns moments and predictability regressions. The model produces first and second moments of price-dividend ratios and asset returns as well as return predictability patterns in line with the data. Compared to Bansal and Yaron (2004), we generate (i) more predictability of excess returns by price-divid...
