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作者：Edmans, Alex; Gabaix, Xavier
作者单位：University of Pennsylvania; New York University; Centre for Economic Policy Research - UK; National Bureau of Economic Research
摘要：This article presents a market equilibrium model of CEO assignment, pay, and incentives under risk aversion and moral hazard. Each of the three outcomes can be summarized by a single closed-form equation. In the presence of moral hazard, assignment is distorted from positive assortative matching on firm size as firms with higher risk or disutility choose less talented CEOs. Such firms also pay higher salaries in the cross-section, but economy-wide increases in risk or the disutility of being a...
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作者：Hou, Kewei; Karolyi, G. Andrew; Kho, Bong-Chan
作者单位：Cornell University; University System of Ohio; Ohio State University; Seoul National University (SNU)
摘要：Using monthly returns for over 27,000 stocks from 49 countries over a three-decade period, we show that a multifactor model that includes factor-mimicking portfolios based on momentum and cash flow-to-price captures significant time-series variation in global stock returns, and has lower pricing errors and fewer model rejections than the global CAPM or a popular model that uses size and book-to-market factors. We find reliable evidence that the global cash flow-to-price factor is related to a ...
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作者：Borisova, Ginka; Megginson, William L.
作者单位：Iowa State University; University of Oklahoma System; University of Oklahoma - Norman
摘要：We explore whether government ownership affects the cost of debt using a sample of fully and partially privatized companies. On average across firms, a one-percentage-point decrease in government ownership is associated with an increase in the credit spread, used as a proxy for the cost of debt, by three-quarters of a basis point. However, fully privatized companies exhibit lower credit spreads than partially privatized firms, indicating the cost of a lengthy privatization process. Empirical e...
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作者：Huang, Jennifer; Sialm, Clemens; Zhang, Hanjiang
作者单位：University of Texas System; University of Texas Austin; Nanyang Technological University; National Bureau of Economic Research
摘要：Mutual funds change their risk levels significantly over time. Risk shifting might be caused by ill-motivated trades of unskilled or agency-prone fund managers who trade to increase their personal compensation. Alternatively, risk shifting might occur when skilled fund managers trade to take advantage of their stock selection and timing abilities. This article investigates the performance consequences of risk shifting and sheds light on the mechanisms and the economic motivations behind risk-s...
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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：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：Freixas, Xavier; Martin, Antoine; Skeie, David
作者单位：Pompeu Fabra University; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：A lesson of the recent financial crisis is that the interbank market is crucial for banks facing uncertainty regarding their liquidity needs. This article studies the efficiency of the interbank market in allocating funds. We show that the central bank should lower the interbank rate when confronted with a crisis that causes a disparity in the liquidity held among banks. This suggests that the traditional tenet prescribing the separation between prudential regulation and monetary policy should...
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作者：Bansal, Ravi; Shaliastovich, Ivan
作者单位：University of Pennsylvania; National Bureau of Economic Research; Duke University
摘要：We develop a general equilibrium model in which income and dividends are smooth but asset prices contain large moves (jumps). These large price jumps are triggered by optimal decisions of investors to learn the unobserved state. We show that learning choice is determined by preference parameters and the conditional volatility of income process. An important model prediction is that income volatility predicts future jump periods, while income growth does not. Consistent with the model, large mo...
