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作者：Wachter, Jessica A.; Yogo, Motohiro
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; National Bureau of Economic Research; University of Pennsylvania
摘要：We develop a life-cycle consumption and portfolio choice model in which households have nonhomothetic utility over two types of goods, basic and luxury. We calibrate the model to match the cross-sectional and life-cycle variation in the basic expenditure share in the Consumer Expenditure Survey. The model explains the degree to which the portfolio share in risky assets rises in wealth in the cross-section of households in the Survey of Consumer Finances. For a given household, the portfolio sh...
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作者：Plazzi, Alberto; Torous, Walter; Valkanov, Rossen
作者单位：University of California System; University of California San Diego; University of California System; University of California San Diego
摘要：Commercial real estate expected returns and expected rent growth rates are time-varying. Relying on transactions data from a cross-section of U.S. metropolitan areas, we find that up to 30% of the variability of realized returns to commercial real estate can be accounted for by expected return variability, while expected rent growth rate variability explains up to 45% of the variability of realized rent growth rates. The cap rate-that is, the rent-price ratio in commercial real estate-captures...
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作者：Garmaise, Mark J.; Natividad, Gabriel
摘要：We provide direct evidence on the impact of asymmetric information on both financing and operating activities through a study of credit evaluations of microfinance institutions (MFIs). We employ a regression discontinuity model that exploits the eligibility criteria of an evaluation subsidy offered by a nonprofit consortium. Evaluations dramatically cut the cost of financing. This effect is strongest for commercial lenders and for short-term MFI-lender relationships. The impact of evaluations ...
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作者：Spiegel, Matthew
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作者：Carlson, Murray; Fisher, Adlai; Giammarino, Ron
作者单位：University of British Columbia
摘要：We theoretically and empirically investigate firm-level risk dynamics around seasoned equity offerings (SEOs). Empirically, beta increases before SEOs and decreases gradually thereafter. Using real options theory, commitment-to-invest generates a gradual post-issuance beta decline whereas instantaneous investment and time-to-build do not. In a behavioral theory, systematic mispricing can cause increasing pre-issuance and decreasing post-issuance risk but idiosyncratic mispricing cannot. In the...
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作者：Chari, Anusha; Ouimet, Paige P.; Tesar, Linda L.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research; University of Michigan System; University of Michigan
摘要：When a developed-country multinational firm acquires majority control of a firm in an emerging market, there is an economically large and statistically significant increase in the acquiring firm's stock price. In 1986-2006, developed-market acquirers experienced positive and significant abnormal returns of 1.16%, on average, over a three-day event window. Positive acquirer returns and dollar value gains appear unique to emerging-market mergers and acquisitions and are not replicated when the s...
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作者：Titman, Sheridan; Tsyplakov, Sergey
作者单位：University of Texas System; University of Texas Austin; University of South Carolina System; University of South Carolina Columbia
摘要：This article examines information and incentive problems that can exist in the market for commercial mortgages that are pooled and repackaged as commercial mortgage-backed securities (CMBSs). We find that mortgages that are originated by institutions with large negative stock returns in the quarters prior to the origination date tend to have higher credit spreads and default more than other mortgages with similar observable characteristics. Properties financed with these mortgages also exhibit...
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作者：Adams, John C.; Mansi, Sattar A.; Nishikawa, Takeshi
作者单位：St. John's University; Virginia Polytechnic Institute & State University; State University System of Florida; University of North Florida
摘要：We provide new evidence linking board characteristics and performance. Using manually collected governance data from the mutual fund industry, we find an inverse relation between board size and fund performance. We also find evidence that organizational form plays an important role in determining operational performance. Overall, the results are consistent with the notion that there may not be a single optimal board structure that is applicable to all funds, that attempts to regulate board att...
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作者：Bhamra, Harjoat S.; Kuehn, Lars-Alexander; Strebulaev, Ilya A.
作者单位：University of British Columbia; Carnegie Mellon University; Stanford University
摘要：We embed a structural model of credit risk inside a dynamic continuous-time consumption-based asset pricing model, which allows us to price equity and corporate debt in a unified framework. Our key economic assumptions are that the first and second moments of earnings and consumption growth depend on the state of the economy, which switches randomly, creating intertemporal risk, which agents prefer to resolve sooner rather than later, because they have Epstein-Zin-Weil preferences. Agents opti...
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作者：Bond, Philip; Goldstein, Itay; Prescott, Edward Simpson
作者单位：University of Pennsylvania; Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：Many economic agents take corrective actions based on information inferred from market prices of firms' securities. Examples include directors and activists intervening in the management of firms and bank supervisors taking actions to improve the health of financial institutions. We provide an equilibrium analysis of such situations in light of a key problem: if agents use market prices when deciding on corrective actions, prices adjust to reflect this use and potentially become less revealing...
