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作者：Schenone, Carola
作者单位：University of Virginia
摘要：In the process of lending to a firm, a bank acquires proprietary firm-specific information that is unavailable to nonlenders. This asymmetric evolution of information between lenders and prospective lenders grants the former an information monopoly. This article empirically investigates whether relationship banks exploit this advantage by charging higher interest rates than those that would prevail were all banks symmetrically informed. My identification strategy hinges on the notion that larg...
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作者：Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen
作者单位：Tilburg University; Columbia University; National Bureau of Economic Research; Ghent University; HOGENT University College of Applied Sciences & Arts
摘要：We study the economic sources of stock-bond return comovements and their time variation using a dynamic factor model. We identify the economic factors employing a semistructural regime-switching model for state variables such as interest rates, inflation, the output gap, and cash flow growth. We also view risk aversion, uncertainty about inflation and output, and liquidity proxies as additional potential factors. We find that macroeconomic fundamentals contribute little to explaining stock and...
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作者：Shivdasani, Anil; Stefanescu, Irina
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：This article examines the capital structure implications of defined benefit corporate pension plans. The magnitude of the liabilities arising from these pension plans is substantial. We show that leverage ratios for firms with pension plans are about 35% higher when pension assets and liabilities are incorporated into the capital structure. We estimate that the tax shields from pension contributions are about a third of those from interest payments. Pension contributions have a modest effect i...
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作者：Griffin, John M.; Kelly, Patrick J.; Nardari, Federico
作者单位：State University System of Florida; University of South Florida; University of Texas System; University of Texas Austin; University of Houston System; University of Houston
摘要：Using data from 56 markets, we find that short-term reversal, post-earnings drift, and momentum strategies earn similar returns in emerging and developed markets. Variance ratios and market delay measures often show greater deviations from random walk pricing in developed markets. Conceptually, we show that commonly used efficiency tests can yield misleading inferences because they do not control for the information environment. Our evidence corrects misperceptions that emerging markets featur...
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作者：Kaltenbrunner, Georg; Lochstoer, Lars A.
作者单位：McKinsey & Company
摘要：We examine how long-run consumption risk arises endogenously in a standard production economy model where the representative agent has Epstein-Zin preferences. We show that even when technology growth is i.i.d., optimal consumption smoothing induces long-run risk-highly persistent variation in expected consumption growth. As a consequence, the model can account for a high price of risk, although both consumption growth volatility and the coefficient of relative risk aversion are low. The asset...
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作者：Bebchuk, Lucian A.; Neeman, Zvika
作者单位：Harvard University; National Bureau of Economic Research; Boston University; Tel Aviv University
摘要：We model how three groups-insiders in existing public companies, institutional investors, and entrepreneurs planning to take firms public-compete for influence over politicians setting the level of investor protection. We identify factors that push toward suboptimal investor protection, including corporate insiders' ability to use public firms' assets to influence politicians, and institutional investors' inability to capture fully the value of investor protection for outside investors. Entrep...
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作者：Ferreira, Miguel A.; Massa, Massimo; Matos, Pedro
作者单位：University of Southern California; Universidade Nova de Lisboa
摘要：We study the role of institutional investors in cross-border mergers and acquisitions (M&As). We find that foreign institutional ownership is positively associated with the intensity of cross-border M&A activity worldwide. Foreign institutional ownership increases the probability that a merger deal is cross-border, successful, and the bidder takes full control of the target firm. This relation is stronger in countries with weaker legal institutions and in less developed markets, suggesting som...
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作者：Inderst, Roman; Mueller, Holger M.
作者单位：New York University; Goethe University Frankfurt; National Bureau of Economic Research
摘要：This article examines the optimal CEO compensation and replacement policy when the CEO is privately informed about the firm's continuation value under his leadership. Ex ante moral hazard implies that the CEO must receive ex post quasi rents, which endogenously biases him toward continuation. Our model shows that to induce bad CEOs to quit, it may be best to make continuation costly (through steep incentive pay) rather than simply rewarding quitting (through severance pay). Incentive pay makes...
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作者：Brealey, Richard A.; Cooper, Ian A.; Kaplanis, Evi
作者单位：University of London; London Business School
摘要：Using a large sample of cross-border mergers, we measure the effect of a change in location on systematic risk. When a target firm's location moves, a large part of its systematic risk switches from being related to its home equity market to that of the acquirer. On average, the change in betas is equivalent to an excess shift of about 0.5 in the target's beta from its home market to that of the acquirer. We test whether the change in systematic risk can be explained by fundamental factors rel...
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作者：Xiong, Wei; Yan, Hongjun
作者单位：Yale University; Princeton University; National Bureau of Economic Research
摘要：This paper presents a dynamic equilibrium model of bond markets in which two groups of agents hold heterogeneous expectations about future economic conditions. The heterogeneous expectations cause agents to take on speculative positions against each other and therefore generate endogenous relative wealth fluctuation. The relative wealth fluctuation amplifies asset price volatility and contributes to the time variation in bond premia. Our model shows that a modest amount of heterogeneous expect...
