-
作者：Armstrong, Christopher; Nicoletti, Allison; Zhou, Frank S.
作者单位：University of Pennsylvania
摘要：Employing a novel control function regression method that accounts for the endogenous matching of banks and executives, we find that equity portfolio vega, the sensitivity of ex-ecutives' equity portfolio value to their firms' stock return volatility, leads to systemic risk that manifests during subsequent economic contractions but not expansions. We further find that vega encourages systemically risky policies, including maintaining lower com-mon equity Tier 1 capital ratios, relying on more ...
-
作者：Moon, Terry; Schoenherr, David
作者单位：University of British Columbia; Princeton University
摘要：We document that networks that gain access to political power and use it for patronage appointments also gain control over resource allocation in the private sector. Specifically, following a presidential election in Korea, the president appoints members of his network into important positions in government, and private banks respond by appointing execu-tives from the same network to establish links to the administration. Consequently, firms linked to the network obtain more credit at a lower ...
-
作者：Cortes, Gustavo S.; Taylor, Bryan; Weidenmier, Marc D.
作者单位：State University System of Florida; University of Florida; Chapman University System; Chapman University; National Bureau of Economic Research
摘要：We investigate the role of forward-looking financial factors in propagating the Great Depression. We find that a new hand-collected bank stock index is better at predicting the onset of the Great Depression than the aggregate stock market or failed bank deposits. The bank stock index explains almost one-third of the fluctuations in industrial production after five years. Analysis disaggregated at each Federal Reserve district shows that bank stocks capture forward-looking information about deb...
-
作者：Edmans, Alex; Fernandez-Perez, Adrian; Garel, Alexandre; Indriawan, Ivan
作者单位：University of London; London Business School; Auckland University of Technology; Audencia
摘要：This paper introduces a real-time, continuous measure of national sentiment that is language-free and thus comparable globally: the positivity of songs that individuals choose to listen to. This is a direct measure of mood that does not pre-specify certain mood-affecting events nor assume the extent of their impact on investors. We validate our music-based sentiment measure by correlating it with mood swings induced by seasonal factors, weather conditions, and COVID-related restrictions. We fi...
-
作者：Ermolov, Andrey
作者单位：Fordham University
摘要：I study the sufficiency of macroeconomic information to explain the time-variation in sec -ond moments of stock and bond returns, with a particular attention to stock-bond correla-tions. I propose an external habit model supplemented with realistic non-Gaussian funda-mentals estimated solely from macroeconomic data. Intertemporal smoothing and precau-tionary savings effects - driven by consumption shocks - combine with a time-varying co-variance between consumption and inflation to generate la...
-
作者：Howes, Cooper
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Kansas City
摘要：The decline of the U.S. manufacturing share since 1960 has occurred disproportionately during recessions. Using evidence from two natural experiments-the collapse of Lehman Brothers in 2008 and U.S. interstate banking deregulation in the 1980s-I find a role for credit reallocation in explaining this phenomenon by showing that losing access to credit disproportionately hurt manufacturing firms, and that the creation of new credit disproportionately benefited nonmanufacturing firms. These result...
-
作者：Akey, Pat; Gregoire, Vincent; Martineau, Charles
作者单位：University of Toronto; Universite de Montreal; HEC Montreal
摘要：A B S T R A C T From 2010 to 2015, a group of traders illegally accessed earnings information before their public release by hacking several newswire services. We use this scheme as a natural experiment to investigate how informed investors select among private signals and how efficiently financial markets incorporate private information contained in trades into prices. We construct a measure of qualitative information using machine learning and find that the hackers traded on both qualitative...
-
作者：Guernsey, Scott; Sepe, Simone M.; Serfling, Matthew
作者单位：University of Tennessee System; University of Tennessee Knoxville; University of Arizona; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Universite de Toulouse; Universite Toulouse 1 Capitole; European Corporate Governance Institute
摘要：During market-wide shocks that cause large drops in stock prices, firms with more state endorsed antitakeover provisions (ATPs) experience smaller declines in value. Two channels appear to drive this finding. First, by giving boards more bargaining power to fight opportunistic bids, firms with more ATPs extract higher takeover premiums during market shocks. Second, having more ATPs attenuates the effect of market shocks on firm value by protecting relationship-specific investments with stakeho...
-
作者：Chen, Zhiyao; Hackbarth, Dirk; Strebulaev, Ilya A.
作者单位：Lingnan University; Boston University; Stanford University
摘要：We document that (i) debt-to-equity ratios and levered equity betas negatively covary with the market risk premium in distressed firms; (ii) the negative covariance generates negative alphas among those firms. We build a dynamic credit risk model to understand the negative covariance between equity betas and the market risk premium, via endogenous and dynamic debt financing over the business cycles. Because of endogenous debt financing and distress, our model naturally connects the negative fa...
-
作者：Cong, Lin William; Li, Ye; Wang, Neng
作者单位：Cornell University; University System of Ohio; Ohio State University; Columbia University; National Bureau of Economic Research
摘要：We develop a dynamic model of a platform economy where tokens serve as a means of payment among platform users and are issued to finance investment in platform productivity. Tokens are optimally rewarded to platform owners when token supply (normalized by productivity) is low and burnt to boost franchise value when the normalized supply is high. Although token price is determined in a liquid market, the platform's financial constraint generates an endogenous token issuance cost that causes und...
