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作者：Ioannidou, Vasso; Pavanini, Nicola; Peng, Yushi
作者单位：University of London; Centre for Economic Policy Research - UK; Tilburg University; Hunan University
摘要：We study the benefits and costs of collateral requirements in bank lending markets with asymmetric information. We estimate a structural model of firms' credit demand for secured and unsecured loans, banks' contract offering and pricing, and firm default using credit registry data in a setting where asymmetric information problems are pervasive. We provide evidence that collateral mitigates adverse selection and moral hazard. With counterfactual experiments, we quantify how an adverse shock to...
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作者：Schmeling, Maik; Schrimpf, Andreas; Steffensen, Sigurd A. M.
作者单位：Goethe University Frankfurt; Bank for International Settlements (BIS); Centre for Economic Policy Research - UK
摘要：How are financial markets pricing the monetary policy outlook? We use surveys to decom-pose excess returns on money market instruments into expectation errors and term pre-mia. Excess returns are primarily driven by expectation errors, whereas term premia are negligible. Investors face challenges when learning about the Federal Reserve's response to large, but infrequent, negative shocks in real-time. Rather than reflecting risk compen-sation, excess returns stem from investors underestimating...
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作者：Cohn, Jonathan B.; Liu, Zack; Wardlaw, Malcolm I.
作者单位：University of Texas System; University of Texas Austin; University of Houston System; University of Houston; University System of Georgia; University of Georgia
摘要：This paper assesses different econometric approaches to working with count-based out-come variables and other outcomes with similar distributions, which are increasingly com-mon in corporate finance applications. We demonstrate that the common practice of es-timating linear regressions of the log of 1 plus the outcome produces estimates with no natural interpretation that can have the wrong sign in expectation. In contrast, a simple fixed-effects Poisson model produces consistent and reasonabl...
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作者：Bernhardt, Dan; Koufopoulos, Kostas; Trigilia, Giulio
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of York - UK; University of Rochester
摘要：Classical security design papers equate competitive capital markets to securities being fairly priced in expectation. We revisit Nachman and Noe's (1994) adverse selection set-ting, modeling capital market competition as free entry of investors and allowing firms to propose prices for their securities, as happens in private securities placements and bank lending. We identify equilibria in which high types issue underpriced debt, which yields positive expected profits to uninformed lenders, whi...
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作者：Boudoukh, Jacob; Israel, Ronen; Richardson, Matthew
作者单位：New York University; National Bureau of Economic Research
摘要：Analogous to Stambaugh (1999) , this paper derives the small sample bias of estimators in J-horizon predictive regressions, providing a closed-form solution in terms of the sample size, horizon and persistence of the predictive variable. For large J , the bias is linear in J T with a slope that depends on the predictive variable's persistence. The paper offers a num-ber of other useful results, including (i) important extensions to the original Stambaugh (1999) setting, (ii) closed-form bias f...
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作者：Di Maggio, Marco; Egan, Mark; Franzoni, Francesco
作者单位：Harvard University; National Bureau of Economic Research; Harvard University; National Bureau of Economic Research; Swiss Finance Institute (SFI); Universita della Svizzera Italiana
摘要：We estimate a structural model of broker choice to quantitatively decompose the value that institutional investors attach to broker services. Studying over 300 million institutional equity trades, we find that investors are sensitive to both explicit and implicit trading costs and are willing to pay a premium for access to formal and informal research. Formal and informal research account for roughly half of the value generated by brokers. In addition, we use our model to investigate soft doll...
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作者：van Binsbergen, Jules H.; Diamond, William F.; Grotteria, Marco
作者单位：University of Pennsylvania; University of London; London Business School
摘要：We estimate risk-free interest rates unaffected by convenience yields on safe assets. We infer them from risky asset prices without relying on any specific model of risk. We ob-tain interest rates and implied convenience yields with maturities up to three years at a minutely frequency. Our estimated convenience yield on Treasuries equals about 40 basis points, is larger below three months maturity, and quadruples during the financial crisis. In high-frequency event studies, conventional and un...
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作者：Bena, Jan; Ortiz-Molina, Hernan; Simintzi, Elena
作者单位：University of British Columbia; University of North Carolina; University of North Carolina Chapel Hill
摘要：Following state-level legal changes that increase labor dismissal costs, firms increase their innovation in new processes that facilitate the adoption of cost-saving production meth-ods, especially in industries with a large share of labor costs in total costs. Firms with high innovation ability exhibit larger increases in process innovation and capital-labor ra-tios, an effect driven by both increases in capital investment and decreases in employment. By facilitating the adjustment of the inp...
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作者：Cakici, Nusret; Zaremba, Adam
作者单位：Fordham University; Montpellier Business School; Poznan University of Economics & Business
摘要：Motivated by existing evidence of the salience theory (ST) effect in the United States, we investigate its importance in 49 countries over the past three decades. Initial results sug-gest a negative relationship between the ST measure and future returns. The underperfor-mance of low ST stocks is the strongest in countries with high idiosyncratic risk. However, the salience effect has three vital limitations. First, a substantial part of the anomaly can be attributed to the short-term return re...
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作者：Field, Laura Casares; Lowry, Michelle
作者单位：University of Delaware; Drexel University
摘要：While the percentage of mature firms with classified boards or dual class shares has declined by more than 40% since 1990, the percentage of IPO firms with these structures has doubled over this period. We test whether IPO firms implement these structures optimally or whether they are utilized to allow managers to protect their private benefits of control. Both shareholder voting patterns and changes in firm types going public suggest that the Agency Hypothesis best explains IPO firm's use of ...
