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作者：Li, Jiacui
作者单位：Utah System of Higher Education; University of Utah
摘要：Corporate bond prices are slow to respond to default risk and interest rate shocks, as proxied by firm-level stock returns and Treasury returns, respectively. Furthermore, the under-reaction is risk-specific: bonds with better credit quality underreact more to default risk, while those with worse quality underreact more to interest rates. The under-reactions imply substantial out-of-sample return predictability, and investors appear to be leaving too much money on the table. The results are co...
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作者：Aghamolla, Cyrus; Thakor, Richard T.
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Massachusetts Institute of Technology (MIT)
摘要：This study investigates whether a private firm's decision to go public affects the IPO decisions of its competitors. Using detailed data from the drug development industry, we identify a private firm's direct competitors at a precise level through a novel approach using similarity in drug development projects based on disease targets. The analysis shows that a private firm is significantly more likely to go public after observing the recent IPO of a direct competitor, and this effect is distin...
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作者：Ai, Hengjie; Han, Leyla Jianyu; Pan, Xuhui Nick; Xu, Lai
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of Wisconsin System; University of Wisconsin Madison; Boston University; University of Oklahoma System; University of Oklahoma - Norman; Syracuse University
摘要：Using the expected option-implied variance reduction to measure the sensitivity of stock returns to monetary policy announcement surprises, this paper shows monetary policy announcements require significant risk compensation in the cross section of equity returns. We develop a parsimonious equilibrium model in which FOMC announcements reveal the Federal Reserve's private information about its interest-rate target, which affects the private sector's expectation about the long-run growth-rate of...
