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作者：Jiang, Hao; Li, Yi; Sun, Zheng; Wang, Ashley
作者单位：Michigan State University; Michigan State University's Broad College of Business; Federal Reserve System - USA; Federal Reserve System Board of Governors; University of California System; University of California Irvine
摘要：Open-end corporate bond mutual funds invest in illiquid assets while providing liquid claims to shareholders. Does such liquidity transformation introduce fragility to the corporate bond market? To address this question, we create a novel bond-level latent fragility measure based on asset illiquidity of mutual funds holding the bond. We find that corporate bonds bearing higher fragility subsequently experience higher return volatility and more outflows-induced mutual fund selling over the peri...
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作者：Clarke, Charles
作者单位：University of Kentucky
摘要：I develop a method to extract only the priced factors from stock returns. The first step estimates expected returns based on firm characteristics. The second step uses the estimated expected returns to form portfolios. The last step uses principal component analysis to extract factors from the portfolio returns. The procedure isolates and emphasizes the comovement across assets that is related to expected returns as opposed to firm characteristics. It produces three factors-level, slope, and c...
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作者：Benmelech, Efraim; Kumar, Nitish; Rajan, Raghuram
作者单位：Northwestern University; National Bureau of Economic Research; State University System of Florida; University of Florida; University of Chicago; National Bureau of Economic Research
摘要：Credit spreads for secured debt are lower than for unsecured debt, especially when a firm's credit quality deteriorates, the economy slows, or average credit spreads widen. Yet investment-grade firms tend to be reluctant to issue secured debt at all times. In contrast, we find that for firms that are rated below investment grade, the likelihood of secured debt issuance increases as firm credit quality deteriorates, the economy slows, or average credit spreads widen. This differential pattern o...
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作者：Goldman, Eitan; Martel, Jordan; Schneemeier, Jan
作者单位：Indiana University System; Indiana University Bloomington
摘要：We present a model of media coverage of corporate announcements. Firms strategically use the media to communicate corporate announcements to a group of traders who observe announcements not directly but through media reports. Journalists strategically select which announcements to report to readers. Media coverage inadvertently incentivizes firms to manipulate the underlying announcements. In equilibrium, media coverage is tilted towards less manipulated negative news. The presence of financia...
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作者：Hitzemann, Steffen; Sokolinski, Stanislav; Tai, Mingzhu
作者单位：Rutgers University System; Rutgers University New Brunswick; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; University of Hong Kong
摘要：We examine how investor demand for leverage shapes asset management fees. We show that in the sample of U.S. equity mutual funds: (1) fees increase in fund market beta pre-cisely for beta larger than one; (2) this relation becomes stronger and high-beta funds experience larger inflows when leverage constraints tighten; and (3) low net alphas are especially common among high-beta funds. These results are consistent with a model in which asset managers compete for leverage-constrained investors ...
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作者：Fakos, Alexandros; Sakellaris, Plutarchos; Tavares, Tiago
作者单位：Instituto Tecnologico Autonomo de Mexico; Athens University of Economics & Business; Instituto Tecnologico Autonomo de Mexico
摘要：Using new census-type data and a dynamic structural model, we study the effect of credit supply on investment by manufacturing firms during the Greek depression. Real factors (profitability, uncertainty, and taxes) account for only a fraction of the substantial drop in investment observed in the data. The reduction in credit supply has significant real effects, explaining 11-32% of the investment slump. We also find that exporting firms, which reduce investment and deleverage despite their imp...
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作者：Bernstein, Shai; Colonnelli, Emanuele; Malacrino, Davide; McQuade, Tim
作者单位：Harvard University; University of Chicago; International Monetary Fund; University of Colorado System; University of Colorado Boulder
摘要：We examine the characteristics of the individuals who become entrepreneurs when local opportunities arise. We identify local demand shocks by linking fluctuations in global commodity prices to municipality-level agricultural endowments in Brazil. We find that the firm creation response is mostly driven by young and skilled individuals. The characteristics of these responsive entrepreneurs are significantly different from those of average entrepreneurs in the economy. By structurally estimating...
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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...
