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作者：Huang, Jennifer; Wang, Jiang
作者单位：University of Texas System; University of Texas Austin; National Bureau of Economic Research
摘要：In this paper, we develop an equilibrium model for stock market liquidity and its impact on asset prices when constant market presence is costly. We show that even when agents' trading needs are perfectly matched, costly market presence prevents them from synchronizing their trades and hence gives rise to endogenous order imbalances and the need for liquidity. Moreover, the endogenous liquidity need, when it occurs, is characterized by excessive selling of significant magnitudes. Such liquidit...
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作者：Drucker, Steven; Puri, Manju
作者单位：Duke University; National Bureau of Economic Research
摘要：This paper examines the secondary market for loan sales and, in particular, loan contract design as a mechanism to resolve informational issues in loan sales and associated costs and benefits. Using loan-level data, we find that sold loans contain additional covenants and more restrictive net worth covenants, particularly when agency and informational problems are more severe. Why do borrowers agree to incur the additional costs associated with loan sales? Our evidence suggests that these borr...
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作者：Downing, Chris; Jaffee, Dwight; Wallace, Nancy
作者单位：University of California System; University of California Berkeley; Barclays
摘要：This paper models and provides empirical evidence for the quality of assets that are securitized through bankruptcy remote special purpose vehicles (SPVs). The model predicts that assets sold to SPVs will be of lower quality (lemons) compared to assets that are not sold to SPVs. We find strong empirical support for this prediction using a comprehensive data set of sales of mortgage-backed securities (Freddie Mac Participation Certificates, or PCs) to SPVs over the period 1991 through 2002. Val...
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作者：Johannes, Michael S.; Polson, Nicholas G.; Stroud, Jonathan R.
作者单位：Columbia University; University of Chicago; George Washington University
摘要：This paper provides an optimal filtering methodology in discretely observed continuous-time jump-diffusion models. Although the filtering problem has received little attention, it is useful for estimating latent states, forecasting volatility and returns, computing model diagnostics such as likelihood ratios, and parameter estimation. Our approach combines time-discretization schemes with Monte Carlo methods. It is quite general, applying in nonlinear and multivariate jump-diffusion models and...
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作者：Rauh, Joshua D.
作者单位：University of Chicago
摘要：The asset allocation of defined benefit pension plans is a setting where both risk-shifting and risk-management incentives are likely be present. Empirically, firms with poorly funded pension plans and weak credit ratings allocate a greater share of pension fund assets to safer securities such as government debt and cash, whereas firms with well-funded pension plans and strong credit ratings invest more heavily in equity. These relations hold both in pooled regressions and within firms and pla...
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作者：Butler, Alexander W.; Fauver, Larry; Mortal, Sandra
作者单位：University of Texas System; University of Texas Dallas; University of Tennessee System; University of Tennessee Knoxville; University of Memphis
摘要：We show that state corruption and political connections have strong effects on municipal bond sales and underwriting. Higher state corruption is associated with greater credit risk and higher bond yields. Corrupt states can eliminate the corruption yield penalty by purchasing credit enhancements. Underwriting fees were significantly higher during an era when underwriters made political contributions to win underwriting business. This pay-to-play underwriting fee premium exists only for negotia...
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作者：Cherny, Alexander; Madan, Dilip
作者单位：University System of Maryland; University of Maryland College Park; Lomonosov Moscow State University
摘要：This paper characterizes performance measures satisfying a set of proposed axioms. We develop four new measures consistent with the axioms and show that they improve on the economic properties of the Sharpe Ratio and the Gain-Loss Ratio. In our treatment, the performance measures, or the indexes of acceptability, are linked to positive expectations resulting from a stressed sampling of the cash-flow distribution. Theoretically, it is shown that the level of acceptability varies directly with t...
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作者：Cooper, Ilan; Priestley, Richard
作者单位：BI Norwegian Business School; University of Haifa
摘要：The output gap, a production-based macroeconomic variable, is a strong predictor of U. S. stock returns. It is a prime business cycle indicator that does not include the level of market prices, thus removing any suspicion that returns are forecastable due to a fad in prices being washed away. The output gap forecasts returns both in-sample and out-of-sample, and it is robust to a host of checks. We show that the output gap also has predictive power for excess stock returns in other G7 countrie...
