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作者：Lochstoer, Lars A.
作者单位：Columbia University; University of London; London Business School
摘要：This paper proposes a representative agent habit-formation model where preferences are defined for both luxury goods and basic goods. The model matches the equity risk premium, risk-free rate, and volatilities. From the intratemporal first-order condition, one can substitute out basic good consumption and the habit level, yielding a stochastic discount factor driven by two observable risk factors: luxury good consumption and the relative price of the two goods. I estimate these processes and f...
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作者：Jimenez, Gabriel; Lopez, Jose A.; Saurina, Jesus
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Banco de Espana
摘要：Since bank credit lines are a major source of corporate funding, we examine the determinants of their usage with a comprehensive database of Spanish corporate credit lines. A line's default status is a key factor driving its usage, which increases as firm financial conditions worsen. Firms with prior defaults access their credit lines less, suggesting that bank monitoring influences firms' usage decisions. Line usage has an aging effect that causes it to decrease by roughly 10% per year of its...
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作者：Xuan, Yuhai
作者单位：Harvard University
摘要：This article investigates how the job histories of CEOs influence their capital allocation decisions when they preside over multidivisional firms. I find that, after CEO turnover, divisions not previously affiliated with the new CEO receive significantly more capital expenditures than divisions through which the new CEO has advanced. The pattern of reverse-favoritism in capital allocation is more pronounced if the new CEO has less authority or if the unaffiliated divisions have more bargaining...
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作者：Ludvigson, Sydney C.; Ng, Serena
作者单位：New York University; National Bureau of Economic Research; Columbia University
摘要：Are there important cyclical fluctuations in bond market premiums and, if so, with what macroeconomic aggregates do these premiums vary? We use the methodology of dynamic factor analysis for large datasets to investigate possible empirical linkages between forecastable variation in excess bond returns and macroeconomic fundamentals. We find that real and inflation factors have important forecasting power for future excess returns on U.S. government bonds, above and beyond the predictive power ...
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作者：Bodnaruk, Andriy; Massa, Massimo; Simonov, Andrei
作者单位：INSEAD Business School; University of Notre Dame; Michigan State University; Michigan State University's Broad College of Business
摘要：We study holdings in merger and acquisition (M&A) targets by financial conglomerates in which affiliated investment banks advise the bidders. We show that advisors take positions in the targets before M&A announcements. These stakes are positively related to the probability of observing the bid and to the target premium. We argue that this can be explained in terms of advisors who are privy to important information about the deal, investing in the target in the expectation of its price increas...
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作者：Noe, Thomas H.
作者单位：University of Oxford; Tulane University
摘要：This paper considers optimal compensation for a CEO who is entrusted with administering corporate assets honestly. Optimal compensation designs maximize integrity at minimum cost. These designs are very low powered, i.e., while specifying a lower bound for performance and increasing pay with performance, they increase compensation at a rapidly decreasing rate. Thus, integrity considerations engender optimal compensation packages that closely resemble the very pervasive 80/120 bonus plans, exac...
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作者：Zhang, Benjamin Yibin; Zhou, Hao; Zhu, Haibin
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This paper attempts to explain the credit default swap (CDS) premium, using a novel approach to identify the volatility and jump risks of individual firms from high-frequency equity prices. Our empirical results suggest that the volatility risk alone predicts 48% of the variation in CDS spread levels, whereas the jump risk alone forecasts 19%. After controlling for credit ratings, macroeconomic conditions, and firms' balance sheet information, we can explain 73% of the total variation. We cali...
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作者：Ahn, Dong-Hyun; Conrad, Jennifer; Dittmar, Robert F.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Seoul National University (SNU); University of Michigan System; University of Michigan
摘要：This paper proposes a new method of forming basis assets. We use return correlations to sort securities into portfolios and compare the inferences drawn from this set of basis assets with those drawn from other benchmark portfolios. The proposed set of portfolios appears capable of generating measures of risk-return trade-off that are estimated with a lower error. In tests of asset pricing models, we find that the returns of these portfolios are significantly and positively related to both CAP...
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作者：Goldstein, Michael A.; Irvine, Paul; Kandel, Eugene; Wiener, Zvi
作者单位：Babson College; University System of Georgia; University of Georgia; Hebrew University of Jerusalem
摘要：The institutional brokerage industry faces an ever-increasing pressure to lower trading costs, which has already driven down average commissions and shifted volume toward low-cost execution venues. However, traditional full-service brokers that bundle execution with services remain a force and their commissions are still considerably higher than the marginal cost of trade execution. We hypothesize that commissions constitute a convenient way of charging a prearranged fixed fee for long-term ac...
