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作者：Lewis, Kurt F.; Longstaff, Francis A.; Petrasek, Lubomir
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：We use a unique sample of corporate bonds guaranteed by the full faith and credit of the US to test recent theories about why asset prices may diverge from fundamental values. A key feature of our study is access to proprietary data on the haircuts, funding costs, and inventory positions of the primary dealers making markets in the individual bonds. The results provide strong support for the cross-sectional implications of the safe-asset, intermediary-constraints, and search-frictions literatu...
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作者：Bischof, Jannis; Laux, Christian; Leuz, Christian
作者单位：University of Mannheim; Vienna University of Economics & Business; European Corporate Governance Institute; University of Chicago
摘要：This paper examines banks' disclosures and loss recognition in the 20 07-20 09 financial crisis and identifies several core issues for the link between accounting and financial stability. We show that, going into the financial crisis, banks' disclosures about relevant risk exposures were relatively sparse. Such disclosures came later after major concerns about banks' exposures had arisen in markets. The recognition of loan losses also was slow and delayed relative to prevailing market expectat...
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作者：Lewellen, Stefan; Williams, Emily
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Harvard University
摘要：We examine the effects of the Mortgage Electronic Registration System, or MERS, on mortgage origination volumes and foreclosure rates prior to the Great Recession. MERS was introduced in the late 1990s and significantly reduced the cost and time associated with secondary mortgage sales. Using novel data from the Massachusetts Registry of Deeds, we show that the introduction of MERS led to an expansion in mortgage credit supply that was primarily fueled by nonbank lenders originating mortgages ...
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作者：Fang, Xiang; Liu, Yang
作者单位：University of Hong Kong
摘要：We propose and estimate a quantitative model of exchange rates in which participants in the foreign exchange market are intermediaries subject to value-at-risk (VaR) constraints. Higher volatility translates into tighter VaR constraints, and intermediaries require higher returns to hold foreign assets. Therefore, the foreign currency is expected to appreciate. The model quantitatively resolves the Backus-Smith puzzle, the forward premium puzzle, and the exchange rate volatility puzzle and expl...
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作者：Kargar, Mahyar
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：I show that the composition of the financial sector has important asset pricing implications beyond the health of the aggregate financial sector. To assess the impact of massive balance sheet adjustments within the intermediary sector during the Great Recession and resolve conflicting asset pricing evidence, I propose a dynamic asset pricing model with heterogeneous intermediaries facing financial frictions. Asset flows between intermediaries are quantitatively important for both the level of ...
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作者：Bouvard, Matthieu; de Motta, Adolfo
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; McGill University
摘要：This paper studies an economy in which demand spillovers make firms' production decisions strategic complements. Firms choose their operating leverage trading off higher fixed costs for lower variable costs. Operating leverage governs firms' exposures to an aggregate labor productivity shock. In equilibrium, firms exhibit excessive operating leverage because they do not internalize that an economy with higher aggregate operating leverage is more likely to fall into a recession following a nega...
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作者：Hellmann, Thomas; Schure, Paul; Vo, Dan H.
作者单位：University of Oxford; University of Victoria; California Lutheran University
摘要：We analyze the funding of start-up companies across financing rounds, focusing on the dynamic interactions between angel investors and venture capitalists. Using unique data from British Columbia, Canada, we show that angels and venture capitalists are dynamic substitutes. This substitutes pattern applies across the performance range of companies. It is less pronounced for serial angels. An instrumental variable analysis, based on available investor tax credits, suggests that the substitutes p...
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作者：Herkenhoff, Kyle; Phillips, Gordon M.; Cohen-Cole, Ethan
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; Dartmouth College
摘要：We examine how consumer credit affects entrepreneurship by linking three million earnings and pass-through tax records to credit reports. In the cross-section, we show that self-employment without employees and employer firm ownership increase monotonically with credit limits and credit scores. We then isolate individuals who have had discrete increases in credit limits after the exogenous removal of bankruptcy flags to measure the effects of personal credit on entrepreneurship. Following bank...
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作者：Doerr, Sebastian; Schaz, Philipp
作者单位：Bank for International Settlements (BIS); Leibniz Association; DIW Berlin - Deutsches Institut fur Wirtschaftsforschung
摘要：We classify a large sample of banks according to the geographic diversification of their international syndicated loan portfolio. We show that diversified banks maintain higher loan supply during banking crises in borrower countries. Positive loan supply effects lead to higher firm investment and employment growth. Diversified banks are stabilizing due to their ability to raise additional funding during times of distress. Distinguishing banks by nationality reveals that diversified domestic ba...
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作者：Fabisik, Kornelia; Fahlenbrach, Ruediger; Stulz, Rene M.; Taillard, Jerome P.
作者单位：University System of Ohio; Ohio State University
摘要：Using more than 50,0 0 0 firm-years from 1988 to 2015, we show that the empirical relation between a firm's Tobin's q and managerial ownership is systematically negative. When we restrict our sample to larger firms, as in the prior literature, we confirm earlier findings of an increasing and concave relation between q and managerial ownership. We show that cumulative past performance and liquidity can explain these seemingly contradictory results. Better performing firms have more liquid equit...
