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作者：Barber, Brad M.; Morse, Adair; Yasuda, Ayako
作者单位：University of California System; University of California Davis; University of California System; University of California Berkeley; National Bureau of Economic Research
摘要：We show that investors derive nonpecuniary utility from investing in dual-objective Venture Capital (VC) funds, thus sacrificing returns. Impact funds earn 4.7 percentage points (ppts) lower internal rates of return (IRRs) ex-post than traditional VC funds. In random utility/willingness-to-pay (WTP) models investors accept 2.5-3.7 ppts lower IRRs ex ante for impact funds. The positive WTP result is robust to fund access rationing and investor heterogeneity in fund expected returns. Development...
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作者：Carey, Mark; Gordy, Michael B.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We offer a model and evidence showing that private debtholders play a key role in setting the endogenous asset value threshold below which corporations declare bankruptcy. As predicted by the model, we find that the recovery rate at emergence from bankruptcy on all of the firm's debt taken together is increasing in the pre-bankruptcy share of private debt in all debt. We further find evidence consistent with a two-threshold model in which private debtholders force default in some cases and sha...
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作者：Griffin, John M.; Kruger, Samuel; Maturana, Gonzalo
作者单位：University of Texas System; University of Texas Austin; Emory University
摘要：Ten years after the financial crisis, the central question of what explains the rise and fall in house prices remains unresolved. We provide a unified framework to examine four excess credit supply variables and three speculation variables that have been proposed in the literature. Credit supply variables, particularly subprime share and worse originator share, strongly relate to future zip-code-level house price changes in the boom and bust, whereas none of the speculation variables consisten...
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作者：Barroso, Pedro; Boons, Martijn; Karehnke, Paul
作者单位：University of New South Wales Sydney; Universidade Nova de Lisboa; Tilburg University; heSam Universite; ESCP Business School
摘要：We find that the relation between state variables, such as the t-bill rate and term spread, and consumption growth is time-varying. In the cross-section of U.S. stocks, risk premia for exposure to state variables vary over time accordingly. When a state variable predicts consumption strongly relative to its own history, its annualized risk premium increases by 6% (0.4 in Sharpe ratio). This effect implies that risk premia can switch signs and are increasing in the conditional variance of the s...
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作者：Fjesme, Sturla L.; Galpin, Neal E.; Moore, Lyndon
作者单位：Oslo Metropolitan University (OsloMet); UiT The Arctic University of Tromso; Monash University
摘要：We examine listing applications by firms to the London Stock Exchange between 1891 and 1911. The exchange rejected 82 (13.1%) of the 628 applicants to its main board. Accepted applicants were twice as likely to pay dividends (and to pay twice as much) and had longer firm lives than rejected applicants. Rejected applicants were more likely to file for liquidation than successful applicants. These results remain even after we control for the primary benefits of the listing itself: liquidity and ...
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作者：Nikolov, Boris; Schmid, Lukas; Steri, Roberto
作者单位：University of Lausanne; Swiss Finance Institute (SFI); European Corporate Governance Institute; University of Southern California; Center for Economic & Policy Research (CEPR); University of Luxembourg
摘要：Which financial frictions drive firms' financing constraints? We structurally estimate dynamic firm financing models embedding many financial frictions, on panels of public firms and private firms. We focus on limited enforcement, moral hazard, and trade-off models and assess which models rationalize best observed corporate policies across various samples. Our tests, based on empirical policy function benchmarks, favor trade-off models for larger public firms, limited commitment models for sma...
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作者：Laudenbach, Christine; Loos, Benjamin; Pirschel, Jenny; Wohlfart, Johannes
作者单位：University of Bonn; Technical University of Munich; Danish Finance Institute; University of Copenhagen; University of Copenhagen; Danish Finance Institute
摘要：We examine how adverse local experiences that are uninformative of future returns affect households' investment behavior in the short term. Using data from a German online brokerage and a survey, we show that retail investors sharply reduce risk taking in response to nearby firm bankruptcies. Adjustments in risk taking occur through immediate and transitory increases in trading, and work through more pessimistic expectations about aggregate stock returns and increased risk aversion. Changes in...
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作者：Carpinelli, Luisa; Crosignani, Matteo
作者单位：European Central Bank; Bank of Italy; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We analyze the role of loan maturity and collateral eligibility in the transmission of central bank liquidity provisions to banks following a wholesale funding dry-up. We analyze the transmission of the three-year LTRO, which substantially extended the ECB liquidity maturity, in Italy, where banks benefited from a government guarantee program that effectively relaxed the ECB collateral requirements. Combining the national credit register with banks securities holdings, we find that (i) the mat...
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作者：Ding, Wenzhi; Levine, Ross; Lin, Chen; Xie, Wensi
作者单位：University of Hong Kong; University of California System; University of California Berkeley; National Bureau of Economic Research; Chinese University of Hong Kong
摘要：We evaluate the connection between corporate characteristics and the reaction of stock returns to COVID-19 cases using data on more than 6,700 firms across 61 economies. The pandemic-induced drop in stock returns was milder among firms with stronger pre-2020 finances (more cash and undrawn credit, less total and short-term debt, and larger prof-its), less exposure to COVID-19 through global supply chains and customer locations, more corporate social responsibility activities, and less entrench...
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作者：Harvey, Campbell R.; Liu, Yan
作者单位：Duke University; National Bureau of Economic Research; Purdue University System; Purdue University
摘要：Identifying the factors that drive the cross-section of expected returns is challenging for at least three reasons. First, the choice of testing approach (time series versus cross-sectional) will deliver different sets of factors. Second, varying test portfolio sorts changes the impor-tance of candidate factors. Finally, given the hundreds of factors that have been proposed, test multiplicity must be dealt with. We propose a new method that makes measured progress in addressing these key chall...
