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作者：Carletti, Elena; Marco, Filippo De; Ioannidou, Vasso; Sette, Enrico
作者单位：Bocconi University; Bocconi University; City St Georges, University of London; Centre for Economic Policy Research - UK; European Central Bank; Bank of Italy
摘要：We provide new evidence on how deposit funding affects bank lending. For identification, we exploit the 2011 reform of the investment income tax in Italy that induced households to substitute bank bonds with deposits. We find that banks with larger increases in deposits expand the supply of credit lines and long-term credit to low-risk firms. Additional evidence indicates that these results are consistent with theories emphasizing the demandable nature of the deposit contract rather than theor...
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作者：Garleanu, Nicolae; Panageas, Stavros
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：We study an economy without bubbles in which expectations about future discount rates can become self-fulfilling because asset valuations redistribute wealth across different investor cohorts. For such redistribution to take place, the wealth of arriving and existing cohorts must react differently to discount rates, and in addition only the existing agents are marginal in financial markets. The self-fulfilling nature of discount rate expectations means that the economy can address several well...
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作者：Jank, Stephan; Roling, Christoph; Smajlbegovic, Esad
作者单位：Deutsche Bundesbank; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We study how disclosure requirements for large short positions affect investor behavior and security prices. Short positions accumulate just below the applicable disclosure threshold as certain investors never disclose any of their positions. Further tests suggest that this secrecy is part of investors' general policy of avoiding disclosure to protect their unique, profitable investment strategies against reverse engineering by competitors. No evidence supports the notion that short sellers av...
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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：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：Ersahin, Nuri; Irani, Rustom M.; Le, Hanh
作者单位：Michigan State University; Michigan State University's Broad College of Business; University of Illinois System; University of Illinois Urbana-Champaign; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：We examine the within-firm resource allocation and restructuring outcomes at firms violating debt covenants. Using establishment-level data from the US Census Bureau, we find that covenant violations are followed by reductions in employment, investment, and more frequent establishment closures among violating firms' noncore business lines and less productive establishments. These changes are concentrated among establishments at which manager-shareholder agency costs are pronounced and when key...
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作者：Xu, Yongxin; Xuan, Yuhao; Zheng, Gaoping
作者单位：Monash University; Southwestern University of Finance & Economics - China; Royal Melbourne Institute of Technology (RMIT)
摘要：In 2010, Google unexpectedly withdrew its searching business from China, reducing investors' ability to find information online. The stock price crash risk for firms searched for more via Google before its withdrawal subsequently increases by 19%, suggesting that Internet searching facilitates investors' information processing. The sensitivity of stock returns to negative Internet posts also rises by 36%. The increase in crash risk is more pronounced when firms are more likely to hide adverse ...
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作者：Gospodinov, Nikolay; Robotti, Cesare
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; University of Warwick
摘要：Intermediary and downside risk asset pricing theories lay the foundations for spanning the multi-asset return space by a small number of risk factors. Recent studies show strong empirical support for such factors across major asset classes. We revisit these results and show that robust evidence for common factor pricing remains elusive. Importantly, the proposed risk factors do not seem to provide incremental information to the traditional market factor. We argue that most of the economic and ...
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作者：Wang, Zigan; Yin, Qie Ellie; Yu, Luping
作者单位：University of Hong Kong; Hong Kong Baptist University; Xiamen University
摘要：We use staggered share repurchases legalization from 1985 to 2010 across the world to examine its impact on corporate behaviors. We find that share-repurchasing firms do not cut dividends as a substitution. The cash for repurchasing shares comes more from internal cash than external debt issuance, leading to reductions in capital expenditures and R&D expenses. While this strategy boosts stock prices, it results in lower long-run Tobin's Q, profitability, growth, and innovation, accompanied by ...
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作者：Allen, Franklin; Haas, Marlene D.; Nowak, Eric; Tengulov, Angel
作者单位：Imperial College London; Universita della Svizzera Italiana; University of Kansas
摘要：On October 26, 2008, Porsche announced a largely unexpected domination plan for Volkswagen. The resulting short squeeze in Volkswagen's stock briefly made it the most valuable listed company in the world. We argue that this was a manipulation designed to save Porsche from insolvency and the German laws against this kind of abuse were not effectively enforced. Using hand-collected data we provide the first rigorous academic study of the Porsche-VW squeeze and show that it significantly impeded ...
