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作者：Feng, Felix Zhiyu; Westerfield, Mark M.
作者单位：University of Washington; University of Washington Seattle
摘要：We study a firm's internal resource allocation using a dynamic principal-agent model with endogenous cash flow volatility. The principal supplies the agent with resources for productive use, but the agent has private control over both project volatility and resource intensity and may misallocate resources to obtain private benefits. The optimal contract can yield either overly risky or overly prudent project selection. It can be implemented with a constant pricing schedule (i.e., a static, dec...
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作者：Bolton, Patrick; Kacperczyk, Marcin
作者单位：Columbia University; Imperial College London; Centre for Economic Policy Research - UK; National Bureau of Economic Research
摘要：We study whether carbon emissions affect the cross-section of US stock returns. We find that stocks of firms with higher total carbon dioxide emissions (and changes in emissions) earn higher returns, controlling for size, book-to-market, and other return predictors. We cannot explain this carbon premium through differences in unexpected profitability or other known risk factors. We also find that institutional investors implement exclusionary screening based on direct emission intensity (the r...
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作者：Chen, Jiakai; Kim, Joon Ho; Rhee, S. Ghon
作者单位：University of Hawaii System; University of Hawaii Manoa
摘要：We examine how search frictions affect merger outcomes. Exploiting firm connections in common bank networks (CBNs) as a channel for reducing search costs, we show that like-buys-like mergers are more probable between firms connected through a CBN. This effect is amplified if the connection has been recently formed or the network contains many plausible choices for merger partners. CBN-facilitated mergers exhibit higher synergy and lower post-merger cost of debt. We confirm that CBNs reduce sea...
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作者：Dai, Rui; Liang, Hao; Ng, Lilian
作者单位：University of Pennsylvania; Singapore Management University; York University - Canada
摘要：Corporate customers are an important stakeholder in global supply chains. We employ several unique international databases to test whether socially responsible corporate customers can infuse similar socially responsible business behavior in suppliers. Our findings suggest a unilateral effect on corporate social responsibility (CSR) only from customers to suppliers, an evidence further supported by exogenous variation in customers' close call CSR proposals and by product scandals. Customers exe...
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作者：Schlenker, Wolfram; Taylor, Charles A.
作者单位：Columbia University; National Bureau of Economic Research
摘要：We compare prices of financial derivatives whose payouts are based on future weather outcomes to CMIP5 climate model predictions as well as observed weather station data across eight cities in the US from 2001 through 2020. Derivative prices respond both to short-term weather forecasts for the next two weeks and longer-term warming trends. We show that the long-term trends in derivative prices are comparable to station-level data and climate model output. The one exception is February in the n...
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作者：Child, Travers Barclay; Massoud, Nadia; Schabus, Mario; Zhou, Yifan
作者单位：China Europe International Business School; University of Melbourne; Michigan State University; Michigan State University's Broad College of Business; Fudan University
摘要：We exploit Donald Trump's nonpolitical background and surprise election victory to identify the value of sudden presidential ties among S&P 500 firms. In our setting firms did not choose to become politically connected, so we identify treatment effects comparatively free of selection bias prevalent in this literature. Firms with presidential ties enjoyed greater abnormal returns around the 2016 election. Since Trump's inauguration, connected firms had better performance, received more governme...
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作者：Kashyap, Anil K.; Kovrijnykh, Natalia; Li, Jian; Pavlova, Anna
作者单位：National Bureau of Economic Research; University of Chicago; Centre for Economic Policy Research - UK; Bank of England; Arizona State University; Arizona State University-Tempe; University of Chicago; University of London; London Business School
摘要：We argue that the pervasive practice of evaluating portfolio managers relative to a bench-mark has real effects. Benchmarking generates additional, inelastic demand for assets in-side the benchmark. This leads to a benchmark inclusion subsidy: a firm inside the benchmark values an investment project more than the one outside. The same wedge arises for valuing M&A, spinoffs, and IPOs. This overturns the proposition that an invest-ment's value is independent of the entity considering it. We desc...
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作者：Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey
作者单位：Columbia University; Center for Economic & Policy Research (CEPR); Federal Reserve System - USA; Fordham University
摘要：We use non-Gaussian features in U.S. macroeconomic data to identify aggregate supply and demand shocks while imposing minimal economic assumptions. Macro risks represent the variables that govern the time-varying variance, skewness, and higher-order moments of these two shocks, with good (bad) variance associated with positive (negative) skewness. We document that macro risks significantly contribute to the variation of yields and risk premiums for nominal bonds. While overall bond risk premiu...
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作者：Klingler, Sven; Syrstad, Olav
作者单位：BI Norwegian Business School; Norges Bank
摘要：We examine the alternative reference rates that are set to replace the London Interbank Offered Rate (LIBOR) as benchmark rate by the end of 2021. After providing the relevant background, we show that: (i) depending on the marginal lenders, tighter regulatory con-straints can either increase or decrease the alternative benchmarks; (ii) increases in the amount of government debt outstanding increase the alternative benchmarks, more so for collateralized rates; and (iii) more central bank reserv...
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作者：Bali, Turan G.; Subrahmanyam, Avanidhar; Wen, Quan
作者单位：Georgetown University; University of California System; University of California Los Angeles
摘要：Long-term reversals in corporate bonds are economically and statistically significant in a comprehensive sample spanning the period 1977 to 2017. Such reversals are stronger for bonds with high credit risk and more binding regulatory, capital, and funding liquidity constraints. Bond long-term reversal is not a manifestation of the equity counterpart and is mainly driven by long-term losers. A long-term reversal factor carries a sizable premium and is not explained by long-established equity an...
