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作者：Pasquariello, Paolo; Vega, Clara
作者单位：University of Michigan System; University of Michigan; University of Rochester
摘要：We study the role played by private and public information in the process of price formation in the U.S. Treasury bond market. To guide our analysis, we develop a parsimonious model of speculative trading in the presence of two realistic market frictions - information heterogeneity and imperfect competition among informed traders - and a public signal. We test its equilibrium implications by analyzing the response of two-year, five-year, and ten-year U.S. bond yields to order flow and real-tim...
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作者：Hackbarth, Dirk; Hennessy, Christopher A.; Leland, Hayne E.
作者单位：Washington University (WUSTL); University of California System; University of California Berkeley
摘要：We examine the optimal mixture and priority structure of bank and market debt using a trade-off model in which banks have the unique ability to renegotiate outside formal bankruptcy. Flexible bank debt offers a superior trade-off between tax shields and bankruptcy costs. Ease of renegotiation limits bank debt capacity, however. Optimal debt structure hinges upon which party has bargaining power in private workouts. Weak firms have high bank debt capacity and utilize bank debt exclusively. Stro...
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作者：Colak, Gonul; Whited, Toni M.
作者单位：University of Wisconsin System; University of Wisconsin Madison; Wichita State University
摘要：We examine whether spin-offs or divestitures cause improvements in conglomerate investment efficiency. At issue are endogeneity of these restructuring decisions and correct measurement of investment efficiency. Endogeneity is a problem because the factors that induce firms to spin off or divest divisions may also improve investment efficiency; measurement error is a problem because efficiency measures employ Tobin's q as a noisy proxy for investment opportunities. We find important differences...
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作者：Duffie, Darrell; Garleanu, Nicolae; Pedersen, Lasse Heje
作者单位：Stanford University; University of California System; University of California Berkeley; New York University
摘要：We provide the impact on asset prices of search-and-bargaining frictions in over-the-counter markets. Under certain conditions, illiquidity discounts are higher when counterparties are harder to find, when sellers have less bargaining power, when the fraction of qualified owners is smaller, or when risk aversion, volatility, or hedging demand is larger. Supply shocks cause prices to jump, and then recover over time, with a time signature that is exaggerated by search frictions: The price jump ...
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作者：Almeida, Heitor; Campello, Murillo
作者单位：New York University; National Bureau of Economic Research; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Pledgeable assets support more borrowing, which allows for further investment in pledgeable assets. We use this credit multiplier to identify the impact of financing frictions on corporate investment. The multiplier suggests that investment-cash flow sensitivities should be increasing in the tangibility of firms' assets (a proxy for pledgeability), but only if firms are financially constrained. Our empirical results confirm this theoretical prediction. Our approach is not subject to the Kaplan...
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作者：Cremers, K. J. Martijn; Nair, Vinay B.; Wei, Chenyang
作者单位：Yale University; University of Pennsylvania; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We investigate the effects of shareholder governance mechanisms on bondholders and document two new findings. First, the impact of shareholder control (proxied by large institutional blockholders) on credit risk depends on takeover vulnerability. Shareholder control is associated with higher (lower) yields if the firm is exposed to (protected from) takeovers. In the presence of shareholder control, the difference in bond yields due to differences in takeover vulnerability can be as high as 66 ...
