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作者：Gomes, Joao F.; Yaron, Amir; Zhang, Lu
作者单位：University of Pennsylvania; National Bureau of Economic Research; University of Rochester
摘要：We use a production-based asset pricing model to investigate whether financing constraints are quantitatively important for the cross-section of returns. Specifically, we use GMM to explore the stochastic Euler equation imposed on returns by optimal investment. Our methods can identify the impact of financial frictions on the stochastic discount factor with cyclical variations in cost of external funds. We find that financing frictions provide a common factor that improves the pricing of cross...
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作者：Hau, H; Rey, H
作者单位：INSEAD Business School; Princeton University; Princeton University
摘要：We develop an equilibrium model in which exchange rates, stock prices, and capital flows are jointly determined under incomplete foreign exchange (forex) risk trading. Incomplete hedging of forex risk, documented for U.S. global mutual funds, induces the following price and capital flow dynamics: Higher returns in the home equity market relative to the foreign equity market are associated with a home currency depreciation. Net equity flows into the foreign market are positively correlated with...
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作者：Boot, AWA; Milbourn, TT; Schmeits, A
作者单位：University of Amsterdam; Centre for Economic Policy Research - UK; Washington University (WUSTL); New York University
摘要：In this article, we provide a novel rationale for credit ratings. The rationale that we propose is that credit ratings serve as a coordinating mechanism in situations where multiple equilibria can obtain. We show that credit ratings provide a focal point for firms and their investors, and explore the vital, but previously overlooked implicit contractual relationship between a credit rating agency (CRA) and a firm through its credit watch procedures. Credit ratings can help fix the desired equi...
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作者：Bolton, Patrick; Freixas, Xavier
作者单位：Columbia University
摘要：We analyze the transmission effects of monetary policy in a general equilibrium model of the financial sector, with bank lending and securities markets. Bank lending is constrained by capital adequacy requirements, and asymmetric information adds a cost to outside bank equity capital. In our model, monetary policy does not affect bank lending through changes in bank liquidity; rather, it operates through changes in the spread of bank loans over corporate bonds, which induce changes in the aggr...
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作者：Gillette, AB; Noe, TH
作者单位：University System of Georgia; Kennesaw State University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Tulane University
摘要：This article models, and experimentally simulates, the free-rider problem in a takeover when the raider has the option to resolicit, that is, to make a new offer after an offer has been rejected. In theory, the option to resolicit, by lowering offer credibility, increases the dissipative losses associated with free riding. The outcomes of our experiment support this prediction and produce losses from free riding even higher than theoretically predicted. These dissipation losses reduce raider g...
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作者：Hecht, P; Vuolteenaho, T
作者单位：Harvard University
摘要：Stock returns are correlated with contemporaneous earnings growth, dividend growth, future real activity, and other cash-flow proxies. The correlation between cash-flow proxies and stock returns may arise from association of cash-flow proxies with one-period expected returns, cash-flow news, and/or expected-return news. We use Campbell's (1991) return decomposition to measure the relative importance of these three effects in regressions of returns on cash-flow proxies. In some of the popular s...
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作者：Pan, Jun; Poteshman, Allen M.
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We present strong evidence that option trading volume contains information about future stock prices. Taking advantage of a unique data set, we construct put-call ratios from option volume initiated by buyers to open new positions. Stocks with low put-call ratios outperform stocks with high put-call ratios by more than 40 basis points on the next day and more than 1% over the next week. Partitioning our option signals into components that are publicly and nonpublicly observable, we find that t...
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作者：Faulkender, M; Petersen, MA
作者单位：Washington University (WUSTL); Northwestern University; National Bureau of Economic Research
摘要：Prior work on leverage implicitly assumes capital availability depends solely on firm characteristics. However, market frictions that make capital structure relevant may also be associated with a firm's source of capital. Examining this intuition, we find firms that have access to the public bond markets, as measured by having a debt rating, have significantly more leverage. Although firms with a rating are fundamentally different, these differences do not explain our findings. Even after cont...
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作者：Eleswarapu, Venkat R.; Venkataraman, Kumar
作者单位：Southern Methodist University
摘要：We conjecture that macro-level institutions affect equity trading costs through their impact on information risk and investor participation. In a study of trading costs for 412 NYSE-listed American Depository Receipts (ADRs) from 44 countries, we find that, after controlling for firm-level determinants of trading costs, effective spreads and price impact of trades are significantly lower for stocks from countries with better ratings for judicial efficiency, accounting standards, and political ...
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作者：Çetin, U; Jarrow, R; Protter, P; Warachka, M
作者单位：Cornell University; University of London; London School Economics & Political Science; Cornell University; Singapore Management University
摘要：This article studies the pricing of options in an extended Black Scholes economy in which the underlying asset is not perfectly liquid. The resulting liquidity risk is modeled as a stochastic supply curve, with the transaction price being a function of the trade size. Consistent with the market microstructure literature, the supply curve is upward sloping with purchases executed at higher prices and sales at lower prices. Optimal discrete time hedging strategies are then derived. Empirical evi...
