-
作者：Eisenthal-Berkovitz, Yael; Feldhutter, Peter; Vig, Vikrant
作者单位：Reichman University; Copenhagen Business School; University of London; London Business School
摘要：Recent decades have witnessed several waves of buyout activity. We find leveraged buyouts (LBOs) to be a significant concern for bondholders by showing that a) intra-industry credit spreads increase upon an LBO announcement, b) yields on bonds without event risk covenants are, on average, 21 basis points higher than those on same-firm bonds with such covenants, and c) structural models calibrated to historical LBO events imply an impact of 18-21 basis points on 10-year credit spreads. The impa...
-
作者：Pastor, Lubos; Stambaugh, Robert F.; Taylor, Lucian A.
作者单位：University of Chicago; University of Pennsylvania; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); National Bank of Slovakia
摘要：We study tradeoffs among active mutual funds' characteristics. In both our equilibrium model and the data, funds with larger size, lower expense ratio, and higher turnover hold more-liquid portfolios. Portfolio liquidity, a concept introduced here, depends not only on the liquidity of the portfolio's holdings but also on the portfolio's diversification. We also confirm other model-predicted tradeoffs. Larger funds are cheaper. Larger and cheaper funds are less active, based on our new measure ...
-
作者：Liao, Gordon Y.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This paper examines the joint determination of deviations in long-term covered interest rate parity and differences in the credit spread of bonds of similar risk but different currency denomination. These two pricing anomalies are highly aligned in both the time series and the cross-section of currencies. The sum of these two pricing deviations-the corporate basis-represents the currency-hedged borrowing cost difference between currency regions and explains up to a third of the variation in th...
-
作者：Bennett, Benjamin; Stulz, Rene; Wang, Zexi
作者单位：Tulane University; National Bureau of Economic Research; University System of Ohio; Ohio State University; University System of Ohio; Ohio State University; Lancaster University
摘要：Management, directly or indirectly, learns from its firm's stock price, so a more informative stock price should make the firm more productive. We show that stock price informativeness increases firm productivity. We provide direct evidence of one channel through which stock price informativeness affects productivity; specifically, we find that CEO turnover is less sensitive to Tobin's q when informativeness is lower. We predict and confirm that the productivity of smaller and younger firms, b...
-
作者：Davila, Eduardo; Walther, Ansgar
作者单位：Yale University; Imperial College London
摘要：We explore how large and small banks make funding decisions when system-wide bailouts are possible. We show that bank size, purely on strategic grounds, is a key determinant of banks' leverage choices, even when bailout policies treat large and small banks symmetrically. Large banks leverage more than small banks because they internalize that their decisions directly affect bailout policies. In equilibrium, this effect is amplified by strategic spillovers to small banks since banks' leverage c...
-
作者：Maturana, Gonzalo; Nickerson, Jordan
作者单位：Emory University; Boston College
摘要：This paper studies the effects of financial distress on workers' productivity, using detailed data from the public school system in Texas. We show that the student passing rate in the median-sized grade decreases by 1.2 percentage points following a declaration of bankruptcy by one teacher in the grade. The effect of financial distress increases with the complexity of the task. Overall, our results suggest a potential feedback effect of worker financial distress on local economic conditions an...
-
作者：Muravyev, Dmitriy; Ni, Xuechuan (Charles)
作者单位：Boston College; Michigan State University; Michigan State University's Broad College of Business
摘要：Average delta hedged returns for Standard & Poor's 500 index options are large: -0.7% per day. When we decompose these option returns into intraday and overnight components, average close-to-open returns are -1% per day and open-to-close returns are positive, 0.3%. A similar return pattern holds for all maturity and moneyness categories and equity options. These positive intraday returns are particularly difficult to explain. However, our results are consistent with option prices' failing to a...
-
作者：Baghai, Ramin P.; Becker, Bo
作者单位：Stockholm School of Economics
摘要：How do changes in a rating agency's reputation affect the ratings market? We study the dynamics of credit ratings after Standard & Poor's (S&P) was shut out of a large segment of the commercial mortgage-backed securities (CMBS) ratings market following a procedural mistake. Exploiting the fact that most CMBS have ratings from multiple agencies, we show that S&P subsequently eased its standards compared to other raters. This coincided with a partial recovery in the number of deals S&P was hired...
-
作者：Boehmer, Ekkehart; Jones, Charles M.; Zhang, Xiaoyan
作者单位：Singapore Management University; Columbia University; Tsinghua University
摘要：The total effects of a regulatory change consist of direct effects and indirect effects (spillovers), but the standard difference-in-difference approach mostly ignores potential indirect effects. During the 2007 full repeal of the uptick rule, short-sellers become much more aggressive across the board, even in control stocks where the uptick rule is already suspended. This finding is consistent with positive and significant indirect effects on control stocks, likely driven by aggressive broad ...
-
作者：Cong, Lin William; Grenadier, Steven R.; Hu, Yunzhi
作者单位：University of Chicago; Stanford University; University of North Carolina; University of North Carolina Chapel Hill
摘要：We model a dynamic economy with strategic complementarity among investors and study how endogenous government interventions mitigate coordination failures. We establish equilibrium existence and uniqueness, and we show that one intervention can affect another through altering the public information structure. A stronger initial intervention helps subsequent interventions through increasing the likelihood of positive news, but also leads to negative conditional updates. Our results suggest opti...
