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作者：Bernhardt, Dan; Koufopoulos, Kostas; Trigilia, Giulio
作者单位：University of York - UK; University of Rochester
摘要：We show that in the limited-commitment framework of Donaldson et al. (2019), firm value always increases in the fraction of cash flows that can be pledged as collateral. That is, pledgeability increases investment efficiency and relaxes a firm's financing constraint. We derive this conclusion using the same contracts considered by the authors and generalize the result to an arbitrary number of states. We also show that the first best can always be implemented by a nonstate-contingent secured d...
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作者：Wang, Albert Y.; Young, Michael
作者单位：Auburn University System; Auburn University; University of Virginia
摘要：Using a comprehensive list of terrorist attacks over three decades, we find that aggregate investor risk aversion inversely relates to terrorist activity in the United States. A one standard deviation increase in the number of attacks each month leads to a $75.09 million drop in aggregate flows to equity funds and a $56.81 million increase to government bond funds. Tests on alternative channels further suggest that the shift in aggregate risk aversion is driven mainly by an emotional shock rat...
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作者：Gallagher, Emily A.; Gopalan, Radhakrishnan; Grinstein-Weiss, Michal; Sabat, Jorge
作者单位：University of Colorado System; University of Colorado Boulder; Federal Reserve System - USA; Federal Reserve Bank - St. Louis; Washington University (WUSTL); Washington University (WUSTL)
摘要：Using data on over 57,0 00 low-income tax filers, we estimate the effect of Medicaid access on the propensity of households to save or repay debt from their tax refunds. We instrument for Medicaid access using variation in state eligibility rules. We find substanital heterogeneity across households in the savings response to Medicaid. Households that are not experiencing financial hardship behave in a manner consistent with a precautionary savings model, meaning they save less under Medicaid. ...
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作者：Cenedese, Gino; Ranaldo, Angelo; Vasios, Michalis
作者单位：University of St Gallen; Bank of England
摘要：Using unique data at transaction and identity levels, we provide the first systematic study of interest rate swaps traded over the counter (OTC). We find substantial and persistent heterogeneity in derivative prices consistent with a pass-through of regulatory costs on to market prices via so-called valuation adjustments (XVA). A client pays a higher price to buy interest rate protection from a dealer (i.e., the client pays a higher fixed rate) if the contract is not cleared via a central coun...
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作者：Chen, Tao; Dong, Hui; Lin, Chen
作者单位：Nanyang Technological University; Shanghai University of Finance & Economics; University of Hong Kong
摘要：This study uses two distinct quasi-natural experiments to examine the effect of institutional shareholders on corporate social responsibility (CSR). We first find that an exogenous increase in institutional holding caused by Russell Index reconstitutions improves portfolio firms' CSR performance. We then find that firms have lower CSR ratings when shareholders are distracted due to exogenous shocks. Moreover, the effect of institutional ownership is stronger in CSR categories that are financia...
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作者：Todorov, Karamfil
作者单位：University of London; London School Economics & Political Science
摘要：This paper studies the impact of the European Central Bank's (ECB) Corporate Sector Purchase Programme (CSPP) announcement on prices, liquidity, and debt issuance in the European corporate bond market using a data set on bond transactions from Euroclear. I find that the quantitative easing (QE) programme increased prices and liquidity of bonds eligible to be purchased substantially. Bond yields dropped on average by 30 basis points (bps) (8%) after the CSPP announcement. Tri-party repo turnove...
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作者：Gantchev, Nickolay; Sevilir, Merih; Shivdasani, Anil
作者单位：University of Warwick; Indiana University System; Indiana University Bloomington; IU Kelley School of Business; University of North Carolina; University of North Carolina Chapel Hill
摘要：Hedge fund activists target firms engaging in empire building and improve their future acquisition and divestiture strategy. Following intervention, activist targets make fewer acquisitions but obtain substantially higher returns by avoiding large and diversifying deals and refraining from acquisitions during merger waves. Activist targets also increase the pace of divestitures and achieve higher divestiture returns than matched non-targets. Activists curtail empire building through the remova...
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作者：Cho, Thummim
作者单位：University of London; London School Economics & Political Science
摘要：Using data on asset pricing anomalies, I test the idea that the act of arbitrage turns alphas into betas: Assets with high initial abnormal returns attract more arbitrage and covary endogenously more with systematic factors that arbitrage capital is exposed to. This channel explains the exposures of 40 anomaly portfolios to aggregate funding liquidity shocks and arbitrageur wealth portfolio shocks. My results highlight that financial intermediaries that act as asset market arbitrageurs not onl...
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作者：Boons, Martijn; Duarte, Fernando; de Roon, Frans; Szymanowska, Marta
作者单位：Universidade Nova de Lisboa; Federal Reserve System - USA; Federal Reserve Bank - New York; Tilburg University; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：We show that inflation risk is priced in stock returns and that inflation risk premia in the cross-section and the aggregate market vary over time, even changing sign as in the early 2000s. This time variation is due to both price and quantities of inflation risk changing over time. Using a consumption-based asset pricing model, we argue that inflation risk is priced because inflation predicts real consumption growth. The historical changes in this predictability and in stocks' inflation betas...
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作者：Ham, Charles G.; Kaplan, Zachary R.; Leary, Mark T.
作者单位：Washington University (WUSTL); National Bureau of Economic Research
摘要：Yes. We show that dividend changes contain information about highly persistent changes in future economic income. Three methodological differences lead us to different conclusions from the extant literature: (i) we use an event window approach to cleanly delineate earnings after dividend changes from those before, (ii) we use alternative earnings measures to control for endogenous investment and asset write-downs surrounding dividend changes, and (iii) we control for the nonlinear relation bet...
