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作者：Acharya, Viral V.; Imbierowicz, Bjorn; Steffen, Sascha; Teichmann, Daniel
作者单位：New York University; Deutsche Bundesbank; Frankfurt School Finance & Management; Goethe University Frankfurt
摘要：We investigate the transmission of central bank liquidity to bank deposits and loan spreads in Europe over the period from January 2006 to June 2010. We find evidence consistent with an impaired transmission channel due to bank risk. Central bank liquidity does not translate into lower loan spreads for high-risk banks for maturities beyond one year, even as it lowers deposit spreads for both highand low-risk banks. This adversely affects the balance sheets of high-risk bank borrowers, leading ...
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作者：Kozak, Serhiy; Santosh, Shrihari
作者单位：University System of Maryland; University of Maryland College Park; University of Colorado System; University of Colorado Boulder
摘要：The price of discount rate risk reveals whether increases in equity risk premia represent good or bad news to rational investors. Employing a new empirical methodology, we find that the price is negative, which suggests that discount rates are high during times of high marginal utility of wealth. Our approach relies on using future realized market returns to consistently estimate covariances of asset returns with the market risk premium. Covariances drive observed patterns in a broad cross sec...
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作者：Berlin, Mitchell; Nini, Greg; Yu, Edison G.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; Drexel University
摘要：We find that corporate loan contracts frequently concentrate control rights with a subset of lenders. Despite the rise in term loans without financial covenants-so-called covenant-lite loans-borrowing firms' revolving lines of credit almost always retain traditional financial covenants. This split structure gives revolving lenders the exclusive right and ability to monitor and to renegotiate the financial covenants, and we confirm that loans with split control rights are still subject to the d...
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作者：Frattaroli, Marc
作者单位：Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：I study a protectionist anti takeover law introduced in 2014 that covers a subset of all firms in the economy. The law decreased affected firms' likelihood of becoming the target of a merger or acquisition and had a negative impact on shareholder value. There is no evidence that management of those firms subsequently altered firm policies in its interest. Investment, employment, wages, profitability, and capital structure remain unchanged. The share of annual CEO compensation consisting of equ...
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作者：Zentefis, Alexander K.
作者单位：Yale University
摘要：I present a model in which bank net worth determines both loan market competition and monetary transmission to firm borrowing rates. In the model, banks are local monopolists for borrowers near them. When they are flush with equity, banks expand their lending, compete for customers at the edges of their markets, and pass through changes in the monetary policy rate to their loan rates. When they lose substantial equity, banks consolidate, retreat from rivalry, and frustrate monetary transmissio...
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作者：Badoer, Dominique C.; Costello, Charles P.; James, Christopher M.
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Cornerstone Research; State University System of Florida; University of Florida
摘要：In 2012, the US Department of Labor imposed new disclosure requirements for indirect fees that 401(k) retirement plan service providers earn through revenue sharing agreements with mutual funds. This paper examines the impact of these fee disclosure requirements on the level and structure of fees paid by retirement plans, as well as service providers' ability to price discriminate between plan sponsors of different sophistication. We document that the new disclosure requirements are associated...
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作者：Chakraborty, Indraneel; Goldstein, Itay; MacKinlay, Andrew
作者单位：University of Miami; University of Pennsylvania; Virginia Polytechnic Institute & State University
摘要：The US Federal Reserve purchased both agency mortgage-backed securities (MBS) and Treasury securities to conduct quantitative easing. Using micro-level data, we find that banks benefiting from MBS purchases increase mortgage origination, compared with other banks. At the same time, these banks reduce commercial lending and firms that borrow from these banks decrease investment. The effect of Treasury purchases is different: either positive or insignificant in most cases. Our results suggest th...
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作者：Choi, Yong Seok; Doshi, Hitesh; Jacobs, Kris; Turnbull, Stuart M.
作者单位：University of Houston System; University of Houston
摘要：We introduce a top-down no-arbitrage model for pricing structured products. Losses are described by Cox processes whose intensities depend on economic variables. The model provides economic insight into the impact of structured products on financial institutions' risk exposure and systemic risk. We estimate the model using CDO data and find that spreads decrease with higher interest rates and increase with volatility and leverage. Volatility is the primary determinant of variation in tranche s...
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作者：Painter, Marcus
作者单位：University of Kentucky; Saint Louis University
摘要：Counties more likely to be affected by climate change pay more in underwriting fees and initial yields to issue long-term municipal bonds compared to counties unlikely to be affected by climate change. This difference disappears when comparing short-term municipal bonds, implying the market prices climate change risks for long-term securities only. Higher issuance costs for climate risk counties are driven by bonds with lower credit ratings. Investor attention is a driving factor, as the diffe...
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作者：Braggion, Fabio; Manconi, Alberto; Zhu, Haikun
作者单位：Tilburg University; Bocconi University; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：Do credit contractions trigger social unrest? To answer this question, we turn to a natural experiment from 1930s China, where the 1933 U.S. Silver Purchase program acts as a shock to bank lending. We assemble a hand-collected data set of loan contracts between banks and firms, labor unrest episodes, and underground Communist Party penetration. The Sil-ver Purchase shock results in a severe credit contraction, and firms borrowing from banks with a larger exposure to it experience increased lab...
