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作者：Fried, Jesse M.; Kamar, Ehud; Yafeh, Yishay
作者单位：Harvard University; Tel Aviv University; Hebrew University of Jerusalem; European Corporate Governance Institute
摘要：A central challenge in the regulation of controlled firms is curbing rent extraction by controllers. As independent directors and fiduciary duties are often insufficient, some jurisdictions give minority shareholders veto rights over related-party transactions. To assess these rights' effectiveness, we exploit a 2011 Israeli reform that gave minority shareholders veto rights over related-party transactions, including the pay of controllers and their relatives (controller executives). We find t...
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作者：Goldberg, Jonathan
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This paper develops a novel measure of liquidity supply by broker-dealers using data on their trading positions in Treasury bonds and the deviations of Treasury yields from a fitted yield curve. The measure is informative about liquidity in other asset classes, including corporate bonds and equities. A decline in liquidity supply predicts reduced debt issuance and investment by nonfinancial firms and reduced aggregate economic activity. The sensitivity of liquidity, issuance, and investment to...
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作者：Avdjiev, Stefan; Bogdanova, Bilyana; Bolton, Patrick; Jiang, Wei; Kartasheva, Anastasia
作者单位：Bank for International Settlements (BIS); Columbia University; Imperial College London; University of St Gallen; University of Pennsylvania
摘要：The promise of contingent convertible capital securities (CoCos) as a bail-in solution has been the subject of considerable theoretical analysis and debate, but little is known about their effects in practice. We undertake the first comprehensive empirical analysis of bank CoCo issues, a market segment that comprises over 730 instruments totaling $521 billion. Four main findings emerge: (1) the propensity to issue a CoCo is higher for larger and better capitalized banks; (2) CoCo issues result...
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作者：Golubov, Andrey; Lasfer, Meziane; Vitkova, Valeriya
作者单位：University of Toronto; City St Georges, University of London
摘要：We use merger-induced changes to shareholder structure to test for active catering to dividend clienteles. Following mergers, acquirers adjust their dividend payout toward that of the target, but only when they inherit target shareholders through stock swaps. This adjustment is stronger when legacy shareholders are more influential and reveal a greater preference for dividends through portfolio holdings and trading behavior. Country-level differences in dividend taxes, governance quality, and ...
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作者：Jackwerth, Jens Carsten; Menner, Marco
作者单位：University of Konstanz; Universitat Ramon Llull; Escuela Superior de Administracion y Direccion de Empresas (ESADE)
摘要：Starting with the fundamental relation that state prices are the product of physical probabilities and the stochastic discount factor, Ross (2015) shows that, given strong assumptions, knowing state prices suffices to back out physical probabilities and the stochastic discount factor at the same time. We find that such recovered physical distributions based on the S&P 500 index are incompatible with future returns and fail to predict future returns and realized variances. These negative result...
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作者：Azarmsa, Ehsan; Cong, Lin William
作者单位：University of Chicago; University of Chicago; Cornell University
摘要：After initial investments, relationship financiers routinely observe interim information about projects before continuing financing them. Meanwhile, entrepreneurs produce information endogenously and issue securities to incumbent insider and competitive outsider investors. In such persuasion games with differentially informed receivers and contingent transfers, entrepreneurs' endogenous experimentation reduces insiders' information monopoly but impedes relationship formation through an informa...
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作者：Opie, Wei; Riddiough, Steven J.
作者单位：Deakin University; University of Melbourne
摘要：We develop a novel method to dynamically hedge foreign exchange exposure in international equity and bond portfolios. The method exploits the time-series predictability of currency returns, which we show emerges from exploiting a forecastable component in global factor returns. The hedging strategy outperforms leading alternative approaches to currency hedging across a large set of performance metrics. Moreover, we find that exploiting currency return predictability via an independent currency...
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作者：Ai, Hengjie; Li, Kai; Yang, Fang
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Louisiana State University System; Louisiana State University
摘要：To understand the link between financial intermediation activities and the real economy, we build a general equilibrium model in which agency frictions in the financial sector affect the efficiency of capital reallocation across firms and generate aggregate economic fluctuations. We develop a recursive policy iteration approach to fully characterize the nonlinear equilibrium dynamics and the off-steady-state crisis behavior. In our model, adverse shocks to agency frictions exacerbate capital m...
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作者：Hennessy, Christopher A.; Kasahara, Akitada; Strebulaev, Ilya A.
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; European Corporate Governance Institute; University of Osaka; Stanford University; National Bureau of Economic Research
摘要：Absent theoretical guidance, empiricists have been forced to rely upon numerical comparative statics from constant tax rate models in formulating testable implications of tradeoff theory in the context of natural experiments. We fill the theoretical void by solving in closed-form a dynamic tradeoff theoretic model in which corporate taxes follow a Markov process with exogenous rate changes. We simulate ideal difference-in-differences estimations, finding that constant tax rate models offer poo...
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作者：Brown, Jennifer; Matsa, David A.
作者单位：University of British Columbia; Utah System of Higher Education; University of Utah; Northwestern University; National Bureau of Economic Research
摘要：This paper examines how housing market distress affects job search. Using data from a leading online job search platform during the Great Recession, we find that job seekers in areas with depressed housing markets apply for fewer jobs that require relocation. With their search constrained geographically, job seekers broaden their search for lower-level positions nearby. These effects are stronger for job seekers with recourse mortgages, which we confirm using a spatial regression discontinuity...
