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作者：Shi, Zhan
作者单位：Tsinghua University
摘要：This paper studies the effects of time-varying Knightian uncertainty (ambiguity) on asset pricing in a Lucas exchange economy. Specifically, it considers a general equilibrium model where an ambiguity-averse agent applies a discount rate that is adjusted not only for the current magnitude of ambiguity but also for the risk associated with its future fluctuations. As such, both the ambiguity level and volatility help to raise the asset premiums and accommodate richer dynamics of asset prices. B...
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作者：Hoi, Chun Keung (Stan); Wu, Qiang; Zhang, Hao
作者单位：Rochester Institute of Technology; University of Groningen; Rensselaer Polytechnic Institute
摘要：We find that social capital, as captured by secular norms and social networks surrounding corporate headquarters, is negatively associated with levels of CEO compensation. This relation holds in a range of robustness tests including those that address omitted variable bias and reverse causality. Additionally, social capital reduces the likelihood that firms make opportunistic option grant awards that unduly favor CEOs, including lucky awards, backdated awards, and unscheduled awards. Social ca...
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作者：Crane, Alan D.; Koch, Andrew; Michenaud, Sebastien
作者单位：Rice University; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; DePaul University
摘要：We examine the impact of investor coordination on governance. We identify coordinating groups of investors (cliques) as those connected through the network of institutional holdings. Clique members vote together on proxy items: a one standard deviation increase in clique ownership more than doubles votes against low quality management proposals. We use the 2003 mutual fund trading scandal to show that this effect is causal. These findings suggest coordination strengthens governance via voice. ...
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作者：Chod, Jiri; Lyandres, Evgeny; Yang, S. Alex
作者单位：Boston College; Boston University; University of London; London Business School
摘要：This paper examines how competition among suppliers affects their willingness to provide trade credit financing. Trade credit extended by a supplier to a cash constrained retailer allows the latter to increase cash purchases from its other suppliers, leading to a free rider problem. A supplier that represents a smaller share of the retailer's purchases internalizes a smaller part of the benefit from increased spending by the retailer and, as a result, extends less trade credit relative to its ...
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作者：Aragon, George O.; Li, Lei; Qian, Jun QJ
作者单位：Arizona State University; Arizona State University-Tempe; Federal Reserve System - USA; Federal Reserve System Board of Governors; Fudan University
摘要：Corporate bond mutual funds increased their selling of credit protection in the credit default swaps (CDS) market during the 2007-2008 financial crisis. This trading activity was primarily in multi-name CDS, greater among larger and established funds, and directed toward counterparty dealers in financial distress. Funds that sold credit protection during the crisis experienced greater credit market risk and superior post-crisis performance, consistent with higher expected returns from liquidit...
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作者：Martin, Ian W. R.; Ross, Stephen A.
作者单位：University of London; London School Economics & Political Science; Massachusetts Institute of Technology (MIT)
摘要：We study the properties of the yield curve under the assumptions that (i) the fixed income market is complete and (ii) the state vector that drives interest rates follows a finite discrete-time Markov chain. We focus in particular on the relationship between the behavior of the long end of the yield curve and the recovered time discount factor and marginal utilities of a pseudo-representative agent; and on the relationship between the trappedness of an economy and the convergence of yields at ...
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作者：Antill, Samuel; Grenadier, Steven R.
作者单位：Stanford University
摘要：We model a firm's optimal capital structure decision in a framework in which it may later choose to enter either Chapter 11 reorganization or Chapter 7 liquidation. Creditors anticipate equityholders' ex-post reorganization incentives and price them into the ex-ante credit spreads. Using a realistic dynamic bargaining model of reorganization, we show that the off-equilibrium threat of costly renegotiation can lead to lower leverage, even with liquidation in equilibrium. If reorganization is le...
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作者：Infante, Sebastian
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This paper presents a model of repo intermediation in which dealers intermediate secured financing between lenders and borrowers using the same collateral. Lenders are insulated from dealers through their repo's collateral, but borrowers are exposed to dealers through the loss of their collateral. This makes lenders' repo terms insensitive to dealers' default, while borrowers' repo terms are not. The model shows that when repos serve to intermediate collateral, haircuts are negative. This pape...
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作者：Di Maggio, Marco; Franzoni, Francesco; Kermani, Amir; Sommavilla, Carlo
作者单位：Harvard University; National Bureau of Economic Research; Universita della Svizzera Italiana; Swiss Finance Institute (SFI); University of California System; University of California Berkeley; National Bureau of Economic Research; University of Geneva
摘要：This paper shows that the network of relationships between brokers and institutional investors shapes information diffusion in the stock market. Central brokers gather information by executing informed trades, which is then leaked to their best clients. After large informed trades, other institutional investors are significantly more likely to execute similar trades through the same broker, allowing them to capture returns that are twice as large as their normal trading performance. Also indic...
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作者：Harvey, Campbell R.; Liu, Yan
作者单位：Duke University; National Bureau of Economic Research; Texas A&M University System; Texas A&M University College Station
摘要：Our paper explores the link between cross-sectional fund return dispersion and performance evaluation. The foundation of our model is the simple intuition that in periods of high return dispersion, which is associated with high levels of idiosyncratic risk for zero alpha funds, unskilled managers can more easily disguise themselves as skilled. Rational investors should be more skeptical and apply larger discounts to reported performance in high dispersion environments. Our empirical results ar...
