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作者：Brunetti, Celso; Harris, Jeffrey H.; Mankad, Shawn; Michailidis, George
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; American University; Cornell University; State University System of Florida; University of Florida
摘要：We study the behavior of the interbank market around the 2008 financial crisis. Using network analysis, we study two network structures, correlation networks based on publicly traded bank returns and physical networks based on interbank lending transactions, among these public and also private banks. While the two networks behave similarly pre-crisis, during the crisis the correlation network shows an increase in interconnectedness, while the physical network highlights a marked decrease in in...
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作者：Aggarwal, Reena; Dahiya, Sandeep; Prabhala, Nagpurnanand R.
作者单位：Georgetown University; Johns Hopkins University; University System of Maryland; University of Maryland Baltimore
摘要：This paper asks whether dissent votes in uncontested director elections have consequences for directors. We show that contrary to popular belief based on prior studies, shareholder votes have power and result in negative consequences for directors. Directors facing dissent are more likely to depart boards, especially if they are not lead directors or chairs of important committees. Directors facing dissent who do not leave are moved to less prominent positions on boards. Finally, we find evide...
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作者：Nikolov, Boris; Schmid, Lukas; Steri, Roberto
作者单位：University of Lausanne; Swiss Finance Institute (SFI); Duke University; Centre for Economic Policy Research - UK; University of Lausanne; Swiss Finance Institute (SFI)
摘要：In contrast to cash holdings, credit lines give firms financial flexibility by providing liquidity contingent on realized funding needs, but they are often limited by collateral and covenants. We embed this trade-off into an estimated dynamic model of financing and investment. Our model highlights the relevance of drawing down credit lines to fund investment options in an effective way and quantitatively matches well the levels and dynamics of cash, credit lines, and leverage. In the cross-sec...
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作者：Rehse, Dominik; Riordan, Ryan; Rottke, Nico; Zietz, Joachim
作者单位：Leibniz Association; Zentrum fur Europaische Wirtschaftsforschung (ZEW); Queens University - Canada; European Business School (EBS) University
摘要：We test the effects of uncertainty on market liquidity using Hurricane Sandy as a natural experiment. Given the unprecedented strength, scale, and nature of the storm, the potential damages of a landfall near the Greater New York area were unpredictable and therefore uncertain. Using a difference-in-differences setting, we compare the market reactions of Real Estate Investment Trusts (REITs) with and without properties in the widely published evacuation zone of New York City prior to landfall....
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作者：Corum, Adrian Aycan; Levit, Doron
作者单位：Cornell University; University of Pennsylvania
摘要：This paper studies the role of activist investors in the market for corporate control. Our theory proposes that activist investors have an inherent advantage relative to bidders in pressuring entrenched incumbents to sell. As counterparties to the acquisition, bidders have a fundamental conflict of interests with target shareholders from which activist investors are immune. Therefore, unlike activists, the ability of bidders to win proxy fights is very limited. This result is consistent with t...
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作者：Scanlon, Paul
作者单位：Trinity College Dublin
摘要：I extend the consumption capital asset pricing model to incorporate expanding product variety over time and states of nature. In the model, consumers have a love of variety, and consumption consists of different components: product groups and brands. By raising future marginal utility, growth in product groups increases the incentive to save and reduces the risk-free rate. By making marginal utility more volatile, variation in brand and quality growth magnifies consumption risk and raises the ...
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作者：Ben-David, Itzhak; Birru, Justin; Rossi, Andrea
作者单位：University System of Ohio; Ohio State University; National Bureau of Economic Research; University of Arizona
摘要：We study whether industry familiarity is an advantage in stock trading by exploring the trading patterns of industry insiders in their own personal portfolios. To do so, we identify accounts of industry insiders in a large data set provided by a retail discount broker. We find that insiders trade firms from their own industry more frequently. Furthermore, they earn abnormal returns exclusively when trading own-industry stocks, especially obscure stocks (small, low analyst coverage, high volati...
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作者：Lee, Suzanne S.; Wang, Minho
作者单位：University System of Georgia; Georgia Institute of Technology; State University System of Florida; Florida International University
摘要：This paper investigates how jump risks are priced in currency markets. We find that currencies whose changes are more sensitive to negative market jumps provide significantly higher expected returns. The positive risk premium constitutes compensation for the extreme losses during periods of market turmoil. Using the empirical findings, we propose a jump modified carry trade strategy, which has approximately two-percentage-point (per annum) higher returns than the regular carry trade strategy. ...
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作者：Li, Gang; Zhang, Chu
作者单位：Hong Kong Polytechnic University; Hong Kong University of Science & Technology
摘要：We derive a model with qualitative implications for options pricing under counterparty credit risk and provide empirical evidence using the data from the Hong Kong derivatives market during 2005-2014. We find that the log-price difference between a derivative warrant with counterparty credit risk and an otherwise identical option without counterparty credit risk is significantly and negatively associated with the credit default swap spread on the warrant issuer. We also find that the prices of...
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作者：Jondeau, Eric; Zhang, Qunzi; Zhu, Xiaoneng
作者单位：University of Lausanne; University of Geneva; Shandong University; Shanghai University of Finance & Economics; Shanghai Institute of International Finance & Economics
摘要：Average skewness, which is the average of monthly skewness values across firms, performs well at predicting future market returns. This prediction still holds after controlling for the size or liquidity of the firms or for current business cycle conditions. Also, average skewness compares favorably with other economic and financial predictors of subsequent market returns. The asset allocation exercise based on predictive regressions also shows that average skewness generates superior performan...
