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作者：Nicodano, Giovanna; Regis, Luca
作者单位：University of Turin; Collegio Carlo Alberto; University of Turin; University of Siena
摘要：This paper determines the optimal ownership share held by a unit into a second unit when both face a tax-bankruptcy trade-off. Full ownership is optimal when the first unit has positive debt, because dividends help avoid its default. Positive debt is, in turn, optimal when its corporate tax rate exceeds a threshold, and/or thin capitalization rules place an upper limit on the debt level in the second unit, and/or the Volcker Rule bans bailout transfers to the second unit. Full ownership is no ...
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作者：Huang, Darien; Kilic, Mete
作者单位：Cornell University; University of Southern California
摘要：The ratio of gold to platinum prices (GP) reveals persistent variation in risk and proxies for an important economic state variable. GP predicts future stock returns in the time series, explains stock return variation in the cross-section, and is significantly correlated with option-implied tail risk measures. Contrary to conventional wisdom, gold prices fall in recessions, albeit by less than platinum prices. A model featuring recursive preferences, time-varying tail risk, and preference shoc...
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作者：Bai, Jennie; Bali, Turan G.; Wen, Quan
作者单位：Georgetown University
摘要：We investigate the cross-sectional determinants of corporate bond returns and find that downside risk is the strongest predictor of future bond returns. We also introduce common risk factors based on the prevalent risk characteristics of corporate bonds downside risk, credit risk, and liquidity risk and find that these novel bond factors have economically and statistically significant risk premiums that cannot be explained by long-established stock and bond market factors. We show that the new...
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作者：Michaelides, Alexander; Milidonis, Andreas; Nishiotis, George P.
作者单位：Imperial College London; University of Cyprus
摘要：Using daily abnormal currency returns for the universe of countries with flexible exchange rates, we show local currency depreciations ahead of unscheduled, public sovereign debt downgrade announcements. Consistent with the private information hypothesis, the effect is stronger in lower institutional quality countries and holds after we control for concurrent public information and for publicly available rumors about the forthcoming downgrades. Our results persist when abnormal currency return...
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作者：Barras, Laurent
作者单位：McGill University
摘要：Recent studies show that the standard test portfolios do not contain sufficient information to discriminate between asset pricing models. To address this issue, we develop a large-scale approach that expands the cross-section to several thousand portfolios. Our novel approach is simple, widely applicable, and allows for formal evaluation/comparison tests. Its benefits are confirmed in empirical tests of CAPM- and characteristic-based models. While these models are all misspecified, we uncover ...
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作者：Calluzzo, Paul; Kedia, Simi
作者单位：Queens University - Canada; Rutgers University System; Rutgers University New Brunswick
摘要：We study fund-firm connections that arise when firm executives and directors serve as fund directors. We find that connected funds are significantly more likely to vote with management in proposals with negative Institutional Shareholder Services (ISS) recommendations or low shareholder support. As our data show that management support does not exist either before connection formation or after its termination, this result is unlikely to be caused by omitted factors. Rather, the connected fund'...
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作者：King, Thomas B.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：With risk-averse arbitrageurs and an effective lower bound (ELB) on nominal rates, nonlinear interactions among short-rate expectations, bond supply, and term premia emerge in equilibrium. These interactions, which are absent from affine models, help explain the observed behavior of the yield curve near the ELB, including evidence about unconventional monetary policy. The impact of both short-rate expectations and bond supply are attenuated at the ELB. However, in simulations of the post-crisi...
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作者：Sun, Qi; Xiaolan, Mindy Z.
作者单位：Shanghai University of Finance & Economics; Shanghai Institute of International Finance & Economics; University of Texas System; University of Texas Austin
摘要：Firms finance intangible investment through employee compensation contracts. In a dynamic model in which intangible capital is embodied in a firm's employees, we analyze the firm's optimal decisions on intangible capital investment, employee compensation contracts, and financial leverage. Employee financing is achieved by delaying wage payments in the form of future claims. We show that intangible capital investment is highly correlated with employee financing but not with debt issuance or reg...
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作者：Whited, Toni M.
作者单位：University of Michigan System; University of Michigan; National Bureau of Economic Research
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作者：Masulis, Ronald W.; Zhang, Emma Jincheng
作者单位：University of New South Wales Sydney; Monash University
摘要：We provide new evidence on the value of independent directors by exploiting exogenous events that seriously distract independent directors. Approximately 20% of independent directors are significantly distracted in a typical year. They attend fewer meetings, trade less frequently in the firm's stock, and resign from the board more frequently, indicating declining firm-specific knowledge and a reduced board commitment. Firms with more preoccupied independent directors have declining firm valuat...
