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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：Demirci, Irem; Huang, Jennifer; Sialm, Clemens
作者单位：Universidade Nova de Lisboa; University of Texas System; University of Texas Austin; National Bureau of Economic Research
摘要：We empirically investigate the impact of government debt on corporate financing decisions in an international setting. We show a negative relation between government debt and corporate leverage using data on 40 countries between 1990-2014. This negative relation is stronger for government debt that is financed domestically, for firms that are larger and more profitable, and in countries with more developed equity markets. To address potential endogeneity concerns, we use an instrumental variab...
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作者：He, Jie (Jack); Huang, Jiekun; Zhao, Shan
作者单位：University System of Georgia; University of Georgia; University of Illinois System; University of Illinois Urbana-Champaign; City University of Hong Kong
摘要：We analyze the role of institutional cross-ownership in internalizing corporate governance externalities using granular mutual fund proxy voting data. Exploiting within-proposal and within-institution variation, we show that an institution's holdings in peer firms are positively associated with the likelihood that the institution votes against management on shareholder-sponsored governance proposals. We further find that high aggregate cross-ownership positively predicts management losing a vo...
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作者：Gentry, Matthew; Stroup, Caleb
作者单位：University of London; London School Economics & Political Science; Davidson College
摘要：We estimate the degree of uncertainty faced by potential bidders in takeover auctions and quantify how it affects prices in auctions and negotiations. The high degree of uncertainty revealed by our structural estimation encourages entry in auctions but reduces a target's bargaining power in negotiations. In the aggregate, auctions and negotiations produce similar prices, even though auctions are preferred in takeover markets with high uncertainty, while the reverse is true for negotiations. Fi...
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作者：Santos, Joao A. C.; Suarez, Javier
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Universidade Nova de Lisboa
摘要：We consider a dynamic model in which receiving support from the lender of last resort (LLR) may help banks to weather investor runs. We show the need for regulatory liquidity standards when the underlying social trade-offs make the uninformed LLR inclined to support troubled banks during a run. Liquidity standards increase the time available before the LLR must decide on supporting the bank. This facilitates the arrival of information on the bank's financial condition and improves the efficien...
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作者：Colonnello, Stefano; Efing, Matthias; Zucchi, Francesca
作者单位：Otto von Guericke University; Leibniz Association; Leibniz Institut fur Wirtschaftsforschung Halle (IWH); Hautes Etudes Commerciales (HEC) Paris; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Credit default swaps (CDSs) can create empty creditors who potentially force borrowers into inefficient bankruptcy but also reduce shareholders' incentives to default strategically. We show theoretically and empirically that the presence and the effects of empty creditors on firm outcomes depend on the distribution of bargaining power among claimholders. If creditors would face powerful shareholders in debt renegotiation, firms are more likely to face the empty creditor problem. The empirical ...
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作者：Calomiris, Charles W.; Mamaysky, Harry
作者单位：Columbia University; National Bureau of Economic Research; Columbia University
摘要：We develop a classification methodology for the context and content of news articles to predict risk and return in stock markets in 51 developed and emerging economies. A parsimonious summary of news, including topic-specific sentiment, frequency, and unusualness (entropy) of word flow, predicts future country-level returns, volatilities, and drawdowns. Economic and statistical significance are high and larger for year ahead than monthly predictions. The effect of news measures on market outco...
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作者：Donangelo, Andres; Gourio, Francois; Kehrig, Matthias; Palacios, Miguel
作者单位：University of Texas System; University of Texas Austin; Federal Reserve System - USA; Federal Reserve Bank - Chicago; Duke University; University of Calgary
摘要：The relative size and inflexibility of labor expenses lead to a form of operating leverage, which we call labor leverage. We derive a set of conditions for the existence of labor leverage even when labor markets are frictionless. Our model provides theoretical support for the use of firm-level labor share as a measure of labor leverage. Using Compustat/CRSP and confidential Census data, we provide evidence for the existence and for the economic significance of labor leverage: high labor share ...
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作者：Chung, Kee H.; Wang, Junbo; Wu, Chunchi
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY; Sungkyunkwan University (SKKU); City University of Hong Kong
摘要：This paper examines the pricing of volatility risk and idiosyncratic volatility in the cross-section of corporate bond returns for the period of 1994-2016. Results show that bonds with high volatility betas have low expected returns, and this negative relation appears in all segments of corporate bonds. Further, bonds with high idiosyncratic bond (stock) volatility have high (low) expected returns, and this relation strengthens as ratings decrease. Conventional risk factors and bond/issuer cha...
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作者：Guay, Wayne R.; Kepler, John D.; Tsui, David
作者单位：University of Pennsylvania; University of Southern California
摘要：Given CEOs' substantial equity portfolios, much recent literature on CEO incentives regards cash-based bonus plans as largely irrelevant, begging the question of why nearly all CEO compensation plans include such bonuses. We develop a new measure of bonus plan incentives and show that performance sensitivities are much greater than prior estimates. We also test hypotheses regarding the role of bonuses in providing executives with individualized and team incentives. We find little evidence supp...
