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作者：Donaldson, Jason Roderick; Micheler, Eva
作者单位：Washington University (WUSTL); Centre for Economic Policy Research - UK; University of London; London School Economics & Political Science
摘要：Many debt claims, such as bonds, are resaleable; others, such as repos, are not. There was a fivefold increase in repo borrowing before the 2008-2009 financial crisis. Why? Did banks' dependence on non-resaleable debt precipitate the crisis? In this paper, we develop a model of bank lending with credit frictions. The key feature of the model is that debt claims are heterogenous in their resaleability. We find that decreasing credit market frictions leads to an increase in borrowing via non-res...
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作者：Moreno, David; Rodriguez, Rosa; Zambrana, Rafael
作者单位：Universidad Carlos III de Madrid; Universidade Nova de Lisboa
摘要：This is a study of how contractual mechanisms can mitigate agency conflicts in sub advised mutual funds. Sub-advising contracts allow fund families to expand their product offerings to include new investment styles and thereby gain market share. We show that costly contractual arrangements, such as co-branding, multi-advising, and performance based compensation, can mitigate agency conflicts in outsourcing and protect investors from potential underperformance. Fund families will find it cost-e...
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作者：Akbas, Ferhat; Markov, Stanimir; Subasi, Musa; Weisbrod, Eric
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Southern Methodist University; University System of Maryland; University of Maryland College Park; University of Miami
摘要：We present new evidence that highlights the role of information intermediaries in the distribution and processing of earnings estimates in capital markets. We find that the time taken to activate an analyst's earnings forecast in the Thomson Reuters institutional Brokers' Estimate System is related to measures of investor demand for timely information processing, processing difficulty, and limited attention. Furthermore, we find that forecast announcement returns are muted and post-announcemen...
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作者：Danis, Andras; Gamba, Andrea
作者单位：University System of Georgia; Georgia Institute of Technology; University of Warwick
摘要：We examine the effect of introducing credit default swaps (CDSs) on firm value. Our model allows for dynamic investment and financing, and bondholders can trade in the CDS market. The model incorporates both negative and positive effects of CDSs. CDS markets lead to more liquidations, but they also reduce the probability of costly debt renegotiation and reduce costly equity financing. After calibrating the model, we find that firm value increases by 2.9% on average with the introduction of a C...
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作者：Malamud, Semyon; Vilkov, Grigory
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); University of Geneva; Frankfurt School Finance & Management
摘要：An overlapping generations model with investors having heterogeneous investment horizons leads to a two-factor asset pricing model. The risk premiums are determined by the exposure to the market (myopic betas) and the future return on the efficient portfolio (non-myopic betas), which is identified nonparametrically from equilibrium. Non-myopic betas are priced in the cross-section of stocks, producing increasing and economically significant risk-return relation. In the model with funding const...
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作者：Fama, Eugene F.; French, Kenneth R.
作者单位：University of Chicago; Dartmouth College
摘要：Our goal is to develop insights about the maximum squared Sharpe ratio for model factors as a metric for ranking asset pricing models. We consider nested and non-nested models. The nested models are the capital asset pricing model, the three-factor model of Fama and French (1993), the five-factor extension in Fama and French (2015), and a six-factor model that adds a momentum factor. The non-nested models examine three issues about factor choice in the six-factor model: (1) cash profitability ...
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作者：George, Thomas J.; Hwang, Chuan-Yang; Li, Yuan
作者单位：University of Houston System; University of Houston; Nanyang Technological University; Aarhus University; Danish Finance Institute
摘要：The Hou et al. (2015) q-factor model outperforms other factor models in capturing the price-to-high (PTH, the ratio of current price to 52-week high price) anomaly; that is, high-PTH stocks earn high future returns. PTH's relations with future profitability and future investment growth are both significantly positive, and they mirror PTH's relation with future returns in the cross section and by time horizons. Incorporating the information about future investment growth contained in price leve...
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作者：Broer, Tobias
作者单位：Stockholm University; Centre for Economic Policy Research - UK
摘要：An additional reason for the structured finance boom of the 2000s may have been disagreement about default risk of collateral assets. When risk-neutral investors disagree about average default probabilities, structuring collateral cash flow raises prices by concentrating optimists' demand on risky tranches. With disagreement about default correlation, low-correlation investors believe in diversification and pay high prices for senior tranches they deem riskless. High-correlation investors valu...
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作者：Jaremski, Matthew
作者单位：Colgate University; National Bureau of Economic Research
摘要：Operating in individual cities, US clearinghouses were the closest thing to a central bank before 1914, but they only assisted banks that chose to join the association. Using an annual bank-level database for seven states between 1880 and 1910, this paper shows that after the entry of a clearinghouse member banks were less likely and nonmember banks in the same city were more likely to close. The results are driven by the fact that the presence of clearinghouses led all banks to become more ex...
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作者：Asness, Clifford; Frazzini, Andrea; Israel, Ronen; Moskowitz, Tobias J.; Pedersen, Lasse H.
作者单位：Yale University; National Bureau of Economic Research; Copenhagen Business School; New York University; Centre for Economic Policy Research - UK
摘要：The size premium has been accused of having a weak historical record, being meager relative to other factors, varying significantly over time, weakening after its discovery, being concentrated among microcap stocks, residing predominantly in January, relying on price based measures, and being weak internationally. We find, however, that these challenges disappear when controlling for the quality, or its inverse, junk, of a firm. A significant size premium emerges, which is stable through time,...
