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作者：Donaldson, Jason Roderick; Piacentino, Giorgia; Thakor, Anjan
作者单位：Washington University (WUSTL); Centre for Economic Policy Research - UK; Columbia University; European Corporate Governance Institute
摘要：We develop a theory of banking that explains why banks started out as commodities warehouses. We show that warehouses become banks because their superior storage technology allows them to enforce the repayment of loans most effectively. Further, interbank markets emerge endogenously to support this enforcement mechanism. Even though warehouses store deposits of real goods, they make loans by writing new fake warehouse receipts, rather than by taking deposits out of storage. Our theory helps to...
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作者：Harris, Robert S.; Jenkinson, Tim; Kaplan, Steven N.; Stucke, Ruediger
作者单位：University of Virginia; University of Oxford; University of Chicago
摘要：This paper focuses on funds of funds (FOFs) as a form of financial intermediation in private equity (both buyout and venture capital). After accounting for fees, FOFs provide returns equal to or above public market indices for both buyout and venture capital. While FOFs focusing on buyouts outperform public markets, they underperform direct fund investment strategies in buyout. In contrast, the average performance of FOFs in venture capital is on a par with results from direct venture fund inv...
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作者：Badarinza, Cristian; Ramadorai, Tarun
作者单位：National University of Singapore; Imperial College London; Center for Economic & Policy Research (CEPR)
摘要：Identifying the effects of flights to safety on asset prices using pure time-series methods is difficult because crises are infrequent. We develop a new cross-sectional identification approach, motivated by the insight that investors may differ in their preferred habitats within a broad asset class. We apply the method to the question of whether foreign capital is responsible for residential real estate price movements in global cities such as London and New York, especially during crises. Usi...
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作者：Lin, Chen; Schmid, Thomas; Xuan, Yuhai
作者单位：University of Hong Kong; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We analyze how direct employee voice affects financial leverage. German law mandates that firms' supervisory boards consist of an equal number of employees' and owners' representatives. This requirement, however, applies only to firms with more than two thousand domestic employees. We exploit this discontinuity and the law's introduction in 1976 for identification and find that direct employee power increases financial leverage. This is explained by a supply side effect: as banks' interests ar...
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作者：Deng, Yongheng; Liu, Xin; Wei, Shang-Jin
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Wisconsin System; University of Wisconsin Madison; Australian National University; Columbia University; Columbia University; National Bureau of Economic Research
摘要：We aim to make two contributions to the literature on the effects of transaction costs on financial price volatility. First, by augmenting a double differencing approach with a research design with three ingredients (a common set of companies simultaneously listed on two stock exchanges, binding capital controls, and different timing of changes in transaction costs), we obtain a control group that has identical corporate fundamentals as the treatment group. We apply the research design to Chin...
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作者：Gao, Lei; Han, Yufeng; Li, Sophia Zhengzi; Zhou, Guofu
作者单位：Iowa State University; University of North Carolina; University of North Carolina Charlotte; Rutgers University System; Rutgers University New Brunswick; Washington University (WUSTL); Shanghai Jiao Tong University
摘要：Based on high frequency S & P 500 exchange-traded fund (ETF) data from 1993-2013, we show an intraday momentum pattern: the first half-hour return on the market as measured from the previous day's market close predicts the last half-hour return. This predictability, which is both statistically and economically significant, is stronger on more volatile days, on higher volume days, on recession days, and on major macroeconomic news release days. Intraday momentum also exists for ten other most a...
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作者：Huizinga, Harry; Voget, Johannes; Wagner, Wolf
作者单位：Tilburg University; Centre for Economic Policy Research - UK; University of Mannheim; University of Oxford; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：In a cross-border takeover, the tax base associated with future capital gains is transferred from target shareholders to acquirer shareholders. Cross-country differences in capital gains tax rates enable us to estimate the discount in target valuation on account of future capital gains. We estimate that a 1 percentage point increase in the capital gains tax rate reduces the value of equity by around 0.3%, which suggests that the capital gains tax significantly raises firms' cost of capital. Fu...
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作者：Backus, David; Boyarchenko, Nina; Chernov, Mikhail
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of California System; University of California Los Angeles; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：We explore the term structures of claims to a variety of cash flows, namely, US government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). The average term structures reflect the dynamics of the dollar pricing kernel, cash flow growth, and the interaction between the two. We use an affine model to illustrate how these two components can deliver term...
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作者：Rossi, Alberto G.; Blake, David; Timmermann, Allan; Tonks, Ian; Wermers, Russ
作者单位：University System of Maryland; University of Maryland College Park; City St Georges, University of London; University of California System; University of California San Diego; University of Bath
摘要：We show a positive relation between network centrality and risk-adjusted performance in a delegated investment management setting. More connected managers take more portfolio risk and receive higher investor flows, consistent with these managers improving their ability to exploit investment opportunities through their network connections. Greater network connections are shown to be particularly important in reducing the diseconomies of scale for large managers who are well connected. We also u...
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作者：Gilbert, Thomas; Hrdlicka, Christopher; Kamara, Avraham
作者单位：University of Washington; University of Washington Seattle
摘要：We model how firms releasing information on different dates causes the CAPM to fail, requiring an additional factor based on the information structure to price assets. We exemplify this mechanism's empirical relevance using quarterly earnings announcements, which cluster across months along size and book-to-market. Seventy percent of the alpha reduction from including SMB and HML occurs in the four main earnings announcement months. The information structure factor accounts for all of SMB and ...
