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作者：Baranchuk, Nina; Rebello, Michael J.
作者单位：University of Texas System; University of Texas Dallas
摘要：We model debt restructurings that could endogenously end in bankruptcy, and study spillovers to competitors' operating decisions, profits, restructuring outcomes and security prices. We show that while bankruptcy could cause the firm's share price to drop, bankruptcy always signals good news about the firm. We identify the conditions under which a bankruptcy also signals good news about competitors. We demonstrate that when a firm's bankruptcy costs are relatively small, bankruptcy raises its ...
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作者：Barberis, Nicholas; Greenwood, Robin; Jin, Lawrence; Shleifer, Andrei
作者单位：Yale University; Harvard University; California Institute of Technology; Harvard University
摘要：We present an extrapolative model of bubbles. In the model, many investors form their demand for a risky asset by weighing two signals-an average of the asset's past price changes and the asset's degree of overvaluation-and waver over time in the relative weight they put on them. The model predicts that good news about fundamentals can trigger large price bubbles, that bubbles will be accompanied by high trading volume, and that volume increases with past asset returns. We present empirical ev...
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作者：Song, Zhaogang; Zhu, Haoxiang
作者单位：Johns Hopkins University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：The Federal Reserve uses (reverse) auctions to implement its purchases of Treasury bonds in quantitative easing (QE). To evaluate dealers' offers across multiple bonds, the Fed relies on its internal yield curve model, fitted to secondary market bond prices. From November 2010 to September 2011, a one standard deviation increase in the cheapness of a Treasury bond (how much the market price of the bond is below a model-implied value) increases the Fed's purchase quantity of that bond by 276 mi...
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作者：Brav, Alon; Jiang, Wei; Ma, Song; Tian, Xuan
作者单位：Duke University; National Bureau of Economic Research; Columbia University; Yale University; Tsinghua University
摘要：This paper studies how hedge fund activism impacts corporate innovation. Firms targeted by activists improve their innovation efficiency over the five-year period following hedge fund intervention. Despite a tightening in research and development (R&D) expenditures, target firms increase innovation output, as measured by both patent counts and citations, with stronger effects among firms with more diversified innovation portfolios. Reallocation of innovative resources, redeployment of human ca...
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作者：Cookson, J. Anthony
作者单位：University of Colorado System; University of Colorado Boulder
摘要：Prize-linked savings (PLS) accounts, which allocate interest using lottery payments rather than fixed interest, encourage savings by appealing to households' gambling preferences. I introduce new data on casino cash withdrawals to measure gambling, and examine how individual gambling expenditures respond to the introduction of PLS in Nebraska using a difference-in-differences design. After PLS is introduced, individuals who live in counties that offer PLS reduce gambling by at least 3% more th...
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作者：Kolasinski, Adam C.; Yang, Nan
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; Hong Kong Polytechnic University
摘要：Prominent policy makers assert that managerial short-termism was at the root of the sub-prime crisis of 2007-2009. Prior scholarly research, however, largely rejects this assertion. Using a more comprehensive measure of Chief Executive Officer (CEO) incentives for short-termism, we uncover evidence that short-termism indeed played a role. Firms whose CEOs were contractually allowed to sell or exercise more of their stock and options holdings sooner had more subprime exposure, a higher probabil...
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作者：Agarwal, Vikas; Green, T. Clifton; Ren, Honglin
作者单位：University System of Georgia; Georgia State University; Emory University
摘要：Capital Asset Pricing Model (CAPM) alpha explains hedge fund flows better than alphas from more sophisticated models. This suggests that investors pool together sophisticated model alpha with returns from exposures to traditional (except for the market) and exotic risks. We decompose performance into traditional and exotic risk components and find that while investors chase both components, they place greater relative emphasis on returns associated with exotic risk exposures that can only be o...
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作者：Bonaime, Alice; Gulen, Huseyin; Ion, Mihai
作者单位：University of Arizona; Purdue University System; Purdue University
摘要：Political and regulatory uncertainty is strongly negatively associated with merger and acquisition activity at the macro and firm levels. The strongest effects are for uncertainty regarding taxes, government spending, monetary and fiscal policies, and regulation. Consistent with a real options channel, the effect is exacerbated for less reversible deals and for firms whose product demand or stock returns exhibit greater sensitivity to policy uncertainty, but attenuated for deals that cannot be...
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作者：Kruger, Samuel
作者单位：University of Texas System; University of Texas Austin
摘要：Did securitization exacerbate the foreclosure crisis by altering mortgage servicing practices? I exploit the unanticipated freeze of private mortgage securitization in 2007 to provide new evidence that securitization increases foreclosure probability and decreases modification probability. These effects are economically large and persist over time even after implementation of the Home Affordable Modification Program (HAMP) in 2009. Using hand-collected data on the contractual terms of servicin...
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作者：Del Guercio, Diane; Genc, Egemen; Tran, Hai
作者单位：University of Oregon; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Loyola Marymount University
摘要：We examine the performance of mutual funds whose managers simultaneously manage portfolios with performance-based incentive fees for three account types: mutual funds, hedge funds, and separate accounts. Importantly, our data set is free of selection bias because it is hand-collected from mandatory SEC filings. We find that only funds whose managers also manage hedge funds significantly underperform peer mutual funds. Moreover, underperformance begins only after fund managers begin to manage a...
