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作者：Bao, Jack; O'Hara, Maureen; Zhou, Xing (Alex)
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Cornell University; University of Technology Sydney; University of Delaware
摘要：Focusing on downgrades as stress events that drive the selling of corporate bonds, we show that the illiquidity of stressed bonds has increased after the Volcker Rule. Dealers regulated by the rule have curtailed their market-making activities and non-Volcker-affected dealers have not offset the decreased activities of Volcker-affected dealers. Furthermore, even Volcker-affected dealers that are not constrained by Basel Ill and Comprehensive Capital Analysis and Review regulations change their...
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作者：Azizpour, S.; Giesecke, K.; Schwenkler, G.
作者单位：Stanford University; Boston University
摘要：We study the sources of corporate default clustering in the United States. We reject the hypothesis that firms' default times are correlated only because their conditional default rates depend on observable and latent systematic factors. By contrast, we find strong evidence that contagion, through which the default by one firm has a direct impact on the health of other firms, is a significant clustering source. The amount of clustering that cannot be explained by contagion and firms' exposure ...
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作者：Hauser, Roie
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; Ono Academic College
摘要：This paper studies whether director appointments to multiple boards impact firm outcomes. To overcome endogeneity of board appointments, I exploit variation generated by mergers that terminate entire boards and thus shock the appointments of those terminated directors. Reductions of board appointments are associated with higher profitability, market-to-book, and likelihood of directors joining board committees. The performance gains are particularly stark when directors are geographically far ...
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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：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：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...
