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作者：Murfin, Justin; Petersen, Mitchell
作者单位：Yale University; Northwestern University; National Bureau of Economic Research
摘要：The market for corporate credit is characterized by significant seasonal variation, both in interest rates and the volume of new lending. Firms borrowing from banks during seasonal sales in late spring and fall issue at 19 basis points cheaper than winter and summer borrowers. Issuers during cheap seasons appear to have less immediate needs, but are enticed by low rates to engage in precautionary borrowing. High-interest-rate periods capture borrowers with unanticipated, non-deferrable investm...
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作者：Barras, Laurent; Malkhozov, Aytek
作者单位：McGill University; Bank for International Settlements (BIS)
摘要：We formally compare two versions of the market variance risk premium (VRP) measured in the equity and option markets. Both VRPs follow common patterns and respond similarly to changes in volatility and economic conditions. However, we reject the null hypothesis that they are identical and find that their difference is strongly related to measures of the financial standing of intermediaries. These results shed new light on the information content of the VRP, suggest the presence of market frict...
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作者：Jagannathan, Ravi; Matsa, David A.; Meier, Iwan; Tarhan, Vefa
作者单位：Northwestern University; National Bureau of Economic Research; Indian School of Business (ISB); Universite de Montreal; HEC Montreal; Loyola University Chicago
摘要：We present evidence consistent with operational constraints leading firms to use high discount rates that average twice the firms' cost of financial capital. Based on a survey of Chief Financial Officers matched to archival data, we find that firms with abundant access to capital but limited qualified management or manpower appear to forgo profitable projects in preparation for more profitable future investment opportunities. Consistent with this explanation, firms that use high discount rates...
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作者：Rodano, Giacomo; Serrano-Velarde, Nicolas; Tarantino, Emanuele
作者单位：European Central Bank; Bank of Italy; Bocconi University; Bocconi University; University of Mannheim
摘要：Exploiting the timing of the 2005-2006 Italian bankruptcy law reforms, we disentangle the effects of reorganization and liquidation in bankruptcy on bank financing and firm investment. A 2005 reform introduces reorganization procedures facilitating loan renegotiation. The 2006 reform subsequently strengthens creditor rights in liquidation. The first reform increases interest rates and reduces investment. The second reform reduces interest rates and spurs investment. Our results highlight the i...
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作者：Glover, Brent
作者单位：Carnegie Mellon University
摘要：The sample of observed defaults significantly understates the average firm's true expected cost of default due to a sample selection bias. I use a dynamic capital structure model to estimate firm-specific expected default costs and quantify the selection bias. The average firm expects to lose 45% of firm value in default, a cost higher than existing estimates. However, the average cost among defaulted firms in the estimated model is only 25%, a value consistent with existing empirical estimate...
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作者：Herskovic, Bernard; Kelly, Bryan; Lustig, Hanno; Van Nieuwerburgh, Stijn
作者单位：University of California System; University of California Los Angeles; University of Chicago; Stanford University; New York University
摘要：We show that firms' idiosyncratic volatility obeys a strong factor structure and that shocks to the common idiosyncratic volatility (CIV) factor are priced. Stocks in the lowest CIV-beta quintile earn average returns 5.4% per year higher than those in the highest quintile. The CIV factor helps to explain a number of asset pricing anomalies. We provide new evidence linking the CIV factor to income risk faced by households. Our findings are consistent with an incomplete markets heterogeneous age...
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作者：Almeida, Heitor; Fos, Vyacheslav; Kronlund, Mathias
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Boston College
摘要：We employ a regression discontinuity design to identify the real effects of share repurchases on other firm outcomes. The probability of share repurchases that increase earnings per share (EPS) is sharply higher for firms that would have just missed the EPS forecast in the absence of the repurchase, when compared with firms that just beat the EPS forecast. We use this discontinuity to show that EPS-motivated repurchases are associated with reductions in employment and investment, and a decreas...
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作者：Bandi, F. M.; Reno, R.
作者单位：Johns Hopkins University; Universite Catholique de Lille; EDHEC Business School; University of Siena
摘要：The nature of the dependence between discontinuities in prices and contemporaneous discontinuities in volatility (co-jumps) has been reported by many as being elusive, in terms of sign, magnitude, and statistical significance. Using a novel identification strategy in continuous time relying on trade-level information for spot variance estimation, as well as infinitesimal cross-moments, we document that a sizeable proportion of discontinuous changes in prices are associated with strongly anti-c...
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作者：Xu, Jin; Yang, Jun
作者单位：Virginia Polytechnic Institute & State University; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：We examine signing bonuses awarded to executives hired for or promoted to named executive officer (NEO) positions at Standard & Poor's 1500 companies during the period 1992-2011. Executive signing bonuses are sizable and increasing in use, and they are labeled by the media as golden hellos. We find that executive signing bonuses are mainly awarded at firms with greater information asymmetry and higher innate risks, especially to younger executives, to mitigate the executives' concerns about te...
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作者：Abbassi, Puriya; Iyer, Rajkamal; Peydro, Jose-Luis; Tous, Francesc R.
作者单位：Deutsche Bundesbank; Massachusetts Institute of Technology (MIT); Centre de Recerca en Economia Internacional (CREI); Pompeu Fabra University; Barcelona School of Economics; ICREA; Bank of England
摘要：We analyze securities trading by banks during the crisis and the associated spillovers to the supply of credit. We use a proprietary data set that has the investments of banks at the security level for 2005-2012 in conjunction with the credit register from Germany. We find that-during the crisis-banks with higher trading expertise (trading banks) increase their investments in securities, especially in those that had a larger price drop, with the strongest impact in low-rated and long-term secu...
