-
作者：Choi, Jaewon; Richardson, Matthew
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; New York University; National Bureau of Economic Research
摘要：We investigate the volatility of firms' assets in contrast to existing studies that focus on equity volatility. We estimate asset volatility using a comprehensive data set on the market values of corporate security returns. We find significant differences between the properties of equity and asset volatilities with implications for several important areas of finance. First, financial leverage has a large influence on equity volatility. Second, leverage and asset volatility have permanent and t...
-
作者：Jensen, Mads Vestergaard; Pedersen, Lasse Heje
作者单位：Copenhagen Business School; New York University; Centre for Economic Policy Research - UK
摘要：A classic result by Merton (1973) is that, except just before expiration or dividend payments, one should never exercise a call option and never convert a convertible bond. We show theoretically that this result is overturned when investors face frictions. Early option exercise can be optimal when it reduces short-sale costs, transaction costs, or funding costs. We provide consistent empirical evidence, documenting billions of dollars of early exercise for options and convertible bonds using u...
-
作者：Cornaggia, Jess; Cornaggia, Kimberly J.; Xia, Han
作者单位：Georgetown University; American University; University of Texas System; University of Texas Dallas
摘要：Credit analysts often leave rating agencies to work at firms they rate. We use benchmark rating agencies as counterfactuals to measure rating inflation in a difference-in-differences framework and find that transitioning analysts award inflated ratings to their future employers before switching jobs. We find no evidence that analysts inflate ratings of other firms they rate. Market based measures of hiring firms' credit quality further indicate that transitioning analysts' inflated ratings bec...
-
作者：Ivashina, Victoria; Iverson, Benjamin; Smith, David C.
作者单位：Harvard University; National Bureau of Economic Research; Northwestern University; University of Virginia
摘要：Using a novel data set that covers individual debt claims against 136 bankrupt US companies and includes information on a subset of claims transfers, we provide new empirical insight regarding how a firm's debt ownership relates to bankruptcy outcomes. Firms with higher debt concentration at the start of the case are more likely to file prearranged bankruptcy plans, to move quickly through the restructuring process, and to emerge successfully as independent going concerns. Moreover, higher own...
-
作者：Demyanyk, Yuliya; Loutskina, Elena
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Cleveland; University of Virginia
摘要：Mortgage companies (MCs) do not fall under the strict regulatory regime of depository institutions. We empirically show that this gap resulted in regulatory arbitrage and allowed bank holding companies (BHCs) to circumvent consumer compliance regulations, mitigate capital requirements, and reduce exposure to loan-related losses. Compared to bank subsidiaries, MC subsidiaries of BHCs originated riskier mortgages to borrowers with lower credit scores, lower incomes, higher loan-to-income ratios,...
-
作者：Anand, Amber; Venkataraman, Kumar
作者单位：Syracuse University; Southern Methodist University
摘要：Using audit-trail data from the Toronto Stock Exchange, we find that market makers scale back in unison when market conditions are unfavorable, which contributes to covariation in liquidity supply, both within and across stocks. Market conditions lower aggregate participation via their impact on trading profits and risk. Contrary to regulatory view, higher stock volatility is associated with more participation and higher profits, even after controlling for other market conditions, including st...
-
作者：Bajo, Emanuele; Chemmanur, Thomas J.; Simonyan, Karen; Tehranian, Hassan
作者单位：University of Bologna; Boston College; Suffolk University
摘要：Using various centrality measures from social network analysis, we analyze how the location of a lead initial public offering (IPO) underwriter in its network of investment banks affects various IPO characteristics. We hypothesize that investment banking networks allow lead IPO underwriters to induce institutions to pay attention to the firms they take public and to perform two information-related roles during the IPO process: an information dissemination role, in which the lead underwriter us...
-
作者：Chen, Zhanhui
作者单位：Nanyang Technological University
摘要：Time-to-build, time-to-produce, and inventory have important implications for asset prices and quantity dynamics in a general equilibrium model with recursive preferences. Time to -build captures the delay in transforming new investments into productive capital, and time-to-produce captures the delay in transforming productive capital into output. Both delays increase risks in that time-to-build generates procyclical payouts, whereas the time to -produce amplifies this procyclicality. Inventor...
-
作者：Altinkilic, Oya; Hansen, Robert S.; Ye, Liyu
作者单位：George Washington University; Tulane University; Freddie Mac
摘要：This paper examines post-revision return drift, or PRD, following analysts' revisions of their stock recommendations. PRD refers to the finding that the analysts' recommendation changes predict future long-term returns in the same direction as the change (i.e., upgrades are followed by positive returns, and downgrades are followed by negative returns). During the high-frequency algorithmic trading period of 2003-2010, average PRD is no longer significantly different from zero. The new findings...
-
作者：Holderness, Clifford G.; Pontiff, Jeffrey
作者单位：Boston College
摘要：Shareholder participation in valuable domestic rights offerings averages only 64%, which is considerably lower than previously asserted. This causes wealth transfers from nonparticipating to participating shareholders that average 7% of the offering. Wealth transfers are larger in nontransferable and bigger offerings. The stock market reacts more negatively to larger wealth transfers. Offerings with lower shareholder participation also fall short in raising publicly stated capital goals. Right...
