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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：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：Liu, Xiaoding
作者单位：University of Oregon
摘要：Despite significant interest in corporate culture, there is little empirical research on its role in influencing corporate misconduct. Using cultural background information on key company insiders, I construct a measure of corporate corruption culture, capturing a firm's general attitude toward opportunistic behavior. Firms with high corruption culture are more likely to engage in earnings management, accounting fraud, option backdating, and opportunistic insider trading. I further explore the...
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作者：Johnson, Timothy C.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：High-frequency reversals are an economically important characteristic of the returns to tradeable claims to the market portfolio. This paper demonstrates that short-horizon negative autocorrelation can arise in a tractable model of agents with tournament-type preferences. Intuitively, investors act as if they are averse to missing out on a trend, causing the risk premium to move strongly counter to realized returns. The model features fully rationalizing agents, complete markets, and no exogen...
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作者：Frank, Murray Z.; Shen, Tao
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Tsinghua University
摘要：In a standard q-theory model, corporate investment is negatively related to the cost of capital. Empirically, we find that the weighted average cost of capital matters for corporate investment. The form of the impact depends on how the cost of equity is measured. When the capital asset pricing model (CAPM) is used, firms with a high cost of equity invest more. When the implied cost of capital is used, firms with a high cost of equity invest less. The implied cost of capital can better reflect ...
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作者：Benhabib, Jess; Liu, Xuewen; Wang, Pengfei
作者单位：New York University; Hong Kong University of Science & Technology; Hong Kong University of Science & Technology
摘要：This paper studies how financial information frictions can generate sentiment-driven fluctuations in asset prices and self-fulfilling business cycles. In our model economy, exuberant financial market sentiments of high output and high demand for capital increase the price of capital, which signals strong fundamentals of the economy to the real side and consequently leads to an actual boom in real output and employment. The model further derives implications for asymmetric nonlinear asset price...
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作者：Fuchs, William; Green, Brett; Papanikolaou, Dimitris
作者单位：University of California System; University of California Berkeley; Northwestern University
摘要：We embed adverse selection into a dynamic, general equilibrium model with heterogeneous capital and study its implications for aggregate dynamics. The friction leads to delays in firms' divestment decisions and thus slow recoveries from shocks, even when these shocks do not affect the economy's potential output. The impediments to reallocation increase with the dispersion in productivity and decrease with the interest rate, the frequency of sectoral shocks, and households' consumption smoothin...
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作者：Eisenbach, Thomas M.; Schmalz, Martin C.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of Michigan System; University of Michigan
摘要：We model an anxious agent as one who is more risk averse with respect to imminent risks than with respect to distant risks. Based on a utility function that captures individual subjects' behavior in experiments, we provide a tractable theory relaxing the restriction of constant risk aversion across horizons and show that it generates rich implications. We first apply the model to insurance markets and explain the high premia for short-horizon insurance. Then, we show that costly delegated port...
