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作者：Kung, Howard
作者单位：University of London; London Business School
摘要：This paper studies the equilibrium term structure of nominal and real interest rates and the time-varying bond risk premia implied by a stochastic endogenous growth model with imperfect price adjustment and monetary policy shocks. The production and price-setting decisions of firms drive low-frequency movements in growth and inflation rates that are negatively related. With recursive preferences, these growth and inflation dynamics are crucial for rationalizing key stylized facts in bond marke...
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作者：Sloan, Richard G.; You, Haifeng
作者单位：University of California System; University of California Berkeley; Hong Kong University of Science & Technology
摘要：Previous research indicates that firms issue shares when their stock is overpriced and repurchase shares when their stock is underpriced. Such transactions transfer wealth from transacting stockholders to ongoing stockholders. We quantify the magnitude of these wealth transfers and analyze their implications. Strikingly, we find that for the average firm-year, these wealth transfers approximate 40% of net income. We also find that these wealth transfers can be predicted using a variety of firm...
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作者：Dow, James; Han, Jungsuk
作者单位：University of London; London Business School; Stockholm School of Economics
摘要：When should we expect bubbles? Can levered intermediaries bid up risky asset prices through asset substitution? We study an economy with Financial intermediaries that issue debt and equity to buy risky assets. Asset substitution alone cannot cause bubbles because it is priced into the intermediaries' securities. But incomplete contracts and managerial agency problems can make intermediaries take excessive risk to exploit limited liability, bidding up risky asset prices. This destroys welfare t...
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作者：Duffie, Darrell; Scheicher, Martin; Vuillemey, Guillaume
作者单位：Stanford University; National Bureau of Economic Research; European Central Bank
摘要：We use an extensive data set of bilateral credit default swap (CDS) positions to estimate the impact on collateral demand of new clearing and margin regulations. The estimated collateral demands include initial margin and the frictional demands associated with the movement of variation margin through the network of market participants. We estimate the impact on total collateral demand of more widespread initial margin requirements, increased novation of CDS to central clearing parties (CCPs), ...
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作者：Heider, Florian; Ljungqvist, Alexander
作者单位：European Central Bank; New York University; National Bureau of Economic Research
摘要：Using staggered corporate income tax changes across U.S. states, we show that taxes have a first-order effect on capital structure. Firms increase leverage by around 40 basis points for every percentage-point tax increase. Consistent with dynamic tradeoff theory, the effect is asymmetric: leverage does not respond to tax cuts. This is true even within-firm: tax increases that are later reversed nonetheless lead to permanent leverage increases. The treatment effects are heterogeneous and confir...
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作者：Armantier, Olivier; Ghysels, Eric; Sarkar, Asani; Shrader, Jeffrey
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina; University of North Carolina Chapel Hill; University of California System; University of California San Diego
摘要：We provide empirical evidence for the existence, magnitude, and economic cost of stigma associated with banks borrowing from the Federal Reserve's Discount Window (DW) during the 2007-2008 financial crisis. We find that banks were willing to pay a premium of around 44 basis points (bps) across funding sources (126 bps after the bankruptcy of Lehman Brothers) to avoid borrowing from the DW. DW stigma is economically relevant as it increased some banks' borrowing cost by 32 bps of their pre-tax ...
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作者：Guiso, Luigi; Sapienza, Paola; Zingales, Luigi
作者单位：Northwestern University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of Chicago
摘要：We study which dimensions of corporate culture are related to a firm's performance and why. We find that proclaimed values appear irrelevant. Yet, when employees perceive top managers as trustworthy and ethical, a firm's performance is stronger. We then study how different governance structures impact the ability to sustain integrity as a corporate value. We find that publicly traded firms are less able to sustain it. Traditional measures of corporate governance do not seem to have much of an ...
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作者：Kwan, Amy; Masulis, Ronald; McInish, Thomas H.
作者单位：University of Sydney; University of New South Wales Sydney; University of Memphis
摘要：We investigate competition between traditional stock exchanges and new dark trading venues using an important difference in regulatory treatment. Securities and Exchange Commission required minimum pricing increments constrain some stock spreads, causing large limit order queues. Dark pools allow some traders to bypass existing limit order queues with minimal price improvement. Using a regression discontinuity design, we find that spread constraints significantly weaken exchanges' competitiven...
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作者：Tewari, Manish; Byrd, Anthony; Ramanlal, Pradipkumar
作者单位：State University of New York (SUNY) System; State University of New York (SUNY) Brockport; State University System of Florida; University of Central Florida
摘要：We identify the call premium in nonconvertible callable bonds as an effective contracting provision to address agency conflict due to reinvestment risk and credit rating improvements. We analyze 4,495 bonds issued between 1980 and 2012. When interest rates are high, a majority of investment-grade issues and almost the entire subset with long maturities (> 20 years) include a call premium. When interest rates are low, virtually all investment-grade issues with long and short maturities are call...
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作者：DeBacker, Jason; Heim, Bradley T.; Anh Tran
作者单位：United States Department of the Treasury; Indiana University System; Indiana University Bloomington
摘要：We study how cultural norms and enforcement policies influence illicit corporate activities. Using confidential Internal Revenue Service (IRS) audit data, we show that corporations with owners from countries with higher corruption norms evade more tax in the U.S. This effect is strong for small corporations and decreases as the size of the corporation increases. In the mid-2000s, the United States implemented several enforcement measures to increase tax compliance. We find that these enforceme...
