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作者：Rajan, Uday; Seru, Amit; Vig, Vikrant
作者单位：University of Michigan System; University of Michigan; University of Chicago; University of London; London Business School
摘要：Statistical default models, widely used to assess default risk, fail to account for a change in the relations between different variables resulting from an underlying change in agent behavior. We demonstrate this phenomenon using data on securitized subprime mortgages issued in the period 1997-2006. As the level of securitization increases, lenders have an incentive to originate loans that rate high based on characteristics that are reported to investors, even if other unreported variables imp...
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作者：Alldredge, Dallin M.; Cicero, David C.
作者单位：University of Tennessee System; University of Tennessee Knoxville; University of Alabama System; University of Alabama Tuscaloosa
摘要：We provide evidence that some profitable insider stock selling is motivated by public information. At firms that disclose having concentrated sales relationships, insiders appear to sell their own stock profitably based on public information about their principal customers. Supplier insiders also sell more stock when public information about their customers' recent returns and earnings surprises suggests they will earn larger profits. These results are stronger when outside investor attention ...
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作者：Erel, Isil; Myers, Stewart C.; Read, James A., Jr.
作者单位：University System of Ohio; Ohio State University; Massachusetts Institute of Technology (MIT); The Brattle Group
摘要：We present a theory of risk capital and of how tax and other costs of risk capital should be allocated in a financial firm. Risk capital is equity investment that backs obligations to creditors and other liability holders and maintains the firm's credit quality. Credit quality is measured by the ratio of the value of the firm's option to default to the default-free value of its liabilities. Marginal default values provide a full and unique allocation of risk capital. Efficient capital allocati...
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作者：Banerjee, Snehal; Green, Brett
作者单位：Northwestern University; University of California System; University of California Berkeley
摘要：We develop a model where some investors are uncertain whether others are trading on informative signals or noise. Uncertainty about others leads to a nonlinear price that reacts asymmetrically to news. We incorporate this uncertainty into a dynamic setting where traders gradually learn about others and show that it generates empirically relevant return dynamics: expected returns are stochastic but predictable, and volatility exhibits clustering and the leverage effect. The model nests both the...
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作者：Johnson, William C.; Karpoff, Jonathan M.; Yi, Sangho
作者单位：Suffolk University; University of Washington; University of Washington Seattle; Sogang University
摘要：We propose and test an efficiency explanation for why Firms deploy takeover defenses using initial public offering (IPO) firm data. We hypothesize that takeover defenses bond the firm's commitments by reducing the likelihood that an outside takeover will change the firm's operating strategy and impose costs on its business partners. Consistent with this hypothesis, we find that IPO firms deploy more takeover defenses when they have important business relationships to protect. An IPO firm's use...
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作者：Dambra, Michael; Field, Laura Casares; Gustafson, Matthew T.
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：In April 2012, the Jumpstart Our Business Startups Act (JOBS Act) was enacted to help revitalize the initial public offering (IPO) market, especially for small firms. During the year ending March 2014, IPO volume and the proportion of small firm issuers was the largest since 2000. Controlling for market conditions, we estimate that the JOBS Act has led to 21 additional IPOs annually, a 25% increase over pre-JOBS levels. Firms with high proprietary disclosure costs, such as biotechnology and ph...
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作者：Fang, Lily; Ivashina, Victoria; Lerner, Josh
作者单位：INSEAD Business School; Harvard University; National Bureau of Economic Research
摘要：We examine 20 years of direct private equity investments by seven large institutions. These direct investments perform better than public market indices, especially buyout investments and those made in the 1990s. Outperformance by the direct investments, however, relative to the corresponding private equity fund benchmarks is limited and concentrated among buyout transactions. Co-investments underperform the corresponding funds with which they co-invest, due to an apparent adverse selection of...
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作者：Adrian, Tobias; Crump, Richard K.; Moench, Emanuel
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We propose regression-based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross-sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The estimators explicitly allow for time-varying prices of risk, time-varying betas, and serially dependent pricing factors. Our approach nests the Fama-MacBeth two-pass estimator as a special case. We provide asym...
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作者：Hvide, Hans K.; Oestberg, Per
作者单位：University of Bergen; Centre for Economic Policy Research - UK; University of Aberdeen; University of Zurich; Swiss Finance Institute (SFI)
摘要：Stock market investment decisions of individuals are positively correlated with those of coworkers. Sorting of unobservably similar individuals to the same workplaces is unlikely to explain this pattern, as evidenced by the investment behavior of individuals who move between plants. Purchases made under stronger coworker purchase activity are not associated with higher returns. Moreover, social interaction appears to drive the purchase of within-industry stocks. Overall, we find a strong influ...
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作者：Segal, Gill; Shaliastovich, Ivan; Yaron, Amir
作者单位：University of Pennsylvania
摘要：Does macroeconomic uncertainty increase or decrease aggregate growth and asset prices? To address this question, we decompose aggregate uncertainty into 'good' and 'bad' volatility components, associated with positive and negative innovations to macroeconomic growth. We document that in line with our theoretical framework, these two uncertainties have opposite impact on aggregate growth and asset prices. Good uncertainty predicts an increase in future economic activity, such as consumption, ou...
