-
作者：Kostovetsky, Leonard
作者单位：University of Rochester
摘要：This paper examines how political connections affect risk exposure of financial institutions. Using a geography-based measure. I find that politically connected firms have higher leverage and their stocks have higher volatility and beta. Furthermore, prior to the 2008 financial crisis, politically-connected financial firms had higher leverage and were more likely to increase their leverage during the housing bubble in response to local growth in median housing prices. During the crisis, higher...
-
作者：Loutskina, Elena; Strahan, Philip E.
作者单位：University of Virginia; Boston College; University of Pennsylvania; National Bureau of Economic Research
摘要：The Great Recession illustrates the sensitivity of the economy to housing. This paper shows that financial integration, fostered by securitization and nationwide branching, amplified the positive effect of housing price shocks on the economy during the 1994-2006 period. We exploit variation in credit supply subsidies across local markets from government-sponsored enterprises to measure housing price changes unrelated to fundamentals. Using this instrument, we find that house price shocks spur ...
-
作者：Aiken, Adam L.; Clifford, Christopher P.; Ellis, Jesse A.
作者单位：Quinnipiac University; University of Kentucky; North Carolina State University
摘要：We study hedge funds that imposed discretionary liquidity restrictions (DLRs) on investor shares during the financial crisis. DLRs prolong fund life, but impose liquidity costs on investors, creating a potential conflict of interest. Ostensibly, funds establish DLRs to limit performance-driven withdrawals that could force fire sales of illiquid assets. However, after they restrict investor liquidity, DLR funds do not reduce illiquid stock sales and underperform a control sample of non-DLR fund...
-
作者：Durham, Garland; Geweke, John; Ghosh, Pulak
作者单位：California State University System; California Polytechnic State University San Luis Obispo; University of Technology Sydney; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Colorado State University System; Colorado State University Fort Collins; Indian Institute of Management (IIM System); Indian Institute of Management Bangalore
摘要：Christoffersen, Jacobs, and Ornthanalai (2012) (CJO) propose an interesting and useful class of generalized autoregressive conditional heteroskedasticity (GARCH)-like models with dynamic jump intensity, and find evidence that the models not only fit returns data better than some commonly used benchmarks but also provide substantial improvements in option pricing performance. While such models pose difficulties for estimation and analysis, CJO propose an innovative approach to filtering intende...
-
作者：Borisova, Ginka; Fotak, Veljko; Holland, Kateryna; Megginson, William L.
作者单位：Iowa State University; State University of New York (SUNY) System; University at Buffalo, SUNY; Bocconi University; Purdue University System; Purdue University; University of Oklahoma System; University of Oklahoma - Norman
摘要：We investigate how government equity ownership in publicly traded firms affects the cost of corporate debt. Using a sample of bond credit spreads from 43 countries over 1991 2010, we find that government ownership is generally associated with a higher cost of debt, consistent with state-induced investment distortions, but is associated with a lower cost of debt during financial crises and for firms more likely to be distressed, when implicit government guarantees become the dominant effect. Ou...
-
作者：Pastor, Lubos; Stambaugh, Robert F.; Taylor, Lucian A.
作者单位：University of Chicago; University of Pennsylvania; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：We empirically analyze the nature of returns to scale in active mutual fund management. We find strong evidence of decreasing returns at the industry level. As the size of the active mutual fund industry increases, a fund's ability to outperform passive:benchmarks declines. At the fund level, all methods considered indicate decreasing returns, though estimates that avoid econometric biases are insignificant. We also find that the active management industry has become more skilled over time. Th...
-
作者：Benmelech, Efraim; Frydman, Carola
作者单位：Northwestern University; National Bureau of Economic Research; Boston University
摘要：There is mounting evidence of the influence of personal characteristics of chief executive officers (CEOs) on corporate outcomes. In this paper we analyze the relation between military service of CEOs and managerial decisions, financial policies, and corporate outcomes. Exploiting exogenous variation in the propensity to serve in the military, we show that military service is associated with conservative corporate policies and ethical behavior. Military CEOs pursue lower corporate investment, ...
-
作者：Dang, Tung Lam; Moshirian, Fariborz; Zhang, Bohui
作者单位：University of New South Wales Sydney; University of New South Wales Sydney; University of Danang
摘要：Motivated by the pioneering study of Morck. Yeung, and Yu (2000), this paper investigates whether and how news commonality varies according to a country's institutional environments. Using a unique global news data set across 41 countries for the 20002009 period, we document three notable findings. First, firm-level news comoves more in countries with weaker institutional environments than in those with stronger institutional environments. Second, news commonality is positively associated with...
-
作者：Arcot, Sridhar; Fluck, Zsuzsanna; Gaspar, Jose-Miguel; Hege, Ulrich
作者单位：ESSEC Business School; Michigan State University; Universite PSL; Universite Paris-Dauphine; Hautes Etudes Commerciales (HEC) Paris
摘要：The fastest growing segment of private equity (PE) deals is secondary buyouts (SBOs)-sales from one PE fund to another. Using a comprehensive sample of leveraged buyouts, we investigate whether SBOs are value-maximizing, or reflect opportunistic behavior. To proxy for adverse incentives, we develop buy and sell pressure indexes based on how close PE funds are to the end of their investment period or lifetime, their unused capital, reputation, deal activity, and fundraising frequency. We report...
-
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 ...
