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作者：Denis, David J.; Wang, Jing
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; University of Nebraska System; University of Nebraska Lincoln
摘要：Using a large sample of private debt renegotiations from 1996 to 2011, we report that, even in the absence of any covenant violation, debt covenants are frequently renegotiated. These renegotiations primarily relax existing restrictions and result in economically large changes in existing limits. Renegotiations of specific covenants are a response to both the distance the covenant variable is from its contractual limit and the firm's specific operating conditions and prospects. Moreover, the b...
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作者：Filipova, Kameliya; Audrino, Francesco; De Giorgi, Enrico
作者单位：University of St Gallen
摘要：We develop a multivariate dynamic term structure model, which takes into account the nonlinear (time-varying) relation between interest rates and the state of the economy. In contrast to the classical term structure literature, in which nonlinearities are captured by increasing the number of latent state variables or by latent regime shifts, in our no-arbitrage framework the regimes are governed by thresholds and are directly linked to economic fundamentals. Specifically, starting from a simpl...
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作者：Cohen-Cole, Ethan; Kirilenko, Andrei; Patacchini, Eleonora
作者单位：Massachusetts Institute of Technology (MIT); Syracuse University; Sapienza University Rome
摘要：We study the profitability of traders in two fully electronic and highly liquid markets: the Dow and Standard & Poor's 500 e-mini futures markets. Using unique information that identify counterparties to a transaction, we show and seek to explain the fact that the network pattern of trades captures the relations between behavior in the market and returns. Our approach includes a simple representation of how much a shock is amplified by the network and how widely it is transmitted. This represe...
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作者：Duchin, Ran; Sosyura, Denis
作者单位：University of Washington; University of Washington Seattle; University of Michigan System; University of Michigan
摘要：Using novel data on bank applications to the Troubled Asset Relief Program (TARP), we study the effect of government assistance on bank risk taking. Bailed-out banks initiate riskier loans and shift assets toward riskier securities after receiving government support. However, this shift in risk occurs mostly within the same asset class and, therefore, remains undetected by regulatory capital ratios, which indicate improved capitalization at bailed-out banks. Consequently, these banks appear sa...
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作者：Di Giuli, Alberta; Kostovetsky, Leonard
作者单位：University of Rochester
摘要：Using the firm-level corporate social responsibility (CSR) ratings of Kinder, Lydenberg, Domini, we find that firms score higher on CSR when they have Democratic rather than Republican founders, CEOs, and directors, and when they are headquartered in Democratic rather than Republican-leaning states. Democratic-leaning firms spend $20 million more on CSR than Republican-leaning firms ($80 million more within the sample of S&P 500 firms), or roughly 10% of net income. We find no evidence that fi...
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作者：Bris, Arturo; Koskinen, Yrjoe; Nilsson, Mattias
作者单位：University of Pennsylvania; University of Colorado System; University of Colorado Boulder
摘要：We study the financing policies of European public corporations prior to the euro crisis. Using data from 11 euro countries and a control group of five other European countries over 1991-2006, we show that nonfinancial firms from euro countries with previously weak currencies considerably increased their debt financing after the introduction of the euro. The results are stronger for large firms, firms dependent on external financing, and for the latter part of the post-euro time period. Overal...
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作者：Fich, Eliezer M.; Starks, Laura T.; Yore, Adam S.
作者单位：Drexel University; University of Texas System; University of Texas Austin; Northern Illinois University
摘要：Using transactions generally overlooked in the compensation literature joint ventures, strategic alliances, seasoned equity offerings (SEOs), and spin-offs we find that, beyond compensation for increases in firm size or complexity, chief executive officers (CEOs) are rewarded for their deal-making activities. Boards pay CEOs for the core motivation of the deal, as well as for deal volume. We find that compensating for volume instead of core value creation occurs under weak board monitoring and...
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作者：Jurek, Jakub W.
作者单位：Princeton University
摘要：Currency carry trades exploiting violations of uncovered interest rate parity in G10 currencies deliver significant excess returns with annualized Sharpe ratios equal to or greater than those of equity market factors (1990-2012). Using data on out-of-the-money foreign exchange options, I compute returns to crash-hedged portfolios and demonstrate that the high returns to carry trades are not due to peso problems. A comparison of the returns to hedged and unhedged trades indicates crash risk pre...
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作者：Bonaparte, Yosef; Korniotis, George M.; Kumar, Alok
作者单位：University of Colorado System; University of Colorado Denver; University of Miami
摘要：We examine whether the decision to participate in the stock market and other related portfolio decisions are influenced by income hedging motives. Economic theory predicts that the market participation propensity should increase as the correlation between income growth and stock market returns decreases. Surprisingly, empirical studies find limited support for the income hedging motive. Using a rich, unique Dutch data set and the National Longitudinal Survey of the Youth (NLSY) from the United...
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作者：Baldenius, Tim; Melumad, Nahum; Meng, Xiaojing
作者单位：Columbia University
摘要：We study the optimal composition of corporate boards. Directors can be either monitoring or advisory types. Monitoring constrains the empire-building tendency of chief executive officers (CEOs). If shareholders control the board nomination process, a non-monotonic relation ensues between agency problems and board composition. To preempt CEO entrenchment, shareholders may assemble an adviser-heavy board. If a powerful CEO influences the nomination process, this may result in a more monitor-heav...
