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作者：Giesecke, Kay; Longstaff, Francis A.; Schaefer, Stephen; Strebulaev, Ilya A.
作者单位：Stanford University; University of California System; University of California Los Angeles; National Bureau of Economic Research; University of London; London Business School; Stanford University
摘要：Using an extensive data set on corporate bond defaults in the US from 1866 to 2010, we study the macroeconomic effects of bond market crises and contrast them with those resulting from banking crises. During the past 150 years, the US has experienced many severe corporate default crises in which 20-50% of all corporate bonds defaulted. Although the total par amount of corporate bonds has at times rivaled the amount of bank loans outstanding, we find that corporate default crises have far fewer...
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作者：So, Eric C.; Wang, Sean
作者单位：Massachusetts Institute of Technology (MIT); University of North Carolina; University of North Carolina Chapel Hill
摘要：This study documents a six-fold increase in short-term return reversals during earnings announcements relative to non-announcement periods. Following prior research, we use reversals as a proxy for expected returns market makers demand for providing liquidity. Our findings highlight significant time-series variation in the magnitude of short-term return reversals and suggest that market makers demand higher expected returns prior to earnings announcements because of increased inventory risks t...
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作者：Aiyar, Shekhar; Calomiris, Charles W.; Hooley, John; Korniyenko, Yevgeniya; Wieladek, Tomasz
作者单位：Columbia University; Bank of England
摘要：We use data on UK banks' minimum capital requirements to study the impact of changes to bank-specific capital requirements on cross-border bank loan supply from 1999Q1 to 2006Q4. By examining a sample in which each recipient country has multiple relationships with UK-resident banks, we are able to control for demand effects. We find a negative and statistically significant effect of changes to banks' capital requirements on cross-border lending: a 100 basis point increase in the requirement is...
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作者：Falato, Antonio; Kadyrzhanova, Dalida; Lel, Ugur
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University System of Maryland; University of Maryland College Park; Virginia Polytechnic Institute & State University
摘要：We use the deaths of directors and chief executive officers as a natural experiment to generate exogenous variation in the time and resources available to independent directors at interlocked firms. The loss of such key co-employees is an attention shock because it increases the board committee workload only for some interlocked directors the 'treatment group'. There is a negative stock market reaction to attention shocks only for treated director-interlocked firms. Interlocking directors' bus...
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作者：Liu, Wai-Man; Ngo, Phong T. H.
作者单位：Australian National University
摘要：We exploit exogenous variation in the scheduling of gubernatorial elections to study the timing of bank failure in the US. Using hazard analysis, we show that bank failure is about 45% less likely in the year leading up to an election. Political control (i.e., lack of competition) can explain all of this average election year fall in the hazard rate. In particular, we show that the reduction in hazard rate doubles in magnitude for banks operating in states where the governor has simultaneous c...
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作者：Lustig, Hanno; Roussanov, Nikolai; Verdelhan, Adrien
作者单位：University of California System; University of California Los Angeles; University of Pennsylvania; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We describe a novel currency investment strategy, the 'dollar carry trade,' which delivers large excess returns, uncorrelated with the returns on well-known carry trade strategies. Using a no-arbitrage model of exchange rates we show that these excess returns compensate U.S. investors for taking on aggregate risk by shorting the dollar in bad times, when the U.S. price of risk is high. The countercyclical variation in risk premia leads to strong return predictability: the average forward disco...
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作者：Das, Sanjiv; Kalimipalli, Madhu; Nayak, Subhankar
作者单位：Santa Clara University; Wilfrid Laurier University
摘要：Financial innovation through the creation of new markets and securities impacts related markets as well, changing their efficiency, quality (pricing error), and liquidity. The credit default swap (CDS) market was undoubtedly one of the salient new markets of the past decade. In this paper we examine whether the advent of CDS trading was beneficial to the underlying secondary market for corporate bonds. We employ econometric specifications that account for information across CDS, bond, equity, ...
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作者：Danis, Andras; Rettl, Daniel A.; Whited, Toni M.
作者单位：University System of Georgia; Georgia Institute of Technology; Humboldt University of Berlin; University of Rochester; National Bureau of Economic Research
摘要：We revisit the well-established puzzle that leverage is negatively correlated with measures of profitability. In contrast, we find that at times when firms are at or close to their optimal level of leverage, the cross-sectional correlation between profitability and leverage is positive. At other times, it is negative. These results are consistent with dynamic trade-off models in which infrequent capital structure rebalancing is optimal. The time series of market leverage and profitability in t...
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作者：Ornthanalai, Chayawat
作者单位：University of Toronto
摘要：Using index options and returns from 1996 to 2009, I estimate discrete-time models where asset returns follow a Brownian increment and a Levy jump. Time variations in these models are generated with an affine GARCH, which facilitates the empirical implementation. I find that the risk premium implied by infinite-activity jumps contributes to more than half of the total equity premium and dominates that of the Brownian increments suggesting that it is more representative of the risks present in ...
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作者：Hombert, Johan; Thesmar, David
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：Limits to arbitrage arise because financial intermediaries may face funding constraints when mispricing worsens. Using a model with limits to arbitrage, where we allow arbitrageurs to secure capital even in case of underperformance, we show that arbitrageurs that are more protected from withdrawals have more mean-reverting and volatile returns. Using data on hedge fund performance, we find robust support for these hypotheses: Funds with contractual impediments to withdrawals, and funds with pe...
