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作者：Seru, Amit
作者单位：University of Chicago
摘要：This paper examines the impact of the conglomerate form on the scale and novelty of corporate Research and Development (R&D) activity. I exploit a quasi-experiment involving failed mergers to generate exogenous variation in acquisition outcomes of target firms. A difference-in-differences estimation reveals that, relative to failed targets, firms acquired in diversifying mergers produce both a smaller number of innovations and also less-novel innovations, where innovations are measured using p...
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作者：Lim, Jongha; Minton, Bernadette A.; Weisbach, Michael S.
作者单位：University of Missouri System; University of Missouri Columbia; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：During the past decade, non-bank institutional investors are increasingly taking larger roles in the corporate lending than they historically have played. These non-bank institutional lenders typically have higher required rates of return than banks, but invest in the same loan facilities. In a sample of 20,031 leveraged loan facilities originated between 1997 and 2007, facilities including a non-bank institution in their syndicates have higher spreads than otherwise identical bank-only facili...
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作者：Hoffmann, Peter
作者单位：European Central Bank
摘要：This paper considers the role of high-frequency trading in a dynamic limit order market. Fast traders' ability to revise their quotes quickly after news arrivals helps to reduce the inefficiency that is rooted in the risk of being picked off, which increases trade. However, their presence induces slow traders to strategically submit limit orders with a lower execution probability, thereby reducing trade. Because speed is a source of market power, it enables fast traders to extract rents from o...
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作者：Schroth, Enrique; Suarez, Gustavo A.; Taylor, Lucian A.
作者单位：City St Georges, University of London; University of Pennsylvania
摘要：We use the 2007 asset-backed commercial paper (ABCP) crisis as a laboratory to study the determinants of debt runs. Our model features dilution risk: maturing short-term lenders demand higher yields in compensation for being diluted by future lenders, making runs more likely. The model explains the observed tenfold increase in yield spreads leading to runs and the positive relation between yield spreads and future runs. Results from structural estimation show that runs are very sensitive to le...
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作者：Roussanov, Nikolai
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：Value stocks covary with aggregate consumption more than growth stocks during periods when financial wealth is low relative to consumption. However, the conditional value premium does not exhibit such countercyclical behavior. Consequently, a one-factor conditional consumption-based asset pricing model can be rejected without making any arbitrary assumptions on the dynamics of the price of risk or the conditional moments. Empirical evidence is somewhat more consistent with a consumption-based ...
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作者：Chen, Ding; Haerkoenen, Hannu J.; Newton, David P.
作者单位：University of Nottingham
摘要：Exceptional accuracy and speed for option pricing are available via quadrature (Andricopoulos, Widdicks, Duck, and Newton, 2003), extending into multiple dimensions with complex path-dependency and early exercise (Andricopoulos, Widdicks, Newton, and Duck, 2007). However, the exposition is incomplete, leaving many modelling processes outside the Black-Scholes-Merton framework unattainable. We show how to remove the remaining major block to universal application. Although this had appeared high...
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作者：Nanda, Ramana; Nicholas, Tom
作者单位：Harvard University
摘要：We find a negative relationship between bank distress and the level, quality and trajectory of firm-level innovation during the Great Depression, particularly for R&D firms operating in capital intensive industries. However, we also show that because a sufficient number of R&D intensive firms were located in counties with lower levels of bank distress, or were operating in less capital intensive industries, the negative effects were mitigated in aggregate. Although Depression era bank distress...
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作者：Rydqvist, Kristian; Spizman, Joshua; Strebulaev, Ilya
作者单位：State University of New York (SUNY) System; Binghamton University, SUNY; Loyola Marymount University; Stanford University; National Bureau of Economic Research
摘要：Since World War II, direct stock ownership by households across the globe has largely been replaced by indirect stock ownership by financial institutions. We argue that tax and retirement policies are among the factors behind these changes. We develop empirical measures of two tax incentives of holding stocks inside tax-deferred plans, tax-free investment income and the smoothing benefit. Using long time-series from eight countries, we show that the fraction of household ownership decreases wi...
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作者：Buchuk, David; Larrain, Borja; Munoz, Francisco; Urzua, Francisco, I
作者单位：University of Houston System; University of Houston; Pontificia Universidad Catolica de Chile; Stanford University; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We study business groups' internal capital markets using a unique data set on intra-group lending in Chile (1990-2009). In line with groups financing advantage, firms that borrow internally have higher investment, leverage, and return on equity (ROE) than other firms. At the margin, controlling shareholders have higher cash-flow rights in borrowing firms than in lending firms. However, there is no robust evidence of minority shareholders losing out from intra-group loans as tunneling predicts....
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作者：Dimopoulos, Theodosios; Sacchetto, Stefano
作者单位：Swiss Finance Institute (SFI); University of Lausanne; Carnegie Mellon University
摘要：We evaluate empirically two sources of large takeover premiums: preemptive bidding and target resistance. We develop an auction model that features costly sequential entry of bidders in takeover contests and encompasses both explanations. We estimate the model parameters by simulated method of moments for a sample of US takeovers. Our estimates imply that target resistance explains the entire magnitude of the premium in 74% of successful single-bidder contests. Simulation experiments show that...
