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作者：Oh, Frederick Dongchuhl
作者单位：Korea Advanced Institute of Science & Technology (KAIST)
摘要：This paper presents a model in which the contagion of a liquidity crisis between two nonfinancial institutions occurs because of learning activity within a common creditor pool. After creditors observe what occurs in a rollover game for a firm, they conjecture one another's type or attitude toward the risk associated with the firm's investment project. Creditors' inference about one another's type then influences their decision to lend to the next firm. By providing an analysis of the incidenc...
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作者：Karpoff, Jonathan M.; Lee, Gemma; Masulis, Ronald W.
作者单位：University of Washington; University of Washington Seattle; Kyung Hee University; University of New South Wales Sydney
摘要：We document the frequent use of lockup agreements in seasoned equity offerings (SEOs) and examine the determinants of their use, duration, and early release. We find that the likelihood of an SEO lockup and its duration are positively related to issuer information asymmetry measures. Lockup duration is negatively related to underwriter spreads and underpricing, indicating that lockups lower expected flotation costs. Lockups are frequently released early following share prices rises. We conclud...
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作者：Jermann, Urban J.
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：This paper considers the term structure of interest rates implied by a production-based asset pricing model in which the fundamental drivers are investment in equipment and structures as well as inflation. The model matches the average yield curve up to five-year maturity almost perfectly. Longer term yields are roughly as volatile as in the data. The model also generates time-varying bond risk premiums. In particular, when running Fama-Bliss regressions of excess returns on forward premiums, ...
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作者：Hau, Harald; Lai, Sandy
作者单位：University of Geneva; University of Geneva; University of Hong Kong
摘要：This paper provides evidence for a causal effect of equity prices on corporate investment and employment. We use fire sales by distressed equity funds during the 2007-2009 financial crisis to identify substantial exogenous underpricing. Firms whose stocks are most underpriced have considerably lower investment and employment than industry peers not subject to any fire sale discount. The causal effect of underpricing on investment is found to be largely concentrated on the most financially cons...
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作者：Nadauld, Taylor D.; Sherlund, Shane M.
作者单位：Brigham Young University
摘要：This paper investigates the relationship between securitization activity and the extension of subprime credit. The analysis is motivated by two sets of compelling empirical facts. First, the origination of subprime mortgages exploded between the years 2003 and 2005. Second, the securitization of subprime loans increased substantially over the same time period, driven primarily by the five largest independent broker/dealer investment banks. We argue that the relative shift in the securitization...
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作者：Jegadeesh, Narasimhan; Wu, Di
作者单位：Emory University; National Bureau of Economic Research; University of Pennsylvania
摘要：We present a new approach for content analysis to quantify document tone. We find a significant relation between our measure of the tone of 10-Ks and market reaction for both negative and positive words. We also find that the appropriate choice of term weighting in content analysis is at least as important as, and perhaps more important than, a complete and accurate compilation of the word list. Furthermore, we show that our approach circumvents the need to subjectively partition words into po...
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作者：Berger, Allen N.; Bouwman, Christa H. S.
作者单位：University of South Carolina System; University of South Carolina Columbia; University of Pennsylvania; Tilburg University; University System of Ohio; Case Western Reserve University
摘要：This paper empirically examines how capital affects a bank's performance (survival and market share) and how this effect varies across banking crises, market crises, and normal times that occurred in the US over the past quarter century. We have two main results. First, capital helps small banks to increase their probability of survival and market share at all times (during banking crises, market crises, and normal times). Second, capital enhances the performance of medium and large banks prim...
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作者：Garcia-Appendini, Emilia; Montoriol-Garriga, Judit
作者单位：University of St Gallen; Autonomous University of Barcelona
摘要：Using a supplier-client matched sample, we study the effect of the 2007-2008 financial crisis on between-firm liquidity provision. Consistent with a causal effect of a negative shock to bank credit, we find that firms with high precrisis liquidity levels increased the trade credit extended to other corporations and subsequently experienced better performance as compared with ex ante cash-poor firms. Trade credit taken by constrained firms increased during this period. These findings are consis...
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作者：Li, Xiaoyang
摘要：This paper investigates how takeovers create value. Using plant-level data, I show that acquirers increase targets' productivity through more efficient use of capital and labor. Acquirers reduce capital expenditures, wages, and employment in target plants, though output is unchanged. Acquirers improve targets' investment efficiency through reallocating capital to industries with better investment opportunities. Moreover, changes in productivity help explain the merging firms' announcement retu...
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作者：Anand, Amber; Irvine, Paul; Puckett, Andy; Venkataraman, Kumar
作者单位：Syracuse University; University System of Georgia; University of Georgia; University of Tennessee System; University of Tennessee Knoxville; Southern Methodist University
摘要：We examine the impact of institutional trading on stock resiliency during the financial crisis of 2007-2009. We show that buy-side institutions have different exposure to liquidity factors based on their trading style. Liquidity supplying institutions absorb the long-term order imbalances in the market and are critical to recovery patterns after a liquidity shock. We show that these liquidity suppliers withdraw from risky securities during the crisis and their participation does not recover fo...
