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作者：Doblas-Madrid, Antonio; Minetti, Raoul
摘要：We investigate the impact of lenders' information sharing on firms' performance in the credit market using rich contract-level data from a U.S. credit bureau. The staggered entry of lenders into the bureau offers a natural experiment to identify the effect of lenders' improved access to information. Consistent with the predictions of Padilla and Pagano (1997, 2000) and Pagano and Jappelli (1993), we find that information sharing reduces contract delinquencies and defaults, especially when firm...
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作者：Frehen, Rik G. P.; Goetzrnann, William N.; Rouwenhorst, K. Geert
作者单位：Tilburg University; Yale University; National Bureau of Economic Research
摘要：The Mississippi Bubble, South Sea Bubble and the Dutch Windhandel of 1720 together represent the world's first global financial bubble. We hand-collect cross-sectional price data and investor account data from 1720 to test theories about market bubbles. Our tests suggest that innovation was a key driver of bubble expectations. We present evidence against the currently prevailing debt-for-equity conversion hypothesis and relate stock returns to innovations in Atlantic trade and insurance. We fi...
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作者：Aharoni, Gil; Grundy, Bruce; Zeng, Qi
作者单位：University of Melbourne
摘要：Fama and French (2006) use the dividend-discount model to develop the role of expected profitability, expected investment, and the book-to-market ratio as predictors of stock returns. One reported empirical result is anomalous. The valuation model establishes that the comparative static relation between expected returns and expected investment is negative, yet it appears to be positive and insignificant. We show that the posited valuation relations apply at the firm level, and not at the per s...
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作者：Nanda, Ramana; Rhodes-Kropf, Matthew
作者单位：Harvard University; National Bureau of Economic Research
摘要：We find that venture capital-backed startups receiving their initial investment in hot markets are more likely to go bankrupt, but conditional on going public, are valued higher on the day of their initial public offering, have more patents, and have more citations to their patents. Our results suggest that VCs invest in riskier and more innovative startups in hot markets (rather than just worse firms). This is particularly true for the most experienced VCs. Furthermore, our results suggest th...
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作者：Cornaggia, Jess
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：This article constructs triple-difference tests around shifts in the supply of risk management instruments available to agricultural producers to reveal a positive relation between risk management and productivity. This relation is more robust when producers adopt instruments with payoffs linked to group performance and weaker when payoffs are linked to individual performance. Additionally, productivity is particularly high among risk-managing producers in counties containing high levels of ba...
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作者：Ai, Hengjie; Kiku, Dana
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of Pennsylvania
摘要：We propose a general equilibrium model to study the link between the cross section of expected returns and book-to-market characteristics. We model two primitive assets: value assets and growth assets that are options on assets in place. The cost of option exercise, which is endogenously determined in equilibrium, is highly procyclical and acts as a hedge against risks in assets in place. Consequently, growth options are less risky than value assets, and the model features a value premium. Our...
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作者：Arnold, Marc; Wagner, Alexander F.; Westermann, Ramona
作者单位：University of St Gallen; University of Geneva
摘要：This paper develops a structural equilibrium model with intertemporal macroeconomic risk, incorporating the fact that firms are heterogeneous in their asset composition. Compared with firms that are mainly composed of invested assets, firms with growth options have higher costs of debt because they are more volatile and have a greater tendency to default during recession when marginal utility is high and recovery rates are low. Our model matches empirical facts regarding credit spreads, defaul...
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作者：Dass, Nishant; Nanda, Vikram; Wang, Qinghai
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：The literature suggests that while decentralized decision making can allow for greater specialization in an organization, it heightens the cost of coordinating decisions. The mutual fund industry in particular, sole- and team-managed balanced funds-provides an ideal setting to test the specialization versus coordination trade-off, as information on decision structures and fund actions is easily obtained. We show that sole-managed balanced funds, with centralized decision rights, exhibit signif...
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作者：Acharya, Viral V.; Amihud, Yakov; Bharath, Sreedhar T.
作者单位：New York University; Arizona State University; Arizona State University-Tempe; National Bureau of Economic Research; Centre for Economic Policy Research - UK; European Corporate Governance Institute
摘要：We study the exposure of the US corporate bond returns to liquidity shocks of stocks and Treasury bonds over the period 1973-2007 in a regime-switching model. In one regime, liquidity shocks have mostly insignificant effects on bond prices, whereas in another regime, a rise in illiquidity produces significant but conflicting effects: Prices of investment-grade bonds rise while prices of speculative-grade (junk) bonds fall substantially (relative to the market). Relating the probability of thes...
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作者：Bakshi, Gurdip; Panayotov, George
作者单位：University System of Maryland; University of Maryland College Park; Hong Kong University of Science & Technology
摘要：This paper studies the time series predictability of currency carry trades, constructed by selecting currencies to be bought or sold against the US dollar, based on forward discounts. Changes in a commodity index, currency volatility and, to a lesser extent, a measure of liquidity predict in-sample the payoffs of dynamically re-balanced carry trades, as evidenced by individual and joint p-values in monthly predictive regressions at horizons up to six months. Predictability is further supported...
