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作者：Chang, Bo Young; Christoffersen, Peter; Jacobs, Kris
作者单位：University of Toronto; Copenhagen Business School; University of Houston System; University of Houston; Tilburg University
摘要：The cross section of stock returns has substantial exposure to risk captured by higher moments of market returns. We estimate these moments from daily Standard & Poor's 500 index option data. The resulting time series of factors are genuinely conditional and forward-looking. Stocks with high exposure to innovations in implied market skewness exhibit low returns on average. The results are robust to various permutations of the empirical setup. The market skewness risk premium is statistically a...
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作者：Malamud, Semyon; Rui, Huaxia; Whinston, Andrew
作者单位：Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; University of Texas System; University of Texas Austin
摘要：We study optimal securitization in the presence of an initial moral hazard. A financial intermediary creates and then sells to outside investors defaultable assets, whose default risk is determined by the unobservable costly effort exerted by the intermediary. We calculate the optimal contract for any given effort level and show the natural emergence of extreme punishment for defaults, under which investors stop paying the intermediary after the first default. With securitization contracts opt...
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作者：Maheu, John M.; McCurdy, Thomas H.; Zhao, Xiaofei
作者单位：McMaster University; University of Toronto; Universite de Montreal; University of Texas System; University of Texas Dallas
摘要：This paper investigates whether risks associated with time-varying arrival of jumps and their effect on the dynamics of higher moments of returns are priced in the conditional mean of daily market excess returns. We find that jumps and jump dynamics are significantly related to the market equity premium. The results from our time-series approach reinforce the importance of the skewness premium found in cross-sectional studies using lower-frequency data; and offer a potential resolution to some...
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作者：Adrian, Tobias; Crump, Richard K.; Moench, Emanuel
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We show how to price the time series and cross section of the term structure of interest rate using a three-step linear regression approach. Our method allows computationally fast estimation of term structure models with a large number of pricing factors. We present specification tests favoring a model using five principal components of yields as factors. We demonstrate that this model outperforms the Cochrane and Piazzesi (2008) four-factor specification in out-of-sample exercises but generat...
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作者：Vijh, Anand M.; Yang, Ke
作者单位：University of Iowa; Lehigh University
摘要：We show an inverted-U relation between targetiveness (probability of being targeted) and firm size. However, this pattern describes stock offers and is more pronounced during hot markets characterized by higher stock valuations. For cash offers we find a negative and monotonic relation. These contrasting patterns suggest that small firms (in the bottom NYSE size quartile) are less vulnerable to overpriced stock offers. In addition, we find that the stock acquirers of small targets are less ove...
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作者：Hanson, Samuel G.; Sunderam, Adi
作者单位：Harvard University
摘要：We present a model that helps explain several past collapses of securitization markets. Originators issue too many informationally insensitive securities in good times, blunting investor incentives to become informed. The resulting endogenous scarcity of informed investors exacerbates primary market collapses in bad times. Inefficiency arises because informed investors are a public good from the perspective of originators. All originators benefit from the presence of additional informed invest...
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作者：Larkin, Yelena
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：This paper demonstrates that intangible assets play an important role in financial policy. Using a proprietary database of consumer brand evaluation, I show that positive consumer attitude toward a firm's products alleviates financial frictions and provides additional net debt capacity, as measured by higher leverage and lower cash holdings. Brand perception affects financial policy through reducing overall firm riskiness, as strong consumer evaluations translate into lower future cash flow vo...
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作者：Custodio, Claudia; Ferreira, Miguel A.; Matos, Pedro
作者单位：Arizona State University; Arizona State University-Tempe; Universidade Nova de Lisboa; University of Virginia
摘要：We show that pay is higher for chief executive officers (CEOs) with general managerial skills gathered during lifetime work experience. We use CEOs' resumes of Standard and Poor's 1,500 firms from 1993 through 2007 to construct an index of general skills that are transferable across firms and industries. We estimate an annual pay premium for generalist CEOs (those with an index value above the median) of 19% relative to specialist CEOs, which represents nearly a million dollars per year. This ...
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作者：Watanabe, Akiko; Xu, Yan; Yao, Tong; Yu, Tong
作者单位：University of Alberta; University of Rhode Island; University of Iowa
摘要：Firms with higher asset growth rates subsequently experience lower stock returns in international equity markets, consistent with the U.S. evidence. This negative effect of asset growth on returns is stronger in more developed capital markets and markets where stocks are more efficiently priced, but is unrelated to country characteristics representing limits to arbitrage, investor protection, and accounting quality. The evidence suggests that the cross-sectional relation between asset growth a...
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作者：Khandani, Amir E.; Lo, Andrew W.; Merton, Robert C.
作者单位：Morgan Stanley; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：The combination of rising home prices, declining interest rates, and near-frictionless refinancing opportunities can create unintentional synchronization of homeowner leverage, leading to a ratchet effect on leverage because homes are indivisible and owner-occupants cannot raise equity to reduce leverage when home prices fall. Our simulation of the U.S. housing market yields potential losses of $1.7 trillion from June 2006 to December 2008 with cash-out refinancing vs. only $330 billion in the...
