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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...
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作者：Aktas, Nihat; de Bodt, Eric; Roll, Richard
作者单位：SKEMA Business School; Universite de Lille; Universite de Lille; SKEMA Business School
摘要：Knowledge gleaned from previous acquisitions may confer valuation expertise and other benefits. But numerous acquisitions also entail costs, due to problems of incorporating diverse units into an ever larger firm. Such benefits and costs are not directly observable from outside the firm. This article proposes a simple model to infer their relative importance, using the time between successive deals. The data requirements are minimal and allow the use of all mergers and acquisitions during 1992...
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作者：Bolton, Patrick; Chen, Hui; Wang, Neng
作者单位：Columbia University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：The 2008 financial crisis exemplifies significant uncertainties in corporate financing conditions. We develop a unified dynamic q-theoretic framework where firms have both a precautionary-savings motive and a market-timing motive for external financing and payout decisions, induced by stochastic financing conditions. The model predicts (1) cuts in investment and payouts in bad times and equity issues in good times even without immediate financing needs; (2) a positive correlation between equit...
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作者：Wahal, Sunil; Yavuz, M. Deniz
作者单位：Purdue University System; Purdue University; Arizona State University; Arizona State University-Tempe
摘要：Barberis and Shleifer (2003) argue that style investing generates momentum and reversals in style and individual asset returns, as well as comovement between individual assets and their styles. Consistent with these predictions, in some specifications, past style returns help explain future stock returns after controlling for size, book-to-market and past stock returns. We also use comovement to identify style investing and assess its impact on momentum. High comovement momentum portfolios hav...
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作者：Lin, Chen; Officer, Micah S.; Wang, Rui; Zou, Hong
作者单位：University of Hong Kong; Loyola Marymount University; City University of Hong Kong
摘要：We analyze the effect of directors' and officers' liability insurance (D&O insurance) on the spreads charged on bank loans. We find that higher levels of D&O insurance coverage are associated with higher loan spreads and that this relation depends on loan characteristics in economically sensible ways and is attenuated by monitoring mechanisms. This association between loan spreads and D&O insurance coverage is robust to controlling for endogeneity (because both could be related to firm risk). ...
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作者：Graham, John R.; Harvey, Campbell R.; Puri, Manju
作者单位：Duke University; National Bureau of Economic Research
摘要：We administer psychometric tests to senior executives to obtain evidence on their underlying psychological traits and attitudes. We find US CEOs differ significantly from non-US CEOs in terms of their underlying attitudes. In addition, we find that CEOs are significantly more optimistic and risk-tolerant than the lay population. We provide evidence that CEOs' behavioral traits such as optimism and managerial risk-aversion are related to corporate financial policies. Further, we provide new emp...
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作者：Li, Gang; Zhang, Chu
作者单位：Hong Kong University of Science & Technology; Hong Kong Polytechnic University
摘要：Affine jump-diffusion models have been the mainstream in options pricing because of their analytical tractability. Popular affine jump-diffusion models, however, are still unsatisfactory in describing the options data and the problem is often attributed to the diffusion term of the unobserved state variables. Using prices of variance-swaps (i.e., squared VIX) implied from options prices, we provide fresh evidence regarding the misspecification of affine jump-diffusion models, as variance-swap ...
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作者：Fu, Fangjian; Lin, Leming; Officer, Micah S.
作者单位：Singapore Management University; State University System of Florida; University of Florida; Loyola Marymount University
摘要：Theory and recent evidence suggest that overvalued firms can create value for shareholders if they exploit their overvaluation by using their stock as currency to purchase less overvalued firms. We challenge this idea and show that, in practice, overvalued acquirers significantly overpay for their targets. These acquisitions do not, in turn, lead to synergy gains. Moreover, these acquisitions seem to be concentrated among acquirers with the largest governance problems. CEO compensation, not sh...
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作者：Chakraborty, Indraneel; Gantchev, Nickolay
作者单位：Southern Methodist University; University of North Carolina; University of North Carolina Chapel Hill
摘要：We propose a new role for private investments in public equity (PIPEs) as a mechanism to reduce coordination frictions among existing equity holders. We establish a causal link between the coordination ability of incumbent shareholders and PIPE issuance. This result obtains even after controlling for alternative explanations such as information asymmetry and access to public markets. Improved equity coordination following a private placement leads to favorable debt renegotiations within one ye...
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作者：Shive, Sophie; Yun, Hayong
作者单位：University of Notre Dame
摘要：We find that patient traders profit from the predictable, flow-induced trades of mutual funds. In anticipation of a 1%-of-volume change in mutual fund flows into a stock next quarter, the institutions in the same 13F category as hedge funds trade 0.29-0.45% of volume in the current quarter. A third of the trading is associated with the subset of 504 identified hedge funds. The effect is stronger when quarterly mutual fund portfolio disclosure is required and among hedge funds with more patient...
