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作者：Joslin, Scott; Le, Anh; Singleton, Kenneth J.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Stanford University; National Bureau of Economic Research
摘要：This paper explores the implications of filtering and no-arbitrage for the maximum likelihood estimates of the entire conditional distribution of the risk factors and bond yields in Gaussian macro-finance term structure model (MTSM) when all yields are priced imperfectly. For typical yield curves and macro-variables studied in this literature, the estimated joint distribution within a canonical MTSM is nearly identical to the estimate from an economic-model-free factor vector-autoregression (f...
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作者：Ongena, Steven; Popov, Alexander; Udell, Gregory F.
作者单位：Tilburg University; European Central Bank; Indiana University System; Indiana University Bloomington
摘要：This paper provides the first empirical evidence that bank regulation is associated with cross-border spillover effects through the lending activities of large multinational banks. We analyze business lending by 155 banks to 9,613 firms in 1,976 different localities across 16 countries. We find that lower barriers to entry, tighter restrictions on bank activities, and to a lesser degree higher minimum capital requirements in domestic markets are associated with lower bank lending standards abr...
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作者：Mayer, Chris; Piskorski, Tomasz; Tchistyi, Alexei
作者单位：Columbia University; University of California System; University of California Berkeley
摘要：This paper provides a theoretical analysis of the efficiency of prepayment penalties in a dynamic competitive lending model with risky borrowers and costly default. When considering improvements in the borrower's creditworthiness as one of the reasons for refinancing mortgages, we show that refinancing penalties can be welfare improving and that they can be particularly beneficial to riskier borrowers in the form of lower mortgage rates, reduced defaults, and increased availability of credit. ...
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作者：Doidge, Craig; Karolyi, G. Andrew; Stulz, Rene M.
作者单位：University of Toronto; Cornell University; University System of Ohio; Ohio State University; National Bureau of Economic Research; European Corporate Governance Institute
摘要：From 1990 to 2011, the share of world IPO activity by non-U.S. firms increased because of financial globalization and because of a decrease in U.S. IPO activity. Financial globalization reduces the impact of national institutions on domestic IPO activity and enables more non-U.S. firms from countries with weak institutions to go public with a global IPO. U.S. IPO activity does not benefit from financial globalization. Compared to other countries, the rate of small-firm IPO activity in the U.S....
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作者：Dyreng, Scott D.; Lindsey, Bradley P.; Thornock, Jacob R.
作者单位：Duke University; North Carolina State University; University of Washington; University of Washington Seattle
摘要：We examine whether Delaware is a domestic tax haven. We find that taxes play an economically important role in determining whether U.S. firms locate subsidiaries in Delaware and that a Delaware-based state tax avoidance strategy lowers state effective tax rates by between 0.7 and 1.1 percentage points, on average. The tax savings represent a 15-24% decrease in the state income tax burden and translate to an increase in net income of 1.04-1.47%. However, we find that the tax benefits of Delawar...
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作者：So, Eric C.
作者单位：Massachusetts Institute of Technology (MIT)
摘要：I provide evidence that investors overweight analyst forecasts by demonstrating that prices do not fully reflect predictable components of analyst errors, which conflicts with conclusions in prior research. I highlight estimation bias in traditional approaches and develop a new approach that reduces this bias. I estimate characteristic forecasts that map current firm characteristics into forecasts of future earnings. Contrasting characteristic and analyst forecasts predicts analyst forecast er...
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作者：van Binsbergen, Jules; Hueskes, Wouter; Koijen, Ralph; Vrugt, Evert
作者单位：National Bureau of Economic Research; Tilburg University; University of London; London Business School; Vrije Universiteit Amsterdam
摘要：We study a new data set of dividend futures with maturities up to ten years across three world regions: the US, Europe, and Japan. We use these asset prices to construct equity yields, analogous to bond yields. We decompose the equity yields to obtain a term structure of expected dividend growth rates and a term structure of risk premia, which decomposes the equity risk premium by maturity. We find that the slope of the term structure of risk premia is pro-cyclical, whereas the slope of the te...
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作者：Hartzmark, Samuel M.; Solomon, David H.
作者单位：University of Southern California
摘要：We find an asset pricing anomaly whereby companies have positive abnormal returns in months when they are predicted to issue a dividend. Abnormal returns in predicted dividend months are high relative to other companies and relative to dividend-paying companies in months without a predicted dividend, making risk-based explanations unlikely. The anomaly is as large as the value premium, but less volatile. The premium is consistent with price pressure from dividend-seeking investors. Measures of...
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作者：Li, Yan; Yang, Liyan
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; University of Toronto
摘要：We build a general equilibrium model to examine the implications of prospect theory for the disposition effect, asset prices, and trading volume. Diminishing sensitivity predicts a disposition effect, price momentum, a reduced return volatility, and a positive return-volume correlation. Loss aversion generally predicts the opposite. In calibrated economies, there is a nontrivial range of preference parameters for prospect theory to simultaneously explain the disposition effect, the momentum ef...
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作者：Chan, Lilian H.; Chen, Kevin C. W.; Chen, Tai-Yuan
作者单位：University of Hong Kong; Hong Kong University of Science & Technology
摘要：Although firm-initiated clawbacks reduce accounting manipulation, they also induce managers to engage in suboptimal activities (e.g., reduce research and development (R&D) expenses) to achieve earnings targets. To assess the effectiveness of clawback provisions, we examine their impact from debtholders' point of view. We find that banks use more financial covenants and performance pricing provisions in the loan contracts and decrease interest rates after firms initiate clawbacks. Moreover, we ...
