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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：Lan, Yingcong; Wang, Neng; Yang, Jinqiang
作者单位：Cornerstone Research; Columbia University; National Bureau of Economic Research; Shanghai University of Finance & Economics
摘要：Hedge fund managers trade off the benefits of leveraging on the alpha-generating strategy against the costs of inefficient fund liquidation. In contrast to the standard risk-seeking intuition, even with a constant-return-to-scale alpha-generating strategy, a risk-neutral manager becomes endogenously risk-averse and decreases leverage following poor performance to increase the fund's survival likelihood. Our calibration suggests that management fees are the majority of the total compensation. M...
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作者：Bollerslev, Tim; Osterrieder, Daniela; Sizova, Natalia; Tauchen, George
作者单位：Duke University; National Bureau of Economic Research; Aarhus University; CREATES; Rice University
摘要：Univariate dependencies in market volatility, both objective and risk neutral, are best described by long-memory fractionally integrated processes. Meanwhile, the ex post difference, or the variance swap payoff reflecting the reward for bearing volatility risk, displays far less persistent dynamics. Using intraday data for the Standard & Poor's 500 and the volatility index (VIX), coupled with frequency domain methods, we separate the series into various components. We find that the coherence b...
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作者：Corsi, Fulvio; Fusari, Nicola; La Vecchia, Davide
作者单位：University of St Gallen; Northwestern University; Monash University
摘要：We develop a discrete-time stochastic volatility option pricing model exploiting the information contained in the Realized Volatility (RV), which is used as a proxy of the unobservable log-return volatility. We model the RV dynamics by a simple and effective long-memory process, whose parameters can be easily estimated using historical data. Assuming an exponentially affine stochastic discount factor, we obtain a fully analytic change of measure. An empirical analysis of Standard and Poor's 50...
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作者：Marquez, Robert; Singh, Rajdeep
作者单位：University of California System; University of California Davis; University of Minnesota System; University of Minnesota Twin Cities
摘要：Many acquisitions are conducted by clubs, i.e., coalitions of acquirers that submit a single bid. We present a novel analysis of club bidding where the club creates value by aggregating, at least partially, bidders' values. We show that club formation can lead to higher acquisition prices when the number of bidders is exogenously fixed and large. However, when entry costs require bidders to optimize their participation decisions, club formation acts as an endogenous limit on competition and re...
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作者：Beshears, John
作者单位：Harvard University; National Bureau of Economic Research
摘要：I use data on oil and gas drilling in the Gulf of Mexico to measure how a corporate alliance-a group of firms that jointly develops an offshore tract performs relative to a solo firm. I employ a regression discontinuity strategy based on bids in first-price sealed-bid auctions for the rights to develop leases. By focusing on leases where one organizational form narrowly outbids the other, I measure drilling outcomes while controlling for the endogenous matching of projects and organizational f...
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作者：Spiegel, Matthew; Zhang, Hong
作者单位：Yale University; INSEAD Business School
摘要：Several papers use a fractional specification (net inflow/assets under management) to infer a convex relation between flow and past performance. However, heterogeneous linear response functions combined with the pooled analysis commonly used in these studies can yield false convexity estimates. We show that such heterogeneity obtains in practice. Along these same lines, the paper also finds that several previously unexamined implications of a convex flow-performance relation fail to hold. More...
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作者：Acharya, Viral V.; Lochstoer, Lars A.; Ramadorai, Tarun
作者单位：National Bureau of Economic Research; Columbia University; University of Oxford
摘要：We build an equilibrium model of commodity markets in which speculators are capital constrained, and commodity producers have hedging demands for commodity futures. Increases in producers' hedging demand or speculators' capital constraints increase hedging costs via price-pressure on futures. These in turn affect producers' equilibrium hedging and supply decision inducing a link between a financial friction in the futures market and the commodity spot prices. Consistent with the model, measure...
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作者：Ramadorai, Tarun
作者单位：University of Oxford
摘要：To identify capacity constraints in hedge funds and simultaneously gauge how well-informed hedge fund investors are, we need measures of investor demand that do not affect deployed hedge fund assets. Using new data on investor interest from a secondary market for hedge funds, this paper verifies the existence of capacity constraints in hedge funds. There is more mixed evidence on the information available to hedge fund investors. Buy and sell indications arrive following fund outperformance. W...
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作者：Nain, Amrita; Yao, Tong
作者单位：University of Iowa
摘要：We show that the commonly observed correlation between institutional investor ownership and the success of mergers is partly driven by active stock picking. Several mutual fund stock selection skill measures strongly predict the post-merger performance of corporate acquirers even after controlling for possible shareholder monitoring. These findings are stronger for funds with characteristics more indicative of active stock picking. Moreover, firms held by funds with higher stock selection skil...
