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作者：Bates, David S.
作者单位：University of Iowa; National Bureau of Economic Research
摘要：This paper examines how well alternate time-changed Levy processes capture stochastic volatility and the substantial outliers observed in U.S. stock market returns over the past 85 years. The autocorrelation of daily stock market returns varies substantially over time, necessitating an additional state variable when analyzing historical data. I estimate various one- and two-factor stochastic volatility/Levy models with time-varying autocorrelation via extensions of the Bates (2006) methodology...
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作者：Canales, Rodrigo; Nanda, Ramana
作者单位：Harvard University; Yale University
摘要：We use loan-level data to study how the organizational structure of banks impacts small business lending. We find that decentralized banks-where branch managers have greater autonomy over lending decisions-give larger loans to small firms and those with soft information. However, decentralized banks are also more responsive to their own competitive environment. They are more likely to expand credit when faced with competition but also cherry pick customers and restrict credit when they have ma...
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作者：Shive, Sophie
作者单位：University of Notre Dame
摘要：This study examines the effect of locally informed investors on market efficiency and stock prices using large power outages, which are exogenous events that constrain trading. Turnover in stocks headquartered in an outage area with 0.5% of U.S. electrical customers drops by 3-7% on the first full day of the outage, and bid-ask spreads narrow by 2.5%. Firm-specific price volatility is 2.3% lower on blackout dates. This effect is larger for smaller, lesser-known stocks and in higher income area...
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作者：Cai, Ye; Sevilir, Merih
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; Santa Clara University
摘要：We examine M&A transactions between firms with current board connections and find that acquirers obtain higher announcement returns in transactions with a first-degree connection where the acquirer and the target share a common director. Acquirer returns are also higher in transactions with a second-degree connection where one acquirer director and one target director serve on the same third board. Our results suggest that first-degree connections benefit acquirers with lower takeover premiums...
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作者：Acharya, Viral; Naqvi, Hassan
作者单位：Sungkyunkwan University (SKKU); New York University; National Bureau of Economic Research
摘要：We examine how the banking sector could ignite the formation of asset price bubbles when there is access to abundant liquidity. Inside banks, to induce effort, loan officers are compensated based on the volume of loans. Volume-based compensation also induces greater risk taking; however, due to lack of commitment, loan officers are penalized ex post only if banks suffer a high enough liquidity shortfall. Outside banks, when there is heightened macroeconomic risk, investors reduce direct invest...
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作者：Wintoki, M. Babajide; Linck, James S.; Netter, Jeffry M.
作者单位：University of Kansas; Southern Methodist University; University System of Georgia; University of Georgia
摘要：We use a well-developed dynamic panel generalized method of moments (GMM) estimator to alleviate endogeneity concerns in two aspects of corporate governance research: the effect of board structure on firm performance and the determinants of board structure. The estimator incorporates the dynamic nature of internal governance choices to provide valid and powerful instruments that address unobserved heterogeneity and simultaneity. We re-examine the relation between board structure and performanc...
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作者：Inderst, Roman; Ottaviani, Marco
作者单位：Bocconi University; Northwestern University; Imperial College London
摘要：This paper investigates the determinants of the compensation structure for brokers who advise customers regarding the suitability of financial products. Our model explains why brokers are commonly compensated indirectly through contingent commissions paid by product providers, even though this compensation structure could lead to biased advice. When customers are wary of the adviser's incentives, contingent commissions can be an effective incentive tool to induce the adviser to learn which spe...
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作者：Elkamhi, Redouane; Ericsson, Jan; Parsons, Christopher A.
作者单位：University of California System; University of California San Diego; University of Toronto; McGill University
摘要：Assessments of the trade-off theory have typically compared the present value of tax benefits to the present value of bankruptcy costs. We verify that this comparison overwhelmingly favors tax benefits, suggesting that firms are under-leveraged. However, when we allow firms to experience even modest (e.g., 1-2% annualized) financial distress costs prior to bankruptcy, the cumulative present value of such costs can easily offset the tax benefits. (C) 2012 Elsevier B.V. All rights reserved.
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作者：Mendel, Brock; Shleifer, Andrei
作者单位：Harvard University
摘要：We present a simple model in which rational but uninformed traders occasionally chase noise as if it were information, thereby amplifying sentiment shocks and moving prices away from fundamental values. In the model, noise traders can have an impact on market equilibrium disproportionate to their size in the market. The model offers a partial explanation for the surprisingly low market price of financial risk in the spring of 2007. (C) 2011 Elsevier B.V. All rights reserved.
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作者：Lin, Chen; Ma, Yue; Malatesta, Paul; Xuan, Yuhai
作者单位：University of Washington; University of Washington Seattle; Chinese University of Hong Kong; Lingnan University; Harvard University
摘要：Using a novel data set on corporate ownership and control, we show that the divergence between the control rights and cash-flow rights of a borrowing firm's largest ultimate owner has a significant impact on the concentration and composition of the firm's loan syndicate. When the control-ownership divergence is large, lead arrangers form syndicates with structures that facilitate enhanced due diligence and monitoring efforts. These syndicates tend to be relatively concentrated and composed of ...
