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作者：Valta, Philip
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：This paper empirically shows that the cost of bank debt is systematically higher for firms that operate in competitive product markets. Using various proxies for product market competition, and reductions of import tariff rates to capture exogenous changes to a firm's competitive environment, I find that competition has a significantly positive effect on the cost of bank debt. Moreover, the analysis reveals that the effect of competition is greater in industries in which small firms face finan...
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作者：Savor, Pavel G.
作者单位：University of Pennsylvania
摘要：This paper focuses on stocks that experience major price changes. Using analyst reports as a proxy. I find that price events accompanied by information are followed by drift, while no-information ones result in reversals. One interpretation of these results is that investors underreact to news about fundamentals and overreact to other shocks that move stock prices. Consistent with this hypothesis, information-based price changes are more strongly correlated with future earnings surprises than ...
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作者：Jiang, John (Xuefeng); Stanford, Mary Harris; Xie, Yuan
作者单位：Michigan State University; Michigan State University's Broad College of Business; Texas Christian University; Fordham University
摘要：We test whether Standard and Poor's (S&P) assigns higher bond ratings after it switches from investor-pay to issuer-pay fees in 1974. Using Moody's rating for the same bond as a benchmark, we find that when S&P charges investors and Moody's charges issuers, S&P's ratings are lower than Moody's. Once S&P adopts issuer-pay, its ratings increase and no longer differ from Moody's. More importantly, S&P only assigns higher ratings for bonds that are subject to greater conflicts of interest, measure...
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作者：Dick-Nielsen, Jens; Feldhutter, Peter; Lando, David
作者单位：Copenhagen Business School; University of London; London Business School
摘要：We analyze liquidity components of corporate bond spreads during 2005-2009 using a new robust illiquidity measure. The spread contribution from illiquidity increases dramatically with the onset of the subprime crisis. The increase is slow and persistent for investment grade bonds while the effect is stronger but more short-lived for speculative grade bonds. Bonds become less liquid when financial distress hits a lead underwriter and the liquidity of bonds issued by financial firms dries up und...
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作者：Fama, Eugene F.; French, Kenneth R.
作者单位：University of Chicago; Dartmouth College
摘要：In the four regions (North America, Europe, Japan, and Asia Pacific) we examine, there are value premiums in average stock returns that, except for Japan, decrease with size. Except for Japan, there is return momentum everywhere, and spreads in average momentum returns also decrease from smaller to bigger stocks. We test whether empirical asset pricing models capture the value and momentum patterns in international average returns and whether asset pricing seems to be integrated across the fou...
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作者：Gorton, Gary; Metrick, Andrew
作者单位：Yale University; National Bureau of Economic Research
摘要：The panic of 2007-2008 was a run on the sale and repurchase market (the repo market), which is a very large, short-term market that provides financing for a wide range of securitization activities and financial institutions. Repo transactions are collateralized, frequently with securitized bonds. We refer to the combination of securitization plus repo finance as securitized banking and argue that these activities were at the nexus of the crisis. We use a novel data set that includes credit spr...
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作者：Maio, Paulo; Santa-Clara, Pedro
作者单位：Hanken School of Economics; Universidade Nova de Lisboa; National Bureau of Economic Research
摘要：Can any multifactor model be interpreted as a variant of the Intertemporal CAPM (ICAPM)? The ICAPM places restrictions on time-series and cross-sectional behavior of state variables and factors. If a state variable forecasts positive (negative) changes in investment opportunities in time-series regressions, its innovation should earn a positive (negative) risk price in the cross-sectional test of the respective multifactor model. Second, the market (covariance) price of risk must be economical...
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作者：Berger, Dave; Pukthuanthong, Kuntara
作者单位：Oregon State University; California State University System; San Diego State University
摘要：We extend the Pukthuanthong and Roll (2009) measure of integration to provide an estimate of systemic risk within international equity markets. Our measure indicates an increasing likelihood of market crashes. The conditional probability of market crashes increases substantially following increases of our risk measure. High levels of our risk measure indicate the probability of a global crash is greater than the probability of a local crash. That is, conditional on high levels of systemic risk...
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作者：Cocco, Joao F.; Gomes, Francisco J.
作者单位：University of London; London Business School
摘要：Over the last couple of decades unprecedented increases in life expectancy have raised important concerns for retirement savings. We solve a life-cycle model with longevity risk, which can be hedged through endogenous saving and retirement decisions. We investigate the benefits of financial assets designed to hedge the shocks to survival probabilities. When longevity risk is calibrated to match forward-looking projections, those benefits are substantial. This lends support to the idea that suc...
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作者：Brennan, Michael J.; Chordia, Tarun; Subrahmanyam, Avanidhar; Tong, Qing
作者单位：University of California System; University of California Los Angeles; University of Manchester; King Abdulaziz University; Emory University; Singapore Management University
摘要：We estimate buy- and sell-order illiquidity measures (lambdas) for a comprehensive sample of NYSE stocks. We show that sell-order liquidity is priced more strongly than buy-order liquidity in the cross-section of equity returns. Indeed, our analysis indicates that the liquidity premium in equities emanates predominantly from the sell-order side. We also find that the average difference between sell and buy lambdas is generally positive throughout our sample period. Both buy and sell lambdas ar...
