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作者：Arora, Navneet; Gandhi, Priyank; Longstaff, Francis A.
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：Counterparty credit risk has become one of the highest-profile risks facing participants in the financial markets. Despite this, relatively little is known about how counterparty credit risk is actually priced. We examine this issue using an extensive proprietary data set of contemporaneous CDS transaction prices and quotes by 14 different CDS dealers selling credit protection on the same underlying firm. This unique cross-sectional data set allows us to identify directly how dealers' credit r...
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作者：Xu, Jin
作者单位：Purdue University System; Purdue University
摘要：Firms experiencing increases in import competition significantly reduce their leverage ratios by issuing equity and selling assets to repay debt. Using import tariffs and foreign exchange rates as instrumental variables for import penetration, I show that these results are not manifestations of endogenous relations between import competition and leverage. The results are consistent with traditional trade-off models of capital structure that predict a positive relation between book leverage and...
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作者：Sarno, Lucio; Schneider, Paul; Wagner, Christian
作者单位：City St Georges, University of London; Centre for Economic Policy Research - UK; University of Warwick; Vienna University of Economics & Business
摘要：We study the properties of foreign exchange risk premiums that can explain the forward bias puzzle, defined as the tendency of high-interest rate currencies to appreciate rather than depreciate. These risk premiums arise endogenously from the no-arbitrage condition relating the term structure of interest rates and exchange rates. Estimating affine (multi-currency) term structure models reveals a noticeable tradeoff between matching depreciation rates and accuracy in pricing bonds. Risk premium...
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作者：Doherty, Neil A.; Kartasheva, Anastasia V.; Phillips, Richard D.
作者单位：University of Pennsylvania; University System of Georgia; Georgia State University
摘要：The paper analyzes the effect of competition between credit rating agencies (CRAs) on the information content of ratings. We show that a monopolistic CRA pools sellers into multiple rating classes and has partial market coverage. This provides an opportunity for market entry. The entrant designs a rating scale distinct from that of the incumbent. It targets higher-than-average companies in each rating grade of the incumbent's rating scale and employs more stringent rating standards. We use Sta...
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作者：Chen, Sheng-Syan; Wang, Yanzhi
作者单位：Yuan Ze University; National Taiwan University
摘要：We examine how the financial constraints of repurchasing firms affect their post-buyback performance. By every constraint measure we use, a set of constrained firms repurchase. They display significantly poorer post-buyback abnormal return and operating performance than unconstrained firms. Financial constraints are more important in explaining the performance of share buybacks for firms with high actual repurchase ratios. Constrained firms, especially those with high actual repurchase ratios,...
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作者：Brown, Stephen; Goetzmann, William; Liang, Bing; Schwarz, Christopher
作者单位：New York University; University of Melbourne; Yale University; University of Massachusetts System; University of Massachusetts Amherst; University of California System; University of California Irvine
摘要：This paper studies operational risk in the hedge fund industry using due diligence reports. Many funds suffer from operational problems, including limited disclosure of legal and regulatory issues. We use direct evidence of inadequate or failed internal processes to derive a canonical correlation-based measure for operational risk consistent with the Basel definition. It controls for selection bias using an extension of Heckman's (1979) procedure. Operational risk increases the likelihood of s...
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作者：Kini, Omesh; Williams, Ryan
作者单位：University System of Georgia; Georgia State University
摘要：This paper tests the proposition that higher tournament incentives will result in greater risk-taking by senior managers in order to increase their chance of promotion to the rank of CEO. Measuring tournament incentives as the pay gap between the CEO and the next layer of senior managers, we find a significantly positive relation between firm risk and tournament incentives. Further, we find that greater tournament incentives lead to higher R&D intensity, firm focus, and leverage, but lower cap...
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作者：Lin, Xiaoji
作者单位：University of London; London School Economics & Political Science
摘要：I study the cross-sectional variation of stock returns and technological progress using a dynamic equilibrium model with production. Technological progress is endogenously driven by research and development (R&D) investment and is composed of two parts. One part is devoted to product innovation; the other, to increasing the productivity of physical investment. The latter is embodied in new tangible capital. The model breaks the symmetry assumed in standard models between tangible and intangibl...
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作者：Chen, Huafeng (Jason); Chen, Shaojun (Jenny)
作者单位：University of British Columbia
摘要：Investment-cash flow sensitivity has declined and disappeared, even during the 2007-2009 credit crunch. If one believes that financial constraints have not disappeared, then investment-cash flow sensitivity cannot be a good measure of financial constraints. The decline and disappearance are robust to considerations of R&D and cash reserves, and across groups of firms. The information content in cash flow regarding investment opportunities has declined, but measurement error in Tobin's q does n...
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作者：Dezso, Cristian L.; Ross, David Gaddis
作者单位：Columbia University; University System of Maryland; University of Maryland College Park
摘要：While traditional finance theory holds that managers with option-laden incentive contracts may favor equity at the expense of debt, a risk-averse manager may be more likely to retain vested in-the-money options if the manager has private information that the firm's risk-adjusted performance will be better. It follows that vested option holdings should be positively associated with credit quality. In support of this, we find that vested option holdings have a strong negative association with lo...
