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作者：Chava, Sudheer; Purnanandam, Amiyatosh
作者单位：University of Michigan System; University of Michigan; University System of Georgia; Georgia Institute of Technology
摘要：We provide causal evidence that adverse capital shocks to banks affect their borrowers' performance negatively. We use an exogenous shock to the U.S. banking system during the Russian crisis of Fall 1998 to separate the effect of borrowers' demand of credit from the supply of credit by the banks. Firms that primarily relied on banks for capital suffered larger valuation losses during this period and subsequently experienced a higher decline in their capital expenditure and profitability as com...
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作者：Thompson, Samuel B.
摘要：When estimating finance panel regressions, it is common practice to adjust standard errors for correlation either across firms or across time. These procedures are valid only if the residuals are correlated either across time or across firms, but not across both. This paper shows that it is very easy to calculate standard errors that are robust to simultaneous correlation along two dimensions, such as firms and time. The covariance estimator is equal to the estimator that clusters by firm, plu...
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作者：Billett, Matthew T.; Garfinkel, Jon A.; Jiang, Yi
作者单位：University of Iowa; California State University System; California State University Fullerton
摘要：Does corporate governance affect the timing of large investment projects? Hazard model estimates suggest strong shareholder governance may deter managers from pursuing large investments. Controlling for investment opportunities, firms with good governance experience longer spells between large investments. However, in the presence of financial constraints or strong CEO incentives (high delta (a)), we find no such timing differences. Finally, these higher investment hazard firms exhibit signifi...
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作者：Uysal, Vahap B.
作者单位：University of Oklahoma System; University of Oklahoma - Norman
摘要：This study finds that managers take deviations from their target capital structures into account when planning and structuring acquisitions. Specifically, firms that are overleveraged relative to their target debt ratios are less likely to make acquisitions and are less likely to use cash in their offers. Furthermore, they acquire smaller targets and pay lower premiums. Managers of overleveraged firms also actively rebalance their capital structures when they anticipate a high likelihood of ma...
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作者：Becker, Bo; Milbourn, Todd
作者单位：Harvard University; Washington University (WUSTL)
摘要：The credit rating industry has historically been dominated by just two agencies, Moody's and Standard & Poor's, leading to long-standing legislative and regulatory calls for increased competition. The material entry of a third rating agency (Fitch) to the competitive landscape offers a unique experiment to empirically examine how increased competition affects the credit ratings market. What we find is relatively troubling. Specifically, we discover that increased competition from Fitch coincid...
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作者：Cornett, Marcia Millon; McNutt, Jamie John; Strahan, Philip E.; Tehranian, Hassan
作者单位：Boston College; Bentley University; Southern Illinois University System; Southern Illinois University; National Bureau of Economic Research
摘要：Liquidity dried up during the financial crisis of 2007-2009. Banks that relied more heavily on core deposit and equity capital financing, which are stable sources of financing, continued to lend relative to other banks. Banks that held more illiquid assets on their balance sheets, in contrast, increased asset liquidity and reduced lending. Off-balance sheet liquidity risk materialized on the balance sheet and constrained new credit origination as increased takedown demand displaced lending cap...
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作者：Chen, Huafeng (Jason)
作者单位：University of British Columbia
摘要：I argue that the reason the book-to-market effect is stronger in small stocks is because smaller stocks generally have shorter life expectancy and therefore shorter equity duration. I build a model in which the book-to-market effect is stronger in stocks with shorter life expectancy. Empirically, I use delisting probability as my proxy for life expectancy. The data support my model's central prediction and its additional implications for stock return and variance. My results provide a rational...
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作者：Lee, Kuan-Hui
作者单位：Korea University
摘要：This paper empirically tests the liquidity-adjusted capital asset pricing model of Acharya and Pedersen (2005) on a global level. Consistent with the model, I find evidence that liquidity risks are priced independently of market risk in international financial markets. That is, a security's required rate of return depends on the covariance of its own liquidity with aggregate local market liquidity, as well as the covariance of its own liquidity with local and global market returns. I also show...
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作者：Acharya, Viral V.; Amihud, Yakov; Litov, Lubomir
作者单位：New York University; Centre for Economic Policy Research - UK; European Corporate Governance Institute; National Bureau of Economic Research; Washington University (WUSTL)
摘要：We propose that stronger creditor rights in bankruptcy affect corporate investment choice by reducing corporate risk-taking. In cross-country analysis, we find that stronger creditor rights induce greater propensity of firms to engage in diversifying acquisitions that are value-reducing, to acquire targets whose assets have high recovery value in default, and to lower cash-flow risk. Also, corporate leverage declines when creditor rights are stronger. These relations are usually strongest in c...
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作者：Love, David A.; Smith, Paul A.; Wilcox, David W.
作者单位：Williams College; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We study firms' pension prefunding and portfolio allocation choices in a model in which firms trade off the need to compensate workers for the financial risk in their pension benefit against the cost advantage that may be gained by exploiting underpriced pension insurance. In the absence of pension insurance, the firm minimizes costs by rendering promised benefits free of risk to workers, who are assumed to be unable to hedge firm-specific risk. Various forms of government intervention, such a...
