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作者：Berger, Allen N.; Frame, W. Scott; Ioannidou, Vasso
作者单位：University of South Carolina System; University of South Carolina Columbia; University of Pennsylvania; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Tilburg University
摘要：Collateral is a widely used, but not well understood, debt contracting feature. Two broad strands of theoretical literature explain collateral as arising from the existence of either ex ante private information or ex post incentive problems between borrowers and lenders. However, the extant empirical literature has been unable to isolate each of these effects. This paper attempts to do so using a credit registry that is unique in that it allows the researcher to have access to some private inf...
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作者：Teo, Melvyn
作者单位：Singapore Management University
摘要：This paper evaluates hedge funds that grant favorable redemption terms to investors. Within this group of purportedly liquid funds, high net inflow funds subsequently outperform low net inflow funds by 4.79% per year after adjusting for risk. The return impact of fund flows is stronger when funds embrace liquidity risk, when market liquidity is low, and when funding liquidity, as measured by the Treasury-Eurodollar spread, aggregate hedge fund flows, and prime broker stock returns, is tight. I...
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作者：Jylha, Petri; Suominen, Matti
作者单位：Aalto University
摘要：In this paper, we study a two-country general equilibrium model with partially segmented financial markets, where hedge funds emerge endogenously. Empirically, we show that the hedge fund investment strategy predicted by our model, which we call the risk-adjusted carry trade strategy, explains more than 16% of the overall hedge fund index returns and more than 33% of the fixed income arbitrage sub-index returns. The flow of new money to hedge funds affects market interest rates, exchange rates...
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作者：Lettau, Martin; Wachter, Jessica A.
作者单位：University of Pennsylvania; University of California System; University of California Berkeley
摘要：This paper proposes a dynamic risk-based model capable of jointly explaining the term structure of interest rates, returns on the aggregate market, and the risk and return characteristics of value and growth stocks. Both the term structure of interest rates and returns on value and growth stocks convey information about how the representative investor values cash flows of different maturities. We model how the representative investor perceives risks of these cash flows by specifying a parsimon...
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作者：Cici, Gjergji; Gibson, Scott; Merrick, John J., Jr.
作者单位：William & Mary; University of Cologne
摘要：We study the dispersion of month-end valuations placed on identical corporate bonds by different mutual funds. Such dispersion is related to bond-specific characteristics associated with liquidity and market volatility. The Trade Reporting and Compliance Engine (TRACE) could have contributed to the general decline in dispersion over our sample period, though other factors most likely played roles. Further tests reveal marking patterns to be consistent with returns smoothing behavior by manager...
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作者：Price, Richard; Roman, Francisco J.; Rountree, Brian
作者单位：Rice University; Texas Tech University System; Texas Tech University
摘要：This study examines the influence of Mexico's efforts to improve corporate governance on firm performance and transparency. We utilize compliance data from the Code of 'Best' Corporate Practices, disclosed annually by public firms in Mexico, as a measure of corporate governance strength. We document a significant increase in compliance over 2000-2004 indicating Mexican companies view non-compliance as costly. However, we find no association between the governance index and firm performance, no...
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作者：Kapadia, Nishad
作者单位：Rice University
摘要：This paper shows that exposure to aggregate distress risk is the underlying source of the premiums for the Fama-French size (SMB) and value (HML) factors. Using a unique data set of aggregate business failures of both private and public firms from 1926 to 1997, I build portfolios that track news about future firm failures. These tracking portfolios optimally hedge aggregate distress risk and earn a Capital Asset Pricing Model (CAPM) alpha of approximately -4% a year. Both HML and SMB predict c...
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作者：Liu, Yixin; Mauer, David C.
作者单位：University of Texas System; University of Texas Dallas; University System Of New Hampshire; University of New Hampshire
摘要：We examine the effect of chief executive officer (CEO) compensation incentives on corporate cash holdings and the value of cash to better understand how compensation incentives designed to enhance the alignment of manager and shareholder interests could influence stockholder-bondholder conflicts. We find a positive relation between CEO risk-taking (vega) incentives and cash holdings, and we find a negative relation between vega and the value of cash to shareholders. The negative effect of vega...
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作者：Faleye, Olubunmi; Hoitash, Rani; Hoitash, Udi
作者单位：Northeastern University; Bentley University
摘要：We study the effects of the intensity of board monitoring on directors' effectiveness in performing their monitoring and advising duties. We find that monitoring quality improves when a majority of independent directors serve on at least two of the three principal monitoring committees. These firms exhibit greater sensitivity of CEO turnover to firm performance, lower excess executive compensation, and reduced earnings management. The improvement in monitoring quality comes at the significant ...
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作者：Yang, Wei
作者单位：University of Rochester
摘要：Durable consumption growth is persistent and predicted by the price-dividend ratio. This provides strong and direct evidence for the existence of a highly persistent expected component. Durable consumption growth is left-skewed and exhibits time-varying volatility. I model durable consumption growth as containing a persistent expected component and driven by counter-cyclical volatility, nondurable consumption as a random walk, and dividend growth as exposed to the expected component of durable...
