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作者：Kristensen, Dennis; Mele, Antonio
作者单位：University of London; London School Economics & Political Science; Columbia University
摘要：We develop a new approach to approximating asset prices in the context of continuous-time models. For any pricing model that lacks a closed-form solution, we provide a closed-form approximate solution, which relies on the expansion of the intractable model around an auxiliary one. We derive an expression for the difference between the true (but unknown) price and the auxiliary one, which we approximate in closed-form, and use to create increasingly improved refinements to the initial mispricin...
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作者：Brav, Alon; Mathews, Richmond D.
作者单位：Duke University
摘要：We model corporate voting outcomes when an informed trader, such as a hedge fund, can establish separate positions in a firm's shares and votes (empty voting). The positions are separated by borrowing shares on the record date, hedging economic exposure, or trading between record and voting dates. We find that the trader's presence can improve efficiency overall despite the fact that it sometimes ends up selling to a net short position and then voting to decrease firm value. An efficiency impr...
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作者：Boucly, Quentin; Sraer, David; Thesmar, David
作者单位：Princeton University; Hautes Etudes Commerciales (HEC) Paris
摘要：Using a data set of 839 French deals, we look at the change in corporate behavior following a leveraged buyout (LBO) relative to an adequately chosen control group. In the 3 years following a leveraged buyout, targets become more profitable, grow much faster than their peer group, issue additional debt, and increase capital expenditures. We then provide evidence consistent with the idea that in our sample, private equity funds create value by relaxing credit constraints, allowing LBO targets t...
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作者：Fecht, Falko; Nyborg, Kjell G.; Rocholl, Joerg
作者单位：Swiss Finance Institute (SFI); University of Zurich
摘要：We study the prices that individual banks pay for liquidity (captured by borrowing rates in repos with the central bank and benchmarked by the overnight index swap) as a function of market conditions and bank characteristics. These prices depend in particular on the distribution of liquidity across banks, which is calculated over time using individual bank-level data on reserve requirements and actual holdings. Banks pay more for liquidity when positions are more imbalanced across banks, consi...
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作者：Kim, E. Han; Lu, Yao
作者单位：University of Michigan System; University of Michigan; Tsinghua University
摘要：This paper shows the relation between CEO ownership and firm valuation hinges critically on the strength of external governance (EG). The relation is hump-shaped when EG is weak, but is insignificant when EG is strong. The results imply that CEO ownership and EG are substitutes for mitigating agency problems when ownership is low. However, very high levels of share ownership can reduce firm value by entrenching the CEO and discouraging him from taking risk, unless mitigated by strong EG. We id...
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作者：Lin, Chen; Ma, Yue; Xuan, Yuhai
作者单位：Harvard University; Chinese University of Hong Kong; Lingnan University
摘要：This article examines the impact of the divergence between corporate insiders' control rights and cash-flow rights on firms' external finance constraints via generalized method of moments estimation of an investment Euler equation. Using a large sample of U.S. firms during the 1994-2002 period, we find that the shadow value of external funds is significantly higher for companies with a wider insider control-ownership divergence, suggesting that companies whose corporate insiders have larger ex...
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作者：Benmelech, Efraim; Bergman, Nittai K.
作者单位：Harvard University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We provide novel evidence linking the level of creditor protection provided by law to the degree of usage of technologically older, vintage capital in the airline industry. Using a panel of aircraft-level data around the world, we find that better creditor rights are associated with both aircraft of a younger vintage and newer technology, as well as firms with larger aircraft fleets. We propose that by mitigating financial shortfalls, enhanced legal protection of creditors facilitates the abil...
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作者：Li, Feng; Srinivasan, Suraj
作者单位：University of Michigan System; University of Michigan; Harvard University
摘要：We examine chief executive officer (CEO) compensation, CEO retention policies, and mergers and acquisition (M&A) decisions in firms in which founders serve as a director with a nonfounder CEO (founder-director firms). We find that founder-director firms offer a different mix of incentives to their CEOs than other firms. Pay-for-performance sensitivity for nonfounder CEOs in founder-director firms is higher and the level of pay is lower than that of other CEOs. CEO turnover sensitivity to firm ...
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作者：Morck, Randall; Yavuz, M. Deniz; Yeung, Bernard
作者单位：Purdue University System; Purdue University; University of Alberta; National University of Singapore; Washington University (WUSTL); Arizona State University; Arizona State University-Tempe
摘要：We observe less efficient capital allocation in countries whose banking systems are more thoroughly controlled by tycoons or families. The magnitude of this effect is similar to that of state control over banking. Unlike state control, tycoon or family control also correlates with slower economic and productivity growth, greater financial instability, and worse income inequality. These findings are consistent with theories that elite-capture of a country's financial system can embed crony capi...
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作者：Ibragimov, Rustam; Jaffee, Dwight; Walden, Johan
作者单位：University of California System; University of California Berkeley; Harvard University
摘要：The recent financial crisis has revealed significant externalities and systemic risks that arise from the interconnectedness of financial intermediaries' risk portfolios. We develop a model in which the negative externality arises because intermediaries' actions to diversify that are optimal for individual intermediaries may prove to be suboptimal for society. We show that the externality depends critically on the distributional properties of the risks. The optimal social outcome involves less...
