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作者：Panageas, Stavros
作者单位：University of Chicago; National Bureau of Economic Research
摘要：A firm's termination leads to bankruptcy costs. This may create an incentive for outside stakeholders or the firm's debtholders to bail out the firm as bankruptcy looms. Because of this implicit guarantee, firm shareholders have an incentive to increase volatility in order to exploit the implicit protection. However, if they increase volatility too much they may induce the guarantee-extending parties to walk away. I derive the optimal risk management rule in such a framework and show that it a...
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作者：Campello, Murillo; Graham, John R.; Harvey, Campbell R.
作者单位：Duke University; National Bureau of Economic Research; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：We survey 1,050 Chief Financial Officers (CFOs) in the U.S., Europe, and Asia to directly assess whether their firms are credit constrained during the global financial crisis of 2008. We study whether corporate spending plans differ conditional on this survey-based measure of financial constraint. Our evidence indicates that constrained firms planned deeper cuts in tech spending, employment, and capital spending. Constrained firms also burned through more cash, drew more heavily on lines of cr...
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作者：Leary, Mark T.; Roberts, Michael R.
作者单位：Cornell University; University of Pennsylvania
摘要：We quantify the empirical relevance of the pecking order hypothesis using a novel empirical model and testing strategy that addresses statistical power concerns with previous tests. While the classificatory ability of the pecking order varies significantly depending on whether one interprets the hypothesis in a strict or liberal (e.g., modified pecking order) manner, the pecking order is never able to accurately classify more than half of the observed financing decisions. However, when we expa...
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作者：Barnea, Amir; Cronqvist, Henrik; Siegel, Stephan
作者单位：University of Washington
摘要：Using data on identical and fraternal twins' complete financial portfolios, we decompose the cross-sectional variation in investor behavior. We find that a genetic factor explains about one-third of the variance in stock market participation and asset allocation. Family environment has an effect on the behavior of young individuals, but this effect is not long-lasting and disappears as an individual gains experience. Frequent contact among twins results in similar investment behavior beyond a ...
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作者：Pollet, Joshua M.; Wilson, Mungo
作者单位：Michigan State University; University of Oxford
摘要：If the Roll critique is important, changes in the variance of the stock market may be only weakly related to changes in aggregate risk and subsequent stock market excess returns. However, since individual stock returns share a common sensitivity to true market return shocks, higher aggregate risk can be revealed by higher correlation between stocks. In addition, a change in stock market variance that leaves aggregate risk unchanged can have a zero or even negative effect on the stock market ri...
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作者：Beber, Alessandro; Breedon, Francis; Buraschi, Andrea
作者单位：Imperial College London; University of Amsterdam
摘要：This paper studies the importance of heterogeneous beliefs for the dynamics of asset prices. We focus on currency markets, where the absence of short-selling constraints allows us to perform sharper tests of theoretical predictions. Using a unique data set with detailed information on foreign-exchange forecasts, we construct an empirical proxy for differences in beliefs. We show that this proxy has a strong effect on the implied volatility of currency options beyond the volatility of macroecon...
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作者：Veronesi, Pietro; Zingales, Luigi
作者单位：University of Chicago; National Bureau of Economic Research
摘要：We calculate the costs and benefits of the largest ever US government intervention in the financial sector announced during the 2008 Columbus-day weekend. We estimate that this intervention increased the value of banks' financial claims by $130 billion (bn) at a taxpayers' cost of $21-$44 billion with a net benefit between $86 and $109 bn. By looking at the limited cross section, we infer that this net benefit arises from a reduction in the probability of bankruptcy, which we estimate would de...
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作者：Patton, Andrew J.; Timmermann, Allan
作者单位：University of California System; University of California San Diego; Duke University; University of Oxford
摘要：Many theories in finance imply monotonic patterns in expected returns and other financial variables. The liquidity preference hypothesis predicts higher expected returns for bonds with longer times to maturity; the Capital Asset Pricing Model (CAPM) implies higher expected returns for stocks with higher betas; and standard asset pricing models imply that the pricing kernel is declining in market returns. The full set of implications of monotonicity is generally not exploited in empirical work,...
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作者：Hoshi, Takeo; Kashyap, Anil K.
作者单位：University of Chicago; University of California System; University of California San Diego; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：During the financial crisis that started in 2007, the U.S. government has used a variety of tools to try to rehabilitate the U.S. banking industry. Many of those strategies were also used in Japan to combat its banking problems in the 1990s. There are also a surprising number of other similarities between the current U.S. crisis and the recent Japanese crisis. The Japanese policies were only partially successful in recapitalizing the banks until the economy finally started to recover in 2003. ...
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作者：Fabbri, Daniela; Menichini, Anna Maria C.
作者单位：University of Amsterdam; University of Salerno
摘要：Assuming that firms' suppliers are better able to extract value from the liquidation of assets in default and have an information advantage over other creditors, the paper derives six predictions on the use of trade credit. (1) Financially unconstrained firms (with unused bank credit lines) take trade credit to exploit the supplier's liquidation advantage. (2) If inputs purchased on account are sufficiently liquid, the reliance on trade credit does not depend on credit rationing. (3) Firms buy...
