-
作者：Berrada, Tony; Hugonnier, Julien; Rindisbacher, Marcel
作者单位：University of Toronto; University of Lausanne; Swiss Finance Institute (SFI); University of Geneva
摘要：The representative-agent Lucas model stresses aggregate risk and hence does not allow us to study the impact of agents' heterogeneity on the dynamics of equilibrium trading volume. In this paper, we investigate under what conditions non-informational heterogeneity, i.e., differences in preferences and endowments, leads to nontrivial trading volume in equilibrium. We present a non-informational no-trade theorem that provides necessary and sufficient conditions for zero equilibrium trading volum...
-
作者：Foley, C. Fritz; Hartzell, Jay C.; Titman, Sheridan; Twite, Garry
作者单位：University of Texas System; University of Texas Austin; Harvard University; Australian National University
摘要：US corporations hold significant amounts of cash on their balance sheets. This paper develops and tests the hypothesis that the magnitude of US multinational cash holdings are, in part, a consequence of the tax costs associated with repatriating foreign income. Consistent with this hypothesis, firms facing higher repatriation taxes hold higher levels of cash, hold this cash abroad, and hold this cash in affiliates that trigger high tax costs when repatriating earnings. In addition, less financ...
-
作者：Durham, Garland B.
作者单位：University of Colorado System; University of Colorado Boulder
摘要：Understanding both the dynamics of volatility and the shape of the distribution of returns conditional on the volatility state is important for many financial applications. A simple single-factor stochastic volatility model appears to be sufficient to capture most of the dynamics. It is the shape of the conditional distribution that is the problem. This paper examines the idea of modeling this distribution as a discrete mixture of normals. The flexibility of this class of distributions provide...
-
作者：Inderst, Roman; Mueller, Holger M.
作者单位：New York University; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK
摘要：We consider an imperfectly competitive loan market in which a local relationship lender has an information advantage vis--vis distant transaction lenders. Competitive pressure from the transaction lenders prevents the local lender from extracting the full surplus from projects. As a result, the local lender inefficiently rejects marginally profitable projects. Collateral mitigates the inefficiency by increasing the local lender's payoff from precisely those marginally profitable projects that ...
-
作者：Dittmar, Amy; Mahrt-Smith, Jan
作者单位：University of Michigan System; University of Michigan; University of Toronto
摘要：We investigate how corporate governance impacts firm value by comparing the value and use of cash holdings in poorly and well-governed firms. We show that governance has a substantial impact on value through its impact on cash: $1.00 of cash in a poorly governed firm is valued at only $0.42 to $0.88. Good governance approximately doubles this value. Furthermore, we show that firms with poor corporate governance dissipate cash quickly in ways that significantly reduce operating performance. Thi...
-
作者：Chava, Sudheer; Purnanandam, Amiyatosh
作者单位：University of Michigan System; University of Michigan; Texas A&M University System; Texas A&M University College Station; Mays Business School
摘要：We analyze the effects of managerial incentive, firm characteristics and market timing on floating-to-fixed rate debt structure of firms. We find that chief financial officer's (CFO's), not chief executive officer's (CEO's), incentive has a strong influence on firm's debt structure. When CFOs have incentives to increase (decrease) firm risk, firms obtain volatility-increasing (-decreasing) debt structure. These effects are present only for CFOs who are not subject to high monitoring by board m...
-
作者：Desai, Mihir A.; Dyck, Alexander; Zingales, Luigi
作者单位：University of Chicago; University of Toronto; Harvard University
摘要：This paper analyzes the interaction between corporate taxes and corporate governance. We show that the design of the corporate tax system affects the amount of private benefits extracted by company insiders and that the quality of the corporate governance system affects the sensitivity of tax revenues to tax changes. Analyses of a tax enforcement crackdown in Russia and cross-country data on tax changes support this two-way interaction between corporate governance and corporate taxation. (c) 2...
-
作者：Duffie, Darrell; Saita, Leandro; Wang, Ke
作者单位：Stanford University
摘要：We provide maximum likelihood estimators of term structures of conditional probabilities of corporate default, incorporating the dynamics of firm-specific and macroeconomic covariates. For US Industrial firms, based on over 390,000 firm-months of data spanning 1980 to 2004, the term structure of conditional future default probabilities depends on a firm's distance to default (a volatility-adjusted measure of leverage), on the firm's trailing stock return, on trailing S&P 500 returns, and on US...
-
作者：Piazzesi, Monika; Schneider, Martin; Tuzel, Selale
作者单位：University of Chicago; New York University; University of Southern California
摘要：This paper considers a consumption-based asset pricing model where housing is explicitly modeled both as an asset and as a consumption good. Nonseparable preferences describe households' concern with composition risk, that is, fluctuations in the relative share of housing in their consumption basket. Since the housing share moves slowly, a concern with composition risk induces low frequency movements in stock prices that are not driven by news about cash flow. Moreover, the model predicts that...
-
作者：Gan, Jie
作者单位：Hong Kong University of Science & Technology
摘要：This paper examines how a shock to collateral value influences firms' debt capacities and investments. Using a source of exogenous variation in collateral value provided by the land market collapse in Japan, I find that collateral has a statistically and economically significant impact on corporate investments. I also provide direct evidence on the workings of such a collateral channel. Exploiting a unique dataset of matched bank-firm lending, I show that firms with greater collateral losses a...
