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作者：Jorion, Philippe; Zhang, Gaiyan
作者单位：University of California System; University of California Irvine; University of Missouri System; University of Missouri Saint Louis
摘要：This study examines the intra-industry information transfer effect of credit events, as captured in the credit default swaps (CDS) and stock markets. Positive correlations across CDS spreads imply that contagion effects dominate, whereas negative correlations indicate competition effects. We find strong evidence of contagion effects for Chapter 11 bankruptcies and competition effects for Chapter 7 bankruptcies. We also introduce a purely unanticipated event, in the form of a large jump in a co...
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作者：Jiang, George J.; Yao, Tong; Yu, Tong
作者单位：University of Arizona; University of Rhode Island
摘要：Previous research finds insignificant market-timing ability for mutual funds using tests based on fund returns. The return-based tests, however, are subject to the artificial timing bias. In this paper, we propose and implement new measures of market timing based on mutual fund holdings. Our holdings-based measures do not suffer from the artificial timing bias. We find that, on average, actively managed U.S. domestic equity funds have positive timing ability. Market timing funds use non-public...
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作者：Bergman, Nittai K.; Nicolaievsky, Daniel
作者单位：Massachusetts Institute of Technology (MIT)
摘要：The corporate charters of a sample of Mexican firms show that private firms often significantly enhance the legal protection offered to investors, but public firms rarely do so. We construct a model that endogenizes the degree of investor protection that firms provide, using as a springboard the assumption that legal regimes differ in their ability to enforce precisely filtering contracts that provide protection only in those cases where expropriation can occur. Our model generates predictions...
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作者：Do, Quy-Toan; Levchenko, Andrei A.
作者单位：International Monetary Fund; The World Bank
摘要：This paper analyzes the effect of comparative advantage in international trade on a country's level of financial development. Countries with comparative advantage in financially intensive goods experience a higher demand for external finance, and therefore financial development. By contrast, financial development is lower in countries that primarily export goods which do not rely on external finance. We use disaggregated trade data to develop a measure of a country's external finance need of e...
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作者：Bergman, Nittai K.; Jenter, Dirk
作者单位：Massachusetts Institute of Technology (MIT)
摘要：The use of equity-based compensation for rank-and-file employees is a puzzle. We analyze whether the popularity of option compensation may be driven by employee optimism, and show that optimism by itself is insufficient to make option compensation optimal. The crucial insight is that firms compete with financial markets as suppliers of equity to employees and that employees' access to the equity market restricts firms' ability to profit from employee optimism. Firms must be able to extract som...
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作者：Kalay, Avner; Singhal, Rajeev; Tashjian, Elizabeth
作者单位：Utah System of Higher Education; University of Utah; Tel Aviv University; Oakland University
摘要：We examine a sample of 459 firms filing for Chapter 11 during the period 1991-1998 and find that our sample firms experience significant improvements in their operating performance during Chapter 11. Our evidence is consistent with the hypothesis that Chapter 11, if anything, provides net benefits to bankrupt firms. In the cross section, firms with higher debt ratios experience greater improvements in operating performance, and the complexity of the renegotiation process negatively affects the...
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作者：Bartram, Soehnke M.; Brown, Gregory W.; Hund, John E.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Lancaster University; University of Texas System; University of Texas Austin
摘要：This paper develops three distinct methods to quantify the risk of a systemic failure in the global banking system. We examine a sample of 334 banks (representing 80% of global bank equity) in 28 countries around five global financial crises. Our results suggest statistically significant, but economically small, increases in systemic risk. Although policy responses are endogenous, the low estimated probabilities suggest that the distress of central bankers, regulators and politicians about the...
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作者：Kerins, Frank; Kutsuna, Kenji; Smith, Richard
作者单位：Montana State University System; Montana State University Bozeman; Kobe University; Claremont Colleges; Claremont Graduate University
摘要：We document discretionary underpricing and partial adjustment of IPO prices in the public offer tranche of Japan's hybrid auction regime, in which investor information differences are not important, there are no roadshows, preferential allocations are negligible, institutional investing is low, and the public offer tranche cannot fail. The magnitude and variation of underpricing in our sample, which spans relatively hot and cold markets, are similar to those reported for US IPOs. The evidence ...
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作者：Miao, Jianjun; Wang, Neng
作者单位：Columbia University; National Bureau of Economic Research; Boston University; Hong Kong University of Science & Technology
摘要：Entrepreneurs often face undiversifiable idiosyncratic risks from their business investments. We extend the standard real options approach to an incomplete markets environment and analyze the joint decisions of business investments, consumption/savings, and portfolio selection. For a lumpsum investment payoff and an agent with a sufficiently strong precautionary savings motive, an increase in volatility can accelerate investment, contrary to the standard real options analysis. When the agent c...
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作者：Gopalan, Radhakrishnan; Nanda, Vikram; Seru, Amit
作者单位：Arizona State University; Arizona State University-Tempe; Washington University (WUSTL); University of Chicago
摘要：We investigate the functioning of internal capital markets in Indian Business Groups. We document that intragroup loans are an important means of transferring cash across group firms and are typically used to support financially weaker firms. Evidence suggests that an important reason for providing support may be to avoid default by a group firm and consequent negative spillovers to the rest of the group. Consistent with such spillovers, the first bankruptcy in a group is followed by significa...
