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作者：Jimenez, Gabriel; Salas, Vicente; Saurina, Jesus
作者单位：Banco de Espana; University of Zaragoza
摘要：We estimate a comprehensive model of the determinants of collateral in loans extended to business firms. We use a panel data on a sample of bank loans to Spanish firms from 1984 to 2002. Consistent with theories that view collateral as a solution to adverse selection problems, our results provide direct evidence of a negative association between collateral and a borrower's risk. We also present evidence on previously unexplored determinants of collateral such as credit market competition, lend...
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作者：Dell'Ariccia, G; Marquez, R
作者单位：International Monetary Fund; University System of Maryland; University of Maryland College Park
摘要：We analyze the incentives for independent bank regulators with financially integrated jurisdictions to form a regulatory union. Externalities lead competing regulators to choose suboptimally low standards. Centralized regulation, however, entails a loss of flexibility if equal standards must be applied across jurisdictions. We find that, first, centralized regulation will more likely emerge among relatively homogeneous jurisdictions/countries. Second, centralized regulation will be unanimously...
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作者：Ellis, K
作者单位：University of California System; University of California Davis
摘要：I examine the enormous trading volume in the first two days of trading following an initial public offering (IPO) with a sample of Nasdaq IPOs. The composition of trading varies widely with the initial return and not all trading is investor-related. Cold IPOs have a high proportion of interdealer sell trades, whereas hot IPOs have balanced investor buying and selling. Market makers hold zero inventory throughout trading, offsetting any investor inventory imbalance with a trade with the lead un...
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作者：Avramov, Doron; Chordia, Tarun
作者单位：University System of Maryland; University of Maryland College Park; Emory University
摘要：This paper studies whether incorporating business cycle predictors benefits a real time optimizing investor who must allocate funds across 3,123 NYSE-AMEX stocks and cash. Realized returns are positive when adjusted by the Fama-French and momentum factors as well as by the size, book-to-market, and past return characteristics. The investor optimally holds small-cap, growth, and momentum stocks and loads less (more) heavily on momentum (small-cap) stocks during recessions. Returns on individual...
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作者：Gallmeyer, Michael F.; Kaniel, Ron; Tompaidis, Stathis
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; Duke University; University of Texas System; University of Texas Austin
摘要：We study the consumption-portfolio problem in a setting with capital gain taxes and multiple risky stocks to understand how short selling influences portfolio choice with a shorting-the-box restriction. Our analysis uncovers a novel trading flexibility strategy whereby, to minimize future tax-induced trading costs, the investor optimally shorts one of the stocks (or equivalently, buys put options) even when no stock has an embedded gain. Alternatively, an imperfect form of shorting the box can...
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作者：Adam, Tim R.; Fernando, Chitru S.
作者单位：University of Oklahoma System; University of Oklahoma - Norman; Massachusetts Institute of Technology (MIT)
摘要：We document that gold mining firms have consistently realized economically significant cash flow gains from their derivatives transactions. We conclude that these cash flows have increased shareholder value since there is no evidence of an offsetting adjustment in firms' systematic risk. This finding contradicts a central assumption in the risk management literature that derivatives transactions have zero net present value, and highlights an important motive for firms to use derivatives that t...
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作者：Lerner, J
作者单位：Harvard University; National Bureau of Economic Research
摘要：The origins of financial innovations have attracted little empirical scrutiny. Using Wall Street Journal articles as an indicator, this paper examines which institutions were the key financial innovators between 1990 and 2002. The evidence suggests that smaller firms account for a disproportionate share of the innovations. Less profitable firms innovate more, though in the years subsequent to the introduction of the innovation, the profitability of the innovators increases significantly. Final...
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作者：Ahn, S; Denis, DJ; Denis, DK
作者单位：Purdue University System; Purdue University; Concordia University - Canada
摘要：Within diversified firms, the negative impact of leverage on investment is significantly greater for high q than for low q segments and significantly greater for non-core than for core segments. This differs substantially from focused firms and is consistent with the view that diversified firms allocate a disproportionate share of their debt service burden to their higher q and non-core segments. We also find that, among low-growth firms, the positive relation between leverage and firm value i...
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作者：Loh, Roger K.; Mian, G. Mujtaba
作者单位：National University of Singapore; University System of Ohio; Ohio State University; Singapore Management University
摘要：We find that analysts who issue more accurate earnings forecasts also issue more profitable stock recommendations. The average factor-adjusted return associated with the recommendations of analysts in the highest accuracy quintile exceeds the corresponding return for analysts in the lowest accuracy quintile by 1.27% per month. Our findings provide indirect empirical support for valuation models in the accounting and finance literatures (e.g., Ohlson, 1995) that emphasize the role of future ear...
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作者：Bessembinder, Hendrik; Maxwell, William; Venkataraman, Kumar
作者单位：Utah System of Higher Education; University of Utah; University of Arizona; Southern Methodist University
摘要：We develop a simple model of the effect of public transaction reporting on trade execution costs and test it using a sample of institutional trades in corporate bonds, before and after initiation of the TRACE reporting system. Trade execution costs fell approximately 50% for bonds eligible for TRACE transaction reporting, and 20% for bonds not eligible for TRACE reporting, suggesting the presence of a liquidity externality. The key results are robust to changes in variables, such as interest r...
