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作者：Flanagan, Thomas
作者单位：University System of Ohio; Ohio State University
摘要：Using a novel data set of realized syndicated loan cash flows and a risk-adjustment methodology adapted from the private equity literature, I provide a measure of risk-adjusted returns for bank loan cash flows. Banks, on average, generate 180 basis points in gross risk-adjusted returns and add $75 million of value annually to their loan portfolios. Banks earn higher returns when they lend to financially constrained borrowers, and the risk-adjusted performance of bank loan portfolios exhibits p...
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作者：Di Maggio, Marco; Ma, Angela; Williams, Emily
作者单位：Imperial College London; Boston College; Harvard University
摘要：The reordering of transactions from high-to-low is a controversial bank practice thought to maximize fees paid by low-income customers on overdrawn accounts. We exploit a series of class-action lawsuits that mandated that some banks cease the practice. Using alternative credit bureau data, we find that after banks cease high-to-low reordering, low-income individuals reduce payday borrowing, increase consumption, realize long-term improvements in financial health, and gain access to lower-cost ...
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作者：Custodio, Claudia; Mendes, Diogo; Metzger, Daniel
作者单位：Imperial College London; Centre for Economic Policy Research - UK; European Corporate Governance Institute; Stockholm School of Economics; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We study the impact of an MBA-style executive education course in finance on corporate policies and firm performance targeting top managers of medium and large Mozambican enterprises. Using a randomized controlled trial, we find that the educational treatment induces changes in financial policies that improve firm performance. Specifically, a reduction in working capital (0.4 to 0.5 standard deviations) increases cash flow, and in turn long-term investments. This effect operates primarily thro...
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作者：Francke, Marc; Korevaar, Matthijs
作者单位：University of Amsterdam; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：Based on centuries of data, we demonstrate that demographics have been a major, predictable driver of house prices. High birth rates 25 to 29 (60 to 64) years ago predict declining (rising) rent-price ratios today. This pattern arises from age-concentrated entry into and exit from homeownership affecting house prices, rather than changes in housing consumption that could also impact rents. We provide evidence for possible mechanisms: slow responses of other market participants to shifts in hom...
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作者：Chemla, Gilles; Rivera, Alejandro; Shi, Liyan
作者单位：Imperial College London; Centre National de la Recherche Scientifique (CNRS); Centre for Economic Policy Research - UK; University of Texas System; University of Texas Dallas; Carnegie Mellon University
摘要：We examine executive compensation in a general equilibrium model with dynamic moral hazard, where executives' outside options are endogenously determined by equilibrium market compensation. Firms provide incentives through compensation packages featuring deferred payments as carrots and termination as sticks. Crucially, the effectiveness of termination as an incentive device is undermined by the outside options available to executives. As individual firms fail to internalize the effect of thei...
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作者：Kalmenovitz, Joseph; Lowry, Michelle; Volkova, Ekaterina
作者单位：University of Rochester; Drexel University; University of Melbourne
摘要：Regulatory fragmentation occurs when multiple federal agencies oversee a single issue. Using the full text of the Federal Register, the government's official daily publication, we provide the first systematic evidence on the extent and costs of regulatory fragmentation. Fragmentation increases the firm's costs while lowering its productivity, profitability, and growth. Moreover, it deters entry into an industry and increases the propensity of small firms to exit. These effects arise from redun...
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作者：Hoffmann, Florian; Vladimirov, Vladimir
作者单位：University of Amsterdam
摘要：We investigate a seller's strategic choice between optimally structured negotiations with fewer bidders and an auction with more competing bidders when payments can have a contingent component, as is common in mergers and acquisitions (M&A), patent licensing, and employee compensation. The key factor favoring negotiations is that it allows the seller to set her preferred payment structure-that is, the revenue-maximizing mix of cash and contingent pay; reserve prices are of secondary importance...
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作者：Hirshleifer, David; Mai, Dat; Pukthuanthong, Kuntara
作者单位：University of Southern California; University of Missouri System; University of Missouri Columbia
摘要：A war-related factor model derived from textual analysis of media news reports explains the cross section of expected stock returns. Using a semisupervised topic model to extract discourse topics from 7,000,000 New York Times stories spanning 160 years, the war factor predicts the cross section of returns across test assets derived from both traditional and machine learning construction techniques, and spanning 138 anomalies. Our findings are consistent with assets that are good hedges for war...
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作者：Parlatore, Cecilia; Philippon, Thomas
作者单位：New York University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
摘要：We study the optimal design of stress scenarios. A principal manages the unknown risk exposures of agents by asking them to report losses under hypothetical scenarios before taking remedial actions. We apply a Kalman filter to solve the learning problem, and we relate the optimal design to the risk environment, the principal's preferences, and available interventions. In a banking context, optimal capital requirements cover losses under an adverse scenario, while targeted interventions depend ...
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作者：Cakici, Nusret; Fieberg, Christian; Neumaier, Tobias; Poddig, Thorsten; Zaremba, Adam
作者单位：Fordham University; Bremen University of Applied Sciences; University of Luxembourg; Concordia University - Canada; University of Bremen; Poznan University of Economics & Business; Monash University
摘要：Farmer, Schmidt, and Timmermann (FST) document time-variation in market return predictability, identifying pockets of significant predictability through kernel regressions. However, our analysis reveals a critical discrepancy between the method outlined by FST and the code actually implemented. Instead of using a one-sided kernel, which guarantees out-of-sample forecasts, they perform in-sample estimation with a two-sided kernel. As a result, future information leaks into the forecasting model...
