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作者：Griffin, John M. M.; Priest, Alex
作者单位：University of Texas System; University of Texas Austin; University of Rochester; University of Texas System; University of Texas Austin
摘要：Commercial loan valuations crucially depend on accurate loan income, but underwritten income on commercial mortgage-backed securities (CMBS) loans is commonly overstated relative to actual property income. Consistent with these differences being originator-specific, income overstatement in CMBS 2.0 deals varies widely and persistently across originators, is priced by originators, is related across property types within an originator, is predictable ex ante, and is accompanied by inflation of p...
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作者：Skrastins, Janis
作者单位：Washington University (WUSTL)
摘要：A large Brazilian agribusiness lender introduces a new contracting technology: grain warehouses. Using runner-up warehouse locations as a control group, I find that construction of these warehouses permits a new debt contract, namely, barter credit repayable in grain. This contract increases borrowers' debt capacity and reduces borrowing costs. The effects are stronger when grain price risk is higher, for municipalities with weaker courts, and for financially constrained borrowers. These findi...
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作者：Calvet, Laurent E.; Celerier, Claire; Sodini, Paolo; Vallee, Boris
作者单位：Universite Catholique de Lille; EDHEC Business School; University of Toronto; Stockholm School of Economics; Harvard University; Universite Catholique de Lille; EDHEC Business School
摘要：This paper shows that securities with nonlinear payoff designs can foster household risk-taking. We demonstrate this effect by exploiting the introduction of capital guarantee products in Sweden between 2002 and 2007. Their fast and broad adoption is associated with an increase in expected financial portfolio returns. The effect is especially strong for households with low-risk appetite ex ante. These empirical facts are consistent with a life-cycle model in which households have pessimistic b...
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作者：Henderson, Brian J.; Pearson, Neil D.; Wang, Li
作者单位：George Washington University; University of Illinois System; University of Illinois Urbana-Champaign; University System of Ohio; Case Western Reserve University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We use retail structured equity product (SEP) issuances to construct a new sentiment measure for large capitalization stocks. The SEP sentiment measure predicts negative abnormal returns on the SEP reference stocks based on a variety of factor models, and also predicts returns in Fama-MacBeth regressions that include a wide range of covariates. Consistent with our interpretation that SEP issuances reflect investor sentiment, aggregate SEP issuances are highly correlated with the Baker-Wurgler ...
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作者：Graham, John R. R.; Kim, Hyunseob; Li, Si; Qiu, Jiaping
作者单位：Duke University; Federal Reserve System - USA; Federal Reserve Bank - Chicago; Wilfrid Laurier University; McMaster University
摘要：An employee's annual earnings fall by 13% in the first full calendar year after her firm's bankruptcy, and the present value of lost earnings from bankruptcy to six years following bankruptcy is 87% of pre-bankruptcy annual earnings. More worker earnings are lost in thin labor markets and among small firms. Ex ante compensating wage differentials for this bankruptcy risk are up to 2% of firm value for a firm whose credit rating falls from AA to BBB, comparable in magnitude to debt tax benefits...
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作者：Starks, Laura T.
作者单位：University of Texas System; University of Texas Austin
摘要：In this address, I discuss differences across investor and manager motivations for considering sustainable finance-value versus values motivations-and how these differences contribute to misunderstandings about environmental, social, and governance investment approaches. The finance research community has the ability and responsibility to help clear up these misunderstandings through additional research, which I suggest.
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作者：Hanley, Kathleen Weiss
作者单位：Lehigh University
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作者：Kelly, Bryan; Palhares, Diogo; Pruitt, Seth
作者单位：Yale University; National Bureau of Economic Research; Arizona State University; Arizona State University-Tempe; Arizona State University; Arizona State University-Tempe
摘要：We propose a conditional factor model for corporate bond returns with five factors and time-varying factor loadings. We have three main empirical findings. First, our factor model excels in describing the risks and returns of corporate bonds, improving over previously proposed models in the literature by a large margin. Second, our model recommends a systematic bond investment portfolio whose high out-of-sample Sharpe ratio suggests that the credit risk premium is notably larger than previousl...
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作者：Bogousslavsky, Vincent; Collin-Dufresne, Pierre
作者单位：Boston College; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Center for Economic & Policy Research (CEPR)
摘要：We examine the dynamics of liquidity using a comprehensive sample of U.S. stocks in the post-decimalization period. Motivated by a continuous-time inventory model, we compute a high-frequency measure of order imbalance volatility to proxy for the inventory risk faced by liquidity providers. We show that high-frequency order imbalance volatility is an important driver of liquidity and explains the often positive time-series relation between spread and volume for large stocks, which seems to run...
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作者：Crouzet, Nicolas; Eberly, Janice
作者单位：Northwestern University; Northwestern University
摘要：In recent years, U.S. investment has been lackluster, despite rising valuations. Key explanations include growing rents and growing intangibles. We propose and estimate a framework to quantify their roles. The gap between valuations-reflected in average Q-and investment-reflected in marginal q-can be decomposed into three terms: the value of installed intangibles; rents generated by physical capital; and an interaction term, measuring rents generated by intangibles. The intangible related term...
