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作者：Bizjak, John M.; Kalpathy, Swaminathan L.; Mihov, Vassil T.; Ren, Jue
作者单位：Texas Christian University
摘要：Maintaining economic output during the COVID-19 pandemic results in benefits for firm shareholders but comes at a potential cost to public health. Using store-level data, we examine how a CEO's political leaning impacts this trade-off. We document that firms with a Republican-leaning CEO experience a relative increase in store visits compared to firms with a Democratic-leaning CEO. The increase in store visits is associated with higher sales and positive abnormal stock returns. However, we als...
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作者：Dennis, Patrick; Gerardi, Kristopher; Schenone, Carola
作者单位：University of Virginia; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
摘要：Institutions often own equity in multiple firms that compete in the same product market. Prior research has shown that these institutional common owners induce anticompetitive pricing behavior in the airline industry. This paper reevaluates this evidence and shows that the documented positive correlation between common ownership and airline ticket prices stems from the market share component of the common ownership measure, and not the ownership and control components. We further show that the...
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作者：Nawalkha, Sanjay K.; Zhuo, Xiaoyang
作者单位：University of Massachusetts System; University of Massachusetts Amherst; Beijing Institute of Technology
摘要：This paper introduces a dynamic change of measure approach for computing analytical solutions of expected future prices (and therefore, expected returns) of contingent claims over a finite horizon. The new approach constructs hybrid probability measures called equivalent expectation measures (EEMs) that provide the physical expectation of the claim's future price before the horizon date, and serve as pricing measures on or after the horizon date. The EEM theory can be used for empirical invest...
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作者：Xu, Qiping; Zwick, E.
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作者：Dick-Nielsen, Jens; Gyntelberg, Jacob; Thimsen, Christoffer
作者单位：Copenhagen Business School; Danish Finance Institute; Aarhus University
摘要：We extract cost of capital measures for banks using analyst earnings forecasts, which we show are unbiased. We find that the cost of equity and the cost of debt decrease in the Tier 1 ratio, whereas total cost of capital is uncorrelated with the Tier 1 ratio. These findings suggest that investors adjust their return expectations for banks in accordance with the Modigliani-Miller conservation-of-risk principle. Hence, increased capital requirements are not made socially costly based on a notion...
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作者：Falato, Antonio; Kadyrzhanova, Dalida; Sim, Jae; Steri, Roberto
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Luxembourg
摘要：This paper explores the connection between rising intangible capital and the secular upward trend in U.S. corporate cash holdings. We calibrate a dynamic model with two productive assets-tangible and intangible capital-in which only tangible capital can serve as collateral. We highlight the following points: (i) a shift toward intangible capital shrinks firms' debt capacity and leads them to hold more cash, (ii) the effect accounts for three-quarters of the observed trend in average cash ratio...
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作者：Rebelo, Sergio; Wang, Neng; Yang, Jinqiang
作者单位：Northwestern University; National Bureau of Economic Research; Columbia University; Shanghai Institute of International Finance & Economics
摘要：We propose a model of sovereign debt in which countries vary in their level of financial development, defined as the extent to which they can issue debt denominated in domestic currency in international capital markets. We show that low levels of financial development generate the debt intolerance phenomenon that plagues emerging markets: it reduces overall debt capacity, increases credit spreads, and limits the country's ability to smooth consumption.
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作者：GOLDSTEIN, I. T. A. Y.; YANG, L. I. Y. A. N.
作者单位：University of Pennsylvania; University of Toronto; Peking University
摘要：We provide a model to understand the effects of commodity futures financialization on various market variables. We distinguish between financial speculators and financial hedgers and study their separate and combined effects on the informativeness of futures prices, the futures price bias, the comovement of futures prices with other markets, and the predictiveness of financial trading. We capture the interactions between commodity futures financialization and the real economy through spot pric...
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作者：Schoenherr, David; Starmans, Jan
作者单位：Princeton University; Stockholm School of Economics
摘要：We examine how creditor protection affects firms with different levels of owners' and managers' personal costs of bankruptcy (PCB). Theoretically, we show that firms with high PCB borrow and invest more under a more debtor-friendly management stay system, whereas firms with low PCB borrow and invest more under a more creditor-friendly receivership system. Intuitively, stronger creditor protection relaxes financial constraints but reduces credit demand. Which effect dominates depends on owners'...
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作者：Jin, Dunhong; Noe, Thomas
作者单位：University of Hong Kong; University of Oxford
摘要：The rewards received by financial managers depend on both relative performance (e.g., fund inflows based on fund rankings, promotions based on peer comparisons) and absolute performance (e.g., bonus payments for meeting accounting targets, hedge-fund incentive fees). Both relative and absolute performance rewards engender risk-taking. In this paper, we show that these two sources of risk-taking, relative and absolute performance rewards, mitigate the risk-taking incentives produced by the othe...
