-
作者：Diamond, William
作者单位：University of Pennsylvania
摘要：This paper studies how a financial system that is organized to efficiently create safe assets responds to macroeconomic shocks. Financial intermediaries face a cost of bearing risk, so they choose the least risky portfolio that backs their issuance of riskless deposits: a diversified pool of nonfinancial firms' debt. Nonfinancial firms choose their capital structure to exploit the resulting segmentation between debt and equity markets. Increased safe asset demand yields larger and riskier inte...
-
作者：Daley, Brendan; Green, Brett; Vanasco, Victoria
作者单位：Johns Hopkins University; Washington University (WUSTL); Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI); Barcelona School of Economics
摘要：We develop a framework to explore the effect of credit ratings on loan origination. We show that ratings endogenously shift the economy from a signaling equilibrium, in which banks inefficiently retain loans to signal quality, toward an originate-to-distribute equilibrium with zero retention and inefficiently low lending standards. Ratings increase overall efficiency, provided that the reduction in costly retention more than compensates for the origination of some negative net present value lo...
-
作者：Iliev, Peter; Lowry, Michelle
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Drexel University
摘要：Contrary to conventional wisdom, we document that approximately 15% of venture capitalist (VC)-backed firms raise additional capital from VCs in the five years after going public. We propose two explanations for why firms revert to VC financing post-IPO (initial public offering). First, we hypothesize that VC participation in post-IPO financing represents an efficient solution to informational problems that would otherwise constrain firms' abilities to exploit value-increasing investments. Ana...
-
作者：Rampini, Adriano A.; Viswanathan, S.; Vuillemey, Guillaume
作者单位：Duke University; Hautes Etudes Commerciales (HEC) Paris
摘要：We study risk management in financial institutions using data on hedging of interest rate and foreign exchange risk. We find strong evidence that institutions with higher net worth hedge more, controlling for risk exposures, across institutions and within institutions over time. For identification, we exploit net worth shocks resulting from loan losses due to declines in house prices. Institutions that sustain such shocks reduce hedging significantly relative to otherwise-similar institutions....
-
作者：Hartman-Glaser, Barney; Hebert, Benjamin
作者单位：University of California System; University of California Los Angeles; Stanford University; National Bureau of Economic Research
摘要：We model the widespread failure of contracts to share risk using available indices. A borrower and lender can share risk by conditioning repayments on an index. The lender has private information about the ability of this index to measure the true state that the borrower would like to hedge. The lender is risk-averse and thus requires a premium to insure the borrower. The borrower, however, might be paying something for nothing if the index is a poor measure of the true state. We provide suffi...
-
作者：Kostovetsky, Leonard; Warner, Jerold B.
作者单位：Boston College; University of Rochester
摘要：We study innovation and product differentiation using a uniqueness measure based on textual analysis of prospectuses. We find that small and start-up families have higher start rates than larger families, and their products are more unique. Unique strategies attract more inflows in the first three years, and investors respond more to text-based uniqueness than other measures such as holdings or returns uniqueness. For established funds, word uniqueness has weak negative power for explaining re...
-
作者：Crane, Alan; Crotty, Kevin
作者单位：Rice University
摘要：The majority of security analysts are identified as skilled when the cross-section of analyst performance is modeled as a mixture of multiple skill distributions. Analysts exhibit heterogeneous skill-some are high-type, and some are low-type. On average, the recommendation revisions of both types exhibit positive abnormal returns. The heterogeneity stems from differential ability to produce new information; all analysts can profitably process news. Top analysts outperform because more of their...
-
作者：Carr, Peter; Wu, Liuren
作者单位：New York University; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：This paper develops a new top-down valuation framework that links the pricing of an option investment to its daily profit and loss attribution. The framework uses the Black-Merton-Scholes option pricing formula to attribute the short-term option investment risk to variation in the underlying security price and the option's implied volatility. Taking risk-neutral expectation and demanding no dynamic arbitrage result in a pricing relation that links an option's fair implied volatility level to t...
-
作者：Chernov, Mikhail; Schmid, Lukas; Schneider, Andres
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research; Centre for Economic Policy Research - UK; University of Southern California; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Premiums on U.S. sovereign credit default swaps (CDS) have risen to persistently elevated levels since the financial crisis. We examine whether these premiums reflect the probability of a fiscal default-a state in which a balanced budget can no longer be restored by raising taxes or eroding the real value of debt by increasing inflation. We develop an equilibrium macrofinance model in which the fiscal and monetary policy stances jointly endogenously determine nominal debt, taxes, inflation, an...
-
作者：Pettenuzzo, Davide; Sabbatucci, Riccardo; Timmermann, Allan
作者单位：Brandeis University; Stockholm School of Economics; University of California System; University of California San Diego
摘要：We develop a new approach to modeling dynamics in cash flows extracted from daily firm-level dividend announcements. We decompose daily cash flow news into a persistent component, jumps, and temporary shocks. Empirically, we find that the persistent cash flow component is a highly significant predictor of future growth in dividends and consumption. Using a log-linearized present value model, we show that news about the persistent dividend growth component predicts stock returns consistent with...
