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作者：Atanasov, Victoria; Moller, Stig V.; Priestley, Richard
作者单位：University of Mannheim; Aarhus University; CREATES; Danish Finance Institute; BI Norwegian Business School
摘要：This paper introduces a novel consumption-based variable, cyclical consumption, and examines its predictive properties for stock returns. Future expected stock returns are high (low) when aggregate consumption falls (rises) relative to its trend and marginal utility from current consumption is high (low). We show that the empirical evidence ties consumption decisions of agents to time variation in returns in a manner consistent with asset pricing models based on external habit formation. The p...
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作者：Xiao, Yizhou
作者单位：Chinese University of Hong Kong
摘要：I examine the possibility of information-based trading in a multiperiod consumption setting. I develop a necessary and sufficient condition for trade to occur. Intertemporal substitution introduces a desire to correlate current consumption with future aggregate shocks. When agents have heterogeneous time-inseparable preferences, information differentially affects relative preferences for current and future consumption, making information-based trading mutually acceptable. The no-trade result c...
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作者：Bahaj, Saleem; Malherbe, Frederic
作者单位：University of London; University College London
摘要：Government guarantees generate an implicit subsidy for banks. A capital requirement reduces this subsidy, through a simple liability composition effect. However, the guarantees also make a bank undervalue loans that generates surplus in states of the world in which it defaults. Raising the capital requirement makes the bank safer, which alleviates this problem. We refer to this mechanism, which we argue is empirically relevant, as theforced safety effect.
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作者：Cunat, Vicente; Gine, Mireia; Guadalupe, Maria
作者单位：University of Pennsylvania; University of Navarra; IESE Business School; INSEAD Business School
摘要：We study the effects of anti-takeover provisions (ATPs) on the takeover probability, the takeover premium, and target selection. Voting to remove an ATP increases both the takeover probability and the takeover premium, that is, there is no evidence of a trade-off between premiums and takeover probabilities. We provide causal estimates based on shareholder proposals to remove ATPs and address the endogenous selection of targets through bounding techniques. The positive premium effect in less pr...
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作者：Bennedsen, Morten; Perez-Gonzalez, Francisco; Wolfenzon, Daniel
作者单位：University of Copenhagen; INSEAD Business School; Columbia University
摘要：Using variation in firms' exposure to their CEOs resulting from hospitalization, we estimate the effect of chief executive officers (CEOs) on firm policies, holding firm-CEO matches constant. We document three main findings. First, CEOs have a significant effect on profitability and investment. Second, CEO effects are larger for younger CEOs, in growing and family-controlled firms, and in human-capital-intensive industries. Third, CEOs are unique: the hospitalization of other senior executives...
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作者：Chen, Hui; Michaux, Michael; Roussanov, Nikolai
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; University of Southern California; University of Pennsylvania
摘要：Mortgage refinancing activity associated with extraction of home equity contains a strongly countercyclical component consistent with household demand for liquidity. We estimate a structural model of liquidity management featuring countercyclical idiosyncratic labor income uncertainty, long- and short-term mortgages, and realistic borrowing constraints. We empirically evaluate its predictions for households' choices of leverage, liquid assets, and mortgage refinancing using microlevel data. Ta...
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作者：Diamond, Douglas W.; Hu, Yunzhi; Rajan, Raghuram G.
作者单位：National Bureau of Economic Research; University of North Carolina; University of North Carolina Chapel Hill
摘要：Why do firms choose high debt when they anticipate high valuations, and underperform subsequently? We propose a theory of financing cycles where the importance of creditors' control rights over cash flows (pledgeability) varies with industry liquidity. The market allows firms take on more debt when they anticipate higher future liquidity. However, both high anticipated liquidity and the resulting high debt limit their incentives to enhance pledgeability. This has prolonged adverse effects in a...
