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作者：Schwert, Michael
作者单位：University of Pennsylvania
摘要：This paper investigates the pricing of bank loans relative to capital market debt. The analysis uses a novel sample of loans matched with bond spreads from the same firm on the same date. After accounting for seniority, lenders earn a large premium relative to the bond-implied credit spread. In a sample of secured term loans to noninvestment-grade firms, the average premium is 140 to 170 bps or about half of the all-in-drawn spread. This is the first direct evidence of firms' willingness to pa...
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作者：Nagel, Stefan
作者单位：University of Chicago
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作者：Mian, Atif; Sufi, Amir; Verner, Emil
作者单位：Princeton University; National Bureau of Economic Research; University of Chicago; Massachusetts Institute of Technology (MIT)
摘要：Credit supply expansion can affect an economy by increasing productive capacity or by boosting household demand. In this study, we develop a test to determine if the household demand channel is present, and we implement the test using both a natural experiment in the United States in the 1980s and an international panel of 56 countries over the last several decades. Consistent with the importance of the household demand channel, we find that credit supply expansion boosts nontradable sector em...
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作者：Hennessy, Christopher A.; Strebulaev, Ilya A.
作者单位：Centre for Economic Policy Research - UK; University of London; London Business School; University of London; London Business School; Stanford University; National Bureau of Economic Research
摘要：We derive analytical relationships between shock responses and theory-implied causal effects (comparative statics) in dynamic settings with linear profits and linear-quadratic stock accumulation costs. For permanent profitability shocks, responses can have incorrect signs, undershoot, or overshoot depending on the size and sign of realized changes. For profitability shocks that are i.i.d., uniformly distributed, binary, or unanticipated and temporary, there is attenuation bias, which exceeds 5...
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作者：Peress, Joel; Schmidt, Daniel
作者单位：INSEAD Business School; Hautes Etudes Commerciales (HEC) Paris
摘要：In this paper, we study the impact of noise traders' limited attention on financial markets. Specifically, we exploit episodes of sensational news (exogenous to the market) that distract noise traders. We find that on distraction days, trading activity, liquidity, and volatility decrease, and prices reverse less among stocks owned predominantly by noise traders. These outcomes contrast sharply with those due to the inattention of informed speculators and market makers, and are consistent with ...
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作者：Schallheim, Jim
作者单位：Utah System of Higher Education; University of Utah
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作者：Chang, Briana; Szydlowski, Martin
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Minnesota System; University of Minnesota Twin Cities
摘要：We present a model of the market for advice in which advisers have conflicts of interest and compete for heterogeneous customers through information provision. The competitive equilibrium features information dispersion and partial disclosure. Although conflicted fees lead to distorted information, they are irrelevant for customers' welfare: banning conflicted fees improves only the information quality, not customers' welfare. Instead, financial literacy education for the least informed custom...
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作者：Sialm, Clemens; Zhang, Hanjiang
作者单位：University of Texas System; University of Texas Austin; National Bureau of Economic Research; Washington State University
摘要：We investigate the relation between tax burdens and mutual fund performance from both a theoretical and an empirical perspective. The theoretical model introduces heterogeneous tax clienteles in an environment with decreasing returns to scale and shows that the equilibrium performance of mutual funds depends on the size of the tax clienteles. Our empirical results show that the performance of U.S. equity mutual funds is related to their tax burdens. We find that tax-efficient funds exhibit not...
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作者：Schallheim, Jim
作者单位：Utah System of Higher Education; University of Utah
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作者：Hendershott, Terrence; Li, Dan; Livdan, Dmitry; Schuerhoff, Norman
作者单位：University of California System; University of California Berkeley; Federal Reserve System - USA; University of Lausanne; University of Lausanne; Swiss Finance Institute (SFI)
摘要：We examine the network of trading relationships between insurers and dealers in the over-the-counter (OTC) corporate bond market. Regulatory data show that one-third of insurers use a single dealer, whereas other insurers have large dealer networks. Execution prices are nonmonotone in network size, initially declining with more dealers but increasing once networks exceed 20 dealers. A model of decentralized trade in which insurers trade off the benefits of repeat business and faster execution ...
