-
作者：Garmaise, Mark J.; Natividad, Gabriel
作者单位：Universidad de Piura
摘要：Why do negative credit events lead to long-term borrowing constraints? Exploiting banking regulations in Peru and utilizing currency movements, we show that consumers who face a credit rating downgrade due to bad luck experience a three-year reduction in financing. Consumers respond to the shock by paying down their most troubled loans, but nonetheless end up more likely to exit the credit market. For a set of borrowers who experience severe delinquency, we find that the associated credit repo...
-
作者：Almeida, Heitor; Cunha, Igor; Ferreira, Miguel A.; Restrepo, Felipe
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Universidade Nova de Lisboa; Centre for Economic Policy Research - UK; European Corporate Governance Institute; Western University (University of Western Ontario)
摘要：We show that sovereign debt impairments can have a significant effect on financial markets and real economies through a credit ratings channel. Specifically, we find that firms reduce their investment and reliance on credit markets due to a rising cost of debt capital following a sovereign rating downgrade. We identify these effects by exploiting exogenous variation in corporate ratings due to rating agencies' sovereign ceiling policies, which require that firms' ratings remain at or below the...
-
作者：Cujean, Julien; Hasler, Michael
作者单位：University System of Maryland; University of Maryland College Park; University of Toronto
摘要：We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions polarize. Disagreement thus spikes in bad times, causing returns to react to past news. This phenomenon creates a positive relation between disagreement and future returns. It also generates time-series momentu...
-
作者：Filipovic, Damir; Larsson, Martin; Trolle, Anders B.
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: (i) ensures non-negative interest rates, (ii) easily accommodates unspanned factors affecting volatility and risk premiums, and (iii) admits semi-analytical solutions to swaptions. A parsimonious model specification within the linear-rational class has a...
-
作者：Ang, Andrew; Green, Richard C.; Longstaff, Francis A.; Xing, Yuhang
作者单位：Columbia University; National Bureau of Economic Research; Carnegie Mellon University; University of California System; University of California Los Angeles; Rice University
摘要：The advance refunding of debt is a widespread practice in municipal finance. In an advance refunding, municipalities retire callable bonds early and refund them with bonds with lower coupon rates. We find that 85% of all advance refundings occur at a net present value loss, and that the aggregate losses over the past 20 years exceed $15 billion. We explore why municipalities advance refund their debt at loss. Financially constrained municipalities may face pressure to advance refund since it a...
-
作者：Foerster, Stephen; Linnainmaa, Juhani T.; Melzer, Brian T.; Previtero, Alessandro
作者单位：Western University (University of Western Ontario); University of Southern California; National Bureau of Economic Research; Northwestern University; Indiana University System; Indiana University Bloomington
摘要：Using unique data on Canadian households, we show that financial advisors exert substantial influence over their clients' asset allocation, but provide limited customization. Advisor fixed effects explain considerably more variation in portfolio risk and home bias than a broad set of investor attributes that includes risk tolerance, age, investment horizon, and financial sophistication. Advisor effects remain important even when controlling flexibly for unobserved heterogeneity through investo...
-
作者：Moreira, Alan; Muir, Tyler
作者单位：University of Rochester; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：Managed portfolios that take less risk when volatility is high produce large alphas, increase Sharpe ratios, and produce large utility gains for mean-variance investors. We document this for the market, value, momentum, profitability, return on equity, investment, and betting-against-beta factors, as well as the currency carry trade. Volatility timing increases Sharpe ratios because changes in volatility are not offset by proportional changes in expected returns. Our strategy is contrary to co...
-
作者：Gao, Pengjie; Schultz, Paul; Song, Zhaogang
作者单位：University of Notre Dame; Johns Hopkins University
摘要：Agency mortgage-backed securities (MBS) trade simultaneously in a market for specified pools (SPs) and in the to-be-announced (TBA) forward market. TBA trading creates liquidity by allowing thousands of different MBS to be traded in a handful of TBA contracts. SPs that are eligible to be traded as TBAs have significantly lower trading costs than other SPs. We present evidence that TBA eligibility, in addition to characteristics of TBA-eligible SPs, lowers trading costs. We show that dealers he...
-
作者：Phelan, Gregory
作者单位：Williams College
摘要：Financial intermediation naturally arises when knowing how loan payoffs are correlated is valuable for managing investments but lenders cannot easily observe that relationship. I show this result using a costly enforcement model in which lenders need ex post incentives to enforce payments from defaulted loans and borrowers' payoffs are correlated. When projects have correlated outcomes, learning the state of one project (via enforcement) provides information about the states of other projects....
-
作者：Granja, Joao; Matvos, Gregor; Seru, Amit
作者单位：University of Chicago; National Bureau of Economic Research; Stanford University
摘要：The average FDIC loss from selling a failed bank is 28% of assets. We document that failed banks are predominantly sold to bidders within the same county, with similar assets business lines, when these bidders are well capitalized. Otherwise, they are acquired by less similar banks located further away. We interpret these facts within a model of auctions with budget constraints, in which poor capitalization of some potential acquirers drives a wedge between their willingness and ability to pay...
