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作者：Chernenko, Sergey
作者单位：University System of Ohio; Ohio State University
摘要：I study the incentives of the collateral managers who selected securities for ABS CDOs-securitizations that figured prominently in the financial crisis. Specialized managers without other businesses that could suffer negative reputational consequences invested in low-quality securities underwritten by the CDO's arranger. These securities performed significantly worse than observationally similar securities. Managers investing in these securities were rewarded with additional collateral managem...
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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...
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作者：Marfe, Roberto
作者单位：Collegio Carlo Alberto
摘要：Output, wages, and dividends feature term structures of variance ratios that are respectively flat, increasing, and decreasing. Income insurance from shareholders to workers explains these term structures. Risk-sharing smooths wages but only concerns transitory risk and hence enhances short-run dividend risk. As a result, actual labor-share variation largely forecasts the risk, premium, and slope of dividend strips. A simple general equilibrium model in which labor rigidity affects dividend dy...
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作者：Vanasco, Victoria
作者单位：Stanford University
摘要：This paper explores the tension between asset quality and market liquidity. I model an originator who screens assets whose cash flows are later sold in secondary markets. Screening improves asset quality but gives rise to asymmetric information, hindering trade of the asset cash flows. In the optimal mechanism (second-best), costly retention of cash flows is essential to implement asset screening. Market allocations can feature too much or too little screening relative to second-best, where to...
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作者：Almazan, Andres; Chen, Zhaohui; Titman, Sheridan
作者单位：University of Texas System; University of Texas Austin; University of Virginia; National Bureau of Economic Research
摘要：This paper develops a top-down model of capital budgeting in which privately informed executives make investment choices that convey information to the firm's stakeholders (e.g., employees). Favorable information in this setting encourages stakeholders to take actions that positively contribute to the firm's success (e.g., employees work harder). Within this framework we examine how firms may distort their investment choices to influence the information conveyed to stakeholders and show that i...
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作者：Duffie, Darrell; Dworczak, Piotr; Zhu, Haoxiang
作者单位：Stanford University; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
摘要：We characterize the role of benchmarks in price transparency of over-the-counter markets. A benchmark can raise social surplus by increasing the volume of beneficial trade, facilitating more efficient matching between dealers and customers, and reducing search costs. Although the market transparency promoted by benchmarks reduces dealers' profit margins, dealers may nonetheless introduce a benchmark to encourage greater market participation by investors. Low-cost dealers may also introduce a b...
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作者：Kuehn, Lars-Alexander; Simutin, Mikhail; Wang, Jessie Jiaxu
作者单位：Carnegie Mellon University; University of Toronto; Arizona State University; Arizona State University-Tempe
摘要：We show that labor search frictions are an important determinant of the cross-section of equity returns. Empirically, we find that firms with low loadings on labor market tightness outperform firms with high loadings by 6% annually. We propose a partial equilibrium labor market model in which heterogeneous firms make dynamic employment decisions under labor search frictions. In the model, loadings on labor market tightness proxy for priced time-variation in the efficiency of the aggregate matc...
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作者：Nozawa, Yoshio
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：I decompose the variation of credit spreads for corporate bonds into changing expected returns and changing expectation of credit losses. Using a log-linearized pricing identity and a vector autoregression applied to microlevel data from 1973 to 2011, I find that expected returns contribute to the cross-sectional variance of credit spreads nearly as much as expected credit loss does. However, most of the time-series variation in credit spreads for the market portfolio corresponds to risk premi...
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作者：Black, Sandra E.; Devereux, Paul J.; Lundborg, Petter; Majlesi, Kaveh
作者单位：University of Texas System; University of Texas Austin; Norwegian School of Economics (NHH); IZA Institute Labor Economics; National Bureau of Economic Research; University College Dublin; Center for Economic & Policy Research (CEPR); Lund University
摘要：Financial investment behavior is highly correlated between parents and their children. Using Swedish data, we find that the decision of adoptees to hold equities is associated with the behavior of both biological and adoptive parents, implying a role for both genetic and environmental influences. However, we find that nurture has a stronger influence on the share of financial assets invested in equities and on portfolio volatility, suggesting that financial risk-taking is substantially environ...
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作者：Chen, Huafeng (Jason)
作者单位：Tsinghua University; Texas A&M University System; Texas A&M University College Station; Mays Business School
摘要：Contrary to conventional wisdom, growth stocks (i.e., low book-to-market stocks) do not have substantially higher future cash-flow growth rates than value stocks, in both rebalanced and buy-and-hold portfolios. Efficiency growth, survivorship and look-back biases, and the rebalancing effect help explain the results. These findings suggest that duration alone is unlikely to explain the value premium.
