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作者：Kumar, Praveen; Li, Dongmei
作者单位：University of Houston System; University of Houston; University of South Carolina System; University of South Carolina Columbia
摘要：We study the dynamic implications of capital investment in innovative capacity (IC) on future stock returns, investment, and profitability bymodeling the unique effects of IC investment on uncertain option generation/exercise and postexercise revenue. The model highlights the diverse effects of IC investment on expected returns in different postinvestment regimes and yields the novel prediction that, under the neoclassical assumption of nonincreasing revenue returns, IC investment is positivel...
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作者：Biais, Bruno; Heider, Florian; Hoerova, Marie
作者单位：European Central Bank; Center for Economic & Policy Research (CEPR)
摘要：Derivatives activity, motivated by risk-sharing, can breed risk-taking. Bad news about the risk of an asset underlying a derivative increases protection sellers' expected liability and undermines their risk-prevention incentives. This limits risk-sharing, creates endogenous counterparty risk, and can lead to contagion from news about the hedged risk to the balance sheet of protection sellers. Margin calls after bad news can improve protection sellers' incentives and in turn enhance risk-sharin...
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作者：Du, Wenxin; Schreger, Jesse
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Princeton University
摘要：We introduce a new measure of emerging market sovereign credit risk: the local currency credit spread, defined as the spread of local currency bonds over the synthetic local currency risk-free rate constructed using cross-currency swaps. We find that local currency credit spreads are positive and sizable. Compared with credit spreads on foreign-currency-denominated debt, local currency credit spreads have lower means, lower cross-country correlations, and lower sensitivity to global risk facto...
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作者：Bogousslavsky, Vincent
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI)
摘要：A model of infrequent rebalancing can explain specific predictability patterns in the time series and cross-section of stock returns. First, infrequent rebalancing produces return autocorrelations that are consistent with empirical evidence from intraday returns and new evidence from daily returns. Autocorrelations can switch sign and become positive at the rebalancing horizon. Second, the cross-sectional variance in expected returns is larger when more traders rebalance. This effect generates...
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作者：Serfling, Matthew
作者单位：University of Tennessee System; University of Tennessee Knoxville
摘要：I exploit the adoption of state-level labor protection laws as an exogenous increase in employee firing costs to examine how the costs associated with discharging workers affect capital structure decisions. I find that firms reduce debt ratios following the adoption of these laws, with this result stronger for firms that experience larger increases in firing costs. I also document that, following the adoption of these laws, a firm's degree of operating leverage rises, earnings variability incr...
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作者：Gilje, Erik P.; Taillard, Jerome P.
作者单位：University of Pennsylvania; Babson College
摘要：We study how listing status affects investment behavior. Theory offers competing hypotheses on how listing-related frictions affect investment decisions. We use detailed data on 74,670 individual projects in the U.S. natural gas industry to show that private firms respond less than public firms to changes in investment opportunities. Private firms adjust drilling activity for low capital-intensity investments. However, they do not increase drilling in response to new capital-intensive growth o...
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作者：Cvijanovic, Dragana; Dasgupta, Amil; Zachariadis, Konstantinos E.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; University of London; London Business School
摘要：We investigate whether business ties with portfolio firms influence mutual funds' proxy voting using a comprehensive data set spanning 2003 to 2011. In contrast to prior literature, we find that business ties significantly influence promanagement voting at the level of individual pairs of fund families and firms after controlling for Institutional Shareholder Services (ISS) recommendations and holdings. The association is significant only for shareholder-sponsored proposals and stronger for th...
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作者：Engelberg, Joseph; Parsons, Christopher A.
作者单位：University of California System; University of California San Diego
摘要：Using individual patient records for every hospital in California from 1983 to 2011, we find a strong inverse link between daily stock returns and hospital admissions, particularly for psychological conditions such as anxiety, panic disorder, and major depression. The effect is nearly instantaneous (within the same day) for psychological conditions, suggesting that anticipation over future consumption directly influences instantaneous utility.
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作者：Cederburg, Scott; O'Doherty, Michael S.
作者单位：University of Arizona; University of Missouri System; University of Missouri Columbia
摘要：Prior studies find that a strategy that buys high-beta stocks and sells low-beta stocks has a significantly negative unconditional capital asset pricing model (CAPM) alpha, such that it appears to pay to bet against beta. We show, however, that the conditional beta for the high-minus-low beta portfolio covaries negatively with the equity premium and positively with market volatility. As a result, the unconditional alpha is a downward-biased estimate of the true alpha. We model the conditional ...
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作者：Iyer, Rajkamal; Puri, Manju; Ryan, Nicholas
作者单位：Massachusetts Institute of Technology (MIT); Duke University; National Bureau of Economic Research; Yale University
摘要：We examine heterogeneity in depositor responses to solvency risk using depositor-level data for a bank that faced two different runs. We find that depositors with loans and bank staff are less likely to run than others during a low-solvency-risk shock, but are more likely to run during a high-solvency-risk shock. Uninsured depositors are also sensitive to bank solvency. In contrast, depositors with older accounts run less, and those with frequent past transactions run more, irrespective of the...
