-
作者：Falato, Antonio; Liang, Nellie
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Using a regression discontinuity design, we provide evidence that there are sharp and substantial employment cuts following loan covenant violations, when creditors gain rights to accelerate, restructure, or terminate a loan. The cuts are larger at firms with higher financing frictions and with weaker employee bargaining power, and during industry and macroeconomic downturns, when employees have fewer job opportunities. Union elections that create new labor bargaining units lead to higher loan...
-
作者：Choi, Darwin; Kahraman, Bige; Mukherjee, Abhiroop
作者单位：Chinese University of Hong Kong; Hong Kong University of Science & Technology; University of Oxford
摘要：We study capital allocations to managers with two mutual funds, and show that investors learn about managers from their performance records. Flows into a fund are predicted by the manager's performance in his other fund, especially when he outperforms and when signals from the other fund are more useful. In equilibrium, capital should be allocated such that there is no cross-fund predictability. However, we find positive predictability, particularly among underperforming funds. Our results are...
-
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...
-
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...
-
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...
-
作者：Borovicka, Jaroslav; Hansen, Lars Peter; Scheinkman, Jose A.
作者单位：New York University; National Bureau of Economic Research; University of Chicago; Columbia University; Princeton University
摘要：Asset prices contain information about the probability distribution of future states and the stochastic discounting of those states as used by investors. To better understand the challenge in distinguishing investors' beliefs from risk-adjusted discounting, we use Perron-Frobenius Theory to isolate a positive martingale component of the stochastic discount factor process. This component recovers a probability measure that absorbs long-term risk adjustments. When the martingale is not degenerat...
-
作者：Asparouhova, Elena; Bossaerts, Peter; Roy, Nilanjan; Zame, William
作者单位：Utah System of Higher Education; University of Utah; University of Melbourne; City University of Hong Kong; University of California System; University of California Los Angeles
摘要：We study the Lucas asset pricing model in a controlled setting. Participants trade two long-lived securities in a continuous open-book system. The experimental design emulates the stationary, infinite-horizon setting of the model and incentivizes participants to smooth consumption across periods. Consistent with the model, prices align with consumption betas and comove with aggregate dividends, particularly so when risk premia are higher. Trading significantly increases consumption smoothing c...
-
作者：Giannetti, Mariassunta; Wang, Tracy Yue
作者单位：Stockholm School of Economics; University of Minnesota System; University of Minnesota Twin Cities
摘要：We show that, after the revelation of corporate fraud in a state, household stock market participation in that state decreases. Households decrease holdings in fraudulent as well as nonfraudulent firms, even if they do not hold stocks in fraudulent firms. Within a state, households with more lifetime experience of corporate fraud hold less equity. Following the exogenous increase in fraud revelation due to Arthur Andersen's demise, states with more Arthur Andersen clients experience a larger d...
-
作者：Albuquerque, Rui; Eichenbaum, Martin; Luo, Victor Xi; Rebelo, Sergio
作者单位：Boston College; Center for Economic & Policy Research (CEPR); Northwestern University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：Standard representative-agent models fail to account for the weak correlation between stock returns and measurable fundamentals, such as consumption and output growth. This failing, which underlies virtually all modern asset pricing puzzles, arises because these models load all uncertainty onto the supply side of the economy. We propose a simple theory of asset pricing in which demand shocks play a central role. These shocks give rise to valuation risk that allows the model to account for key ...
-
作者：Ambrose, Brent W.; Conklin, James; Yoshida, Jiro
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University System of Georgia; University of Georgia
摘要：We examine the role of borrower concerns about future credit availability in mitigating the effects of adverse selection and income misrepresentation in the mortgage market. We show that the majority of additional risk associated with low-doc mortgages originated prior to the Great Recession was due to adverse selection on the part of borrowers who could verify income but chose not to. We provide novel evidence that these borrowers were more likely to inflate or exaggerate their income. Our an...
