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作者：Qian, Jun (Qj); Strahan, Philip E.; Yang, Zhishu
作者单位：Shanghai Jiao Tong University; University of Pennsylvania; Boston College; National Bureau of Economic Research; Tsinghua University
摘要：In 2002 and 2003, many Chinese banks implemented reforms that delegated authority to individual loan officers. The change followed China's entrance into the WTO and offers a plausibly exogenous shock to loan officer incentives to produce information. We find that the bank's internal risk rating becomes a stronger predictor of loan interest rates and ex post outcomes after reform. When the loan officer and the branch president who approves the loan work together longer, the rating also becomes ...
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作者：Belo, Frederico; Collin-Dufresne, Pierre; Goldstein, Robert S.
作者单位：University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI)
摘要：Many leading asset pricing models are specified so that the term structure of dividend volatility is either flat or upward sloping. These models predict that the term structures of expected returns and volatilities on dividend strips (i.e., claims to dividends paid over a prespecified interval) are also upward sloping. However, the empirical evidence suggests otherwise. This discrepancy can be reconciled if these models replace their proposed dividend dynamics with processes that generate stat...
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作者：Dougal, Casey; Engelberg, Joseph; Parsons, Christopher A.; Van Wesep, Edward D.
作者单位：Drexel University; University of California System; University of California San Diego; Vanderbilt University
摘要：This paper documents that the path of credit spreads since a firm's last loan influences the level at which it can currently borrow. If spreads have moved in the firm's favor (i.e., declined), it is charged a higher interest rate than is justified by current fundamentals, whereas if spreads have moved to the firm's detriment, it is charged a lower rate. We evaluate several possible explanations for this finding, and conclude that anchoring to past deal terms is most plausible.
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作者：Acharya, Viral V.; Mora, Nada
作者单位：New York University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Kansas City
摘要：Can banks maintain their advantage as liquidity providers when exposed to a financial crisis? While banks honored credit lines drawn by firms during the 2007 to 2009 crisis, this liquidity provision was only possible because of explicit, large support from the government and government-sponsored agencies. At the onset of the crisis, aggregate deposit inflows into banks weakened and their loan-to-deposit shortfalls widened. These patterns were pronounced at banks with greater undrawn commitment...
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作者：Deyoung, Robert; Gron, Anne; Torna, Goekhan; Winton, Andrew
作者单位：University of Kansas; State University of New York (SUNY) System; Stony Brook University; University of Minnesota System; University of Minnesota Twin Cities
摘要：We estimate a structural model of bank portfolio lending and find that the typical U.S. community bank reduced its business lending during the global financial crisis. The decline in business credit was driven by increased risk overhang effects (consistent with a reduction in the liquidity of assets held on bank balance sheets) and by reduced loan supply elasticities suggestive of credit rationing (consistent with an increase in lender risk aversion). Nevertheless, we identify a group of strat...
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作者：Albuquerque, Rui; Wang, Neng
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作者：Cremers, Martijn; Halling, Michael; Weinbaum, David
作者单位：University of Notre Dame; Utah System of Higher Education; University of Utah; Syracuse University
摘要：We examine the pricing of both aggregate jump and volatility risk in the cross-section of stock returns by constructing investable option trading strategies that load on one factor but are orthogonal to the other. Both aggregate jump and volatility risk help explain variation in expected returns. Consistent with theory, stocks with high sensitivities to jump and volatility risk have low expected returns. Both can be measured separately and are important economically, with a two-standard-deviat...
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作者：Gandhi, Priyank; Lustig, Hanno
作者单位：University of Notre Dame; University of California System; University of California Los Angeles
摘要：The largest commercial bank stocks, ranked by total size of the balance sheet, have significantly lower risk-adjusted returns than small-and medium-sized bank stocks, even though large banks are significantlymore levered. We uncover a size factor in the component of bank returns that is orthogonal to the standard risk factors, including small minus big, which has the right covariance with bank returns to explain the average risk-adjusted returns. This factormeasures size-dependent exposure to ...
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作者：Jenter, Dirk; Kanaan, Fadi
作者单位：Stanford University; National Bureau of Economic Research
摘要：This paper shows that CEOs are fired after bad firm performance caused by factors beyond their control. Standard economic theory predicts that corporate boards filter out exogenous industry and market shocks from firm performance before deciding on CEO retention. Using a hand-collected sample of 3,365 CEO turnovers from 1993 to 2009, we document that CEOs are significantly more likely to be dismissed from their jobs after bad industry and, to a lesser extent, after bad market performance. A de...
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作者：Sialm, Clemens; Starks, Laura T.; Zhang, Hanjiang
作者单位：University of Texas System; University of Texas Austin; National Bureau of Economic Research; Nanyang Technological University
摘要：Participants in defined contribution (DC) retirement plans rarely adjust their portfolio allocations, suggesting that their investment choices and consequent money flows are sticky and not discerning. However, participants' inertia could be offset by DC plan sponsors, who adjust the plan's investment options. We examine these countervailing influences on flows into U.S. mutual funds. We find that flows into funds from DC assets are more volatile and exhibit more performance sensitivity than no...
