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作者：Han, Joongho; Park, Kwangwoo; Pennacchi, George
作者单位：Sungkyunkwan University (SKKU); Korea Advanced Institute of Science & Technology (KAIST); University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：Most banks pay corporate income taxes, but securitization vehicles do not. Our model shows that, when a bank faces strong loan demand but limited deposit market power, this tax asymmetry creates an incentive to sell loans despite less-efficient screening and monitoring of sold loans. Moreover, loan-selling increases as a bank's corporate income tax rate and capital requirement rise. Our empirical tests show that U.S. commercial banks sell more of their mortgages when they operate in states tha...
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作者：Khanna, Vikramaditya; Kim, E. Han; Lu, Yao
作者单位：University of Michigan System; University of Michigan; University of Michigan System; University of Michigan; Tsinghua University
摘要：We find that connections CEOs develop with top executives and directors through their appointment decisions increase the risk of corporate fraud. Appointment-based CEO connectedness in executive suites and boardrooms increases the likelihood of committing fraud and decreases the likelihood of detection. Additionally, it decreases the expected costs of fraud by helping conceal fraudulent activity, making CEO dismissal less likely upon discovery, and lowering the coordination costs of carrying o...
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作者：Kung, Howard; Schmid, Lukas
作者单位：University of London; London Business School; Duke University; University of California System; University of California Los Angeles
摘要：We examine the asset pricing implications of a production economy whose long-term growth prospects are endogenously determined by innovation and R&D. In equilibrium, R&D endogenously drives a small, persistent component in productivity that generates long-run uncertainty about economic growth. With recursive preferences, households fear that persistent downturns in economic growth are accompanied by low asset valuations and command high-risk premia in asset markets. Empirically, we find substa...
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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：Patton, Andrew J.; Ramadorai, Tarun; Streatfield, Michael
作者单位：Duke University; University of Oxford; University of Oxford; Centre for Economic Policy Research - UK; University of Oxford; University of Oxford
摘要：We analyze the reliability of voluntary disclosures of financial information, focusing on widely-employed publicly-available hedge fund databases. Tracking changes to statements of historical performance recorded between 2007 and 2011, we find that historical returns are routinely revised. These revisions are not merely random or corrections of earlier mistakes; they are partly forecastable by fund characteristics. Funds that revise their performance histories significantly and predictably und...
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作者：Beshears, John; Choi, James J.; Laibson, David; Madrian, Brigitte C.; Milkman, Katherine L.
作者单位：Harvard University; National Bureau of Economic Research; Yale University; University of Pennsylvania
摘要：Using a field experiment in a 401(k) plan, we measure the effect of disseminating information about peer behavior on savings. Low-saving employees received simplified plan enrollment or contribution increase forms. A randomized subset of forms stated the fraction of age-matched coworkers participating in the plan or age-matched participants contributing at least 6% of pay to the plan. We document an oppositional reaction: the presence of peer information decreased the savings of nonparticipant...
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作者：Ewens, Michael; Rhodes-Kropf, Matthew
作者单位：Carnegie Mellon University; Harvard University
摘要：This paper investigates whether individual venture capitalists have repeatable investment skill and the extent to which their skill is impacted by the venture capital (VC) firm where they work. We examine a unique data set that tracks the performance of individual venture capitalists' investments over time and as they move between firms. We find evidence of skill and exit style differences even among venture partners investing at the same VC firm at the same time. Furthermore, our estimates su...
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作者：Krueger, Philipp; Landier, Augustin; Thesmar, David
作者单位：University of Geneva; University of Geneva; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Hautes Etudes Commerciales (HEC) Paris; Centre for Economic Policy Research - UK
摘要：In this paper, we test whether firms properly adjust for risk in their capital budgeting decisions. If managers use a single discount rate within firms, we expect that conglomerates underinvest (overinvest) in relatively safe (risky) divisions. We measure division relative risk as the difference between the division's asset beta and a firm-wide beta. We establish a robust and significant positive relationship between division-level investment and division relative risk. Next, we measure the va...
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作者：Makarov, Igor; Plantin, Guillaume
作者单位：University of London; London School Economics & Political Science
摘要：This paper develops a model of active asset management in which fund managers may forgo alpha-generating strategies, preferring instead to make negative-alpha trades that enable them to temporarily manipulate investors' perceptions of their skills. We show that such trades are optimally generated by taking on hidden tail risk, and are more likely to occur when fund managers are impatient and when their trading skills are scalable, and generate a high profit per unit of risk. We propose long-te...
