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作者：Bansal, Ravi; Kiku, Dana; Shaliastovich, Ivan; Yaron, Amir
作者单位：Duke University; National Bureau of Economic Research; University of Illinois System; University of Illinois Urbana-Champaign; University of Pennsylvania
摘要：How important are volatility fluctuations for asset prices and the macroeconomy? We find that an increase in macroeconomic volatility is associated with an increase in discount rates and a decline in consumption. We develop a framework in which cash flow, discount rate, and volatility risks determine risk premia and show that volatility plays a significant role in explaining the joint dynamics of returns to human capital and equity. Volatility risk carries a sizable positive risk premium and h...
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作者：Kuehn, Lars-Alexander; Schmid, Lukas
作者单位：Carnegie Mellon University; Duke University; University of California System; University of California Los Angeles
摘要：A standard assumption of structural models of default is that firms' assets evolve exogenously. In this paper, we examine the importance of accounting for investment options in models of credit risk. In the presence of financing and investment frictions, firm-level variables that proxy for asset composition are significant determinants of credit spreads beyond leverage and asset volatility, because they capture the systematic risk of firms' assets. Cross-sectional studies of credit spreads tha...
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作者：Sheen, Albert
作者单位：Harvard University
摘要：I document sources of value creation in mergers by analyzing novel data on the quality and price of goods sold by merging firms. When two competitors in a product market merge, their products converge in quality, and prices fall relative to the competition. These effects take two to three years to be fully realized and are stronger in mature industries. Prices do not fall, however, when the acquirer is diversifying into a new product market. This direct evidence of real changes induced by merg...
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作者：Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; Mehl, Arnaud
作者单位：Columbia University; National Bureau of Economic Research; Leibniz Association; DIW Berlin - Deutsches Institut fur Wirtschaftsforschung; Humboldt University of Berlin
摘要：We analyze the transmission of the 2007 to 2009 financial crisis to 415 country-industry equity portfolios. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. While we find evidence of contagion from the United States and the global financial sector, the effects are small. By contrast, there has been substantial contagion from domestic markets to individual domestic portfolios, with its severi...
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作者：Friewald, Nils; Wagner, Christian; Zechner, Josef
作者单位：Vienna University of Economics & Business; Copenhagen Business School
摘要：We explore the link between a firm's stock returns and credit risk using a simple insight from structural models following Merton (): risk premia on equity and credit instruments are related because all claims on assets must earn the same compensation per unit of risk. Consistent with theory, we find that firms' stock returns increase with credit risk premia estimated from CDS spreads. Credit risk premia contain information not captured by physical or risk-neutral default probabilities alone. ...
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作者：Copeland, Adam; Martin, Antoine; Walker, Michael
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of California System; University of California Berkeley
摘要：The repo market has been viewed as a potential source of financial instability since the 2007 to 2009 financial crisis, based in part on findings that margins increased sharply in a segment of this market. This paper provides evidence suggesting that there was no system-wide run on repo. Using confidential data on tri-party repo, a major segment of this market, we show that, the level of margins and the amount of funding were surprisingly stable for most borrowers during the crisis. However, w...
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作者：Acharya, Viral; Drechsler, Itamar; Schnabl, Philipp
作者单位：New York University; National Bureau of Economic Research
摘要：We model a loop between sovereign and bank credit risk. A distressed financial sector induces government bailouts, whose cost increases sovereign credit risk. Increased sovereign credit risk in turn weakens the financial sector by eroding the value of its government guarantees and bond holdings. Using credit default swap (CDS) rates on European sovereigns and banks, we show that bailouts triggered the rise of sovereign credit risk in 2008. We document that post-bailout changes in sovereign CDS...
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作者：Buraschi, Andrea; Kosowski, Robert; Sritrakul, Worrawat
作者单位：University of Chicago; Imperial College London; University of Oxford
摘要：Hedge fund managers are subject to several nonlinear incentives: performance fee options (call); equity investors' redemption options (put); and prime broker contracts allowing for forced deleverage (put). The interaction of these option-like incentives affects optimal leverage ex ante, depending on the distance of fund-value from the high-water mark. We study how these endogenous effects influence performance measures used in the literature. We show that reduced-form measures that do not acco...
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作者：Adrian, Tobias; Etula, Erkko; Muir, Tyler
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Federal Reserve System - USA; Federal Reserve Bank - New York; Yale University
摘要：Financial intermediaries trade frequently in many markets using sophisticated models. Their marginal value of wealth should therefore provide a more informative stochastic discount factor (SDF) than that of a representative consumer. Guided by theory, we use shocks to the leverage of securities broker-dealers to construct an intermediary SDF. Intuitively, deteriorating funding conditions are associated with deleveraging and high marginal value of wealth. Our single-factor model prices size, bo...
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作者：Gopalan, Radhakrishnan; Milbourn, Todd; Song, Fenghua; Thakor, Anjan V.
作者单位：Washington University (WUSTL); Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Extensive discussions on the inefficiencies of short-termism in executive compensation notwithstanding, little is known empirically about the extent of such short-termism. We develop a novel measure of executive pay duration that reflects the vesting periods of different pay components, thereby quantifying the extent to which compensation is short-term. We calculate pay duration in various industries and document its correlation with firm characteristics. Pay duration is longer in firms with m...
