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作者：Duygan-Bump, Burcu; Parkinson, Patrick; Rosengren, Eric; Suarez, Gustavo A.; Willen, Paul
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Federal Reserve System - USA; Federal Reserve Bank - Boston
摘要：The events following Lehman's failure in 2008 and the current turmoil emanating from Europe highlight the structural vulnerabilities of short-term credit markets and the role of central banks as back-stop liquidity providers. The Federal Reserve's response to financial disruptions in the United States importantly included the creation of liquidity facilities. Using a differences-in-differences approach, we evaluate one of the most unusual of these interventionsthe Asset-Backed Commercial Paper...
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作者：Colacito, Riccardo; Croce, Mariano M.
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：Focusing on data from the United States and the United Kingdom, we document that both the anomaly identified by Backus and Smith, which concerns the low correlation between consumption differentials and exchange rates, and the forward premium anomaly, which concerns the tendency of high interest rate currencies to appreciate, have become more severe over time. Taking into account different capital mobility regimes, we show that these anomalies turn into general equilibrium regularities in a tw...
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作者：Eisfeldt, Andrea L.; Papanikolaou, Dimitris
作者单位：University of California System; University of California Los Angeles; Northwestern University; National Bureau of Economic Research
摘要：Organization capital is a production factor that is embodied in the firm's key talent and has an efficiency that is firm specific. Hence, both shareholders and key talent have a claim to its cash flows. We develop a model in which the outside option of the key talent determines the share of firm cash flows that accrue to shareholders. This outside option varies systematically and renders firms with high organization capital riskier from shareholders' perspective. We find that firms with more o...
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作者：Garmaise, Mark J.; Natividad, Gabriel
摘要：The provision of subsidized credit to financial institutions is an important and frequently used policy tool of governments and central banks. To assess its effectiveness, we exploit changes in international bilateral political relationships that generate shocks to the cost of financing for microfinance institutions (MFIs). MFIs that experience politically driven reductions in total borrowing costs hire more staff and increase administrative expenses. Cheap credit leads to greater profitabilit...
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作者：Seppi, Duane J.
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作者：Chen, Joseph; Hong, Harrison; Jiang, Wenxi; Kubik, Jeffrey D.
作者单位：University of California System; University of California Davis; Princeton University; Yale University; Syracuse University
摘要：We investigate the effects of managerial outsourcing on the performance and incentives of mutual funds. Fund families outsource the management of a large fraction of their funds to advisory firms. These funds underperform those run internally by about 52 basis points per year. After instrumenting for a fund's outsourcing status, the estimated underperformance is three times larger. We hypothesize that contractual externalities due to firm boundaries make it difficult to extract performance fro...
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作者：Derrien, Francois; Kecskes, Ambrus
作者单位：Hautes Etudes Commerciales (HEC) Paris; York University - Canada
摘要：We study the causal effects of analyst coverage on corporate investment and financing policies. We hypothesize that a decrease in analyst coverage increases information asymmetry and thus increases the cost of capital; as a result, firms decrease their investment and financing. We use broker closures and broker mergers to identify changes in analyst coverage that are exogenous to corporate policies. Using a difference-in-differences approach, we find that firms that lose an analyst decrease th...
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作者：Hu, Grace Xing; Pan, Jun; Wang, Jiang
作者单位：University of Hong Kong; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We propose a market-wide liquidity measure by exploiting the connection between the amount of arbitrage capital in the market and observed noise in U.S. Treasury bondsthe shortage of arbitrage capital allows yields to deviate more freely from the curve, resulting in more noise in prices. Our noise measure captures episodes of liquidity crises of different origins across the financial market, providing information beyond existing liquidity proxies. Moreover, as a priced risk factor, it helps to...
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作者：Ellul, Andrew; Yerramilli, Vijay
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; University of Houston System; University of Houston
摘要：We construct a risk management index (RMI) to measure the strength and independence of the risk management function at bank holding companies (BHCs). The U.S. BHCs with higher RMI before the onset of the financial crisis have lower tail risk, lower nonperforming loans, and better operating and stock return performance during the financial crisis years. Over the period 1995 to 2010, BHCs with a higher lagged RMI have lower tail risk and higher return on assets, all else equal. Overall, these re...
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作者：Kelly, Bryan; Pruitt, Seth
作者单位：University of Chicago
摘要：Returns and cash flow growth for the aggregate U.S. stock market are highly and robustly predictable. Using a single factor extracted from the cross-section of book-to-market ratios, we find an out-of-sample return forecasting R-2 of 13% at the annual frequency (0.9% monthly). We document similar out-of-sample predictability for returns on value, size, momentum, and industry portfolios. We present a model linking aggregate market expectations to disaggregated valuation ratios in a latent facto...
