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作者：Axelson, Ulf; Jenkinson, Tim; Stromberg, Per; Weisbach, Michael S.
作者单位：University of London; London School Economics & Political Science; University of Oxford; Stockholm School of Economics; National Bureau of Economic Research; University System of Ohio; Ohio State University
摘要：Private equity funds pay particular attention to capital structure when executing leveraged buyouts, creating an interesting setting for examining capital structure theories. Using a large, international sample of buyouts from 1980 to 2008, we find that buyout leverage is unrelated to the cross-sectional factors, suggested by traditional capital structure theories, that drive public firm leverage. Instead, variation in economy-wide credit conditions is the main determinant of leverage in buyou...
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作者：Bharath, Sreedhar T.; Jayaraman, Sudarshan; Nagar, Venky
作者单位：Arizona State University; Arizona State University-Tempe; Washington University (WUSTL); University of Michigan System; University of Michigan
摘要：Recent theory posits a new governance channel available to blockholders: threat of exit. Threat of exit, as opposed to actual exit, is difficult to measure directly. However, a crucial property is that it is weaker when stock liquidity is lower and vice versa. We use natural experiments of financial crises and decimalization as exogenous shocks to stock liquidity. Firms with larger blockholdings experience greater declines (increases) in firm value during the crises (decimalization), particula...
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作者：Guiso, Luigi; Sapienza, Paola; Zingales, Luigi
作者单位：European University Institute; Northwestern University; National Bureau of Economic Research; University of Chicago
摘要：We use survey data to measure households' propensity to default on mortgages even if they can afford to pay them (strategic default) when the value of the mortgage exceeds the value of the house. The willingness to default increases in both the absolute and the relative size of the home-equity shortfall. Our evidence suggests that this willingness is affected by both pecuniary and non-pecuniary factors, such as views about fairness and morality. We also find that exposure to other people who s...
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作者：Hassan, Tarek A.
作者单位：University of Chicago; National Bureau of Economic Research
摘要：Differences in real interest rates across developed economies are puzzlingly large and persistent. I propose a simple explanation: bonds issued in the currencies of larger economies are expensive because they insure against shocks that affect a larger fraction of the world economy. I show that, indeed, differences in the size of economies explain a large fraction of the cross-sectional variation in currency returns. The data also support additional implications of the model: the introduction o...
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作者：Drechsler, Itamar
作者单位：New York University
摘要：I construct an equilibrium model that captures salient properties of index option prices, equity returns, variance, and the risk-free rate. A representative investor makes consumption and portfolio choice decisions that are robust to his uncertainty about the true economic model. He pays a large premium for index options because they hedge important model misspecification concerns, particularly concerning jump shocks to cash flow growth and volatility. A calibration shows that empirically cons...
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作者：Maksimovic, Vojislav; Phillips, Gordon; Yang, Liu
作者单位：University System of Maryland; University of Maryland College Park; University of Southern California; National Bureau of Economic Research
摘要：We document that public firms participate more than private firms as buyers and sellers of assets in merger waves and their participation is affected more by credit spreads and aggregate market valuation. Public firm acquisitions realize higher gains in productivity, particularly for on-the-wave acquisitions and when the acquirer's stock is liquid and highly valued. Our results are not driven solely by public firms' better access to capital. Using productivity data from early in the firm's lif...
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作者：Beber, Alessandro; Pagano, Marco
作者单位：University of Naples Federico II
摘要：Most regulators around the world reacted to the 200709 crisis by imposing bans on short selling. These were imposed and lifted at different dates in different countries, often targeted different sets of stocks, and featured varying degrees of stringency. We exploit this variation in short-sales regimes to identify their effects on liquidity, price discovery, and stock prices. Using panel and matching techniques, we find that bans (i) were detrimental for liquidity, especially for stocks with s...
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作者：Hann, Rebecca N.; Ogneva, Maria; Ozbas, Oguzhan
作者单位：University System of Maryland; University of Maryland College Park; University of Southern California
摘要：We examine whether organizational form matters for a firm's cost of capital. Contrary to the conventional view, we argue that coinsurance among a firm's business units can reduce systematic risk through the avoidance of countercyclical deadweight costs. We find that diversified firms have, on average, a lower cost of capital than comparable portfolios of stand-alone firms. In addition, diversified firms with less correlated segment cash flows have a lower cost of capital, consistent with a coi...
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作者：Ben-David, Itzhak; Franzoni, Francesco; Landier, Augustin; Moussawi, Rabih
作者单位：University System of Ohio; Ohio State University; National Bureau of Economic Research; Universita della Svizzera Italiana; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; University of Pennsylvania
摘要：We provide evidence suggesting that some hedge funds manipulate stock prices on critical reporting dates. Stocks in the top quartile of hedge fund holdings exhibit abnormal returns of 0.30% on the last day of the quarter and a reversal of 0.25% on the following day. A significant part of the return is earned during the last minutes of trading. Analysis of intraday volume and order imbalance provides further evidence consistent with manipulation. These patterns are stronger for funds that have ...
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作者：Gennaioli, Nicola; Shleifer, Andrei; Vishny, Robert W.
作者单位：Harvard University; University of Chicago
摘要：We present a model of shadow banking in which banks originate and trade loans, assemble them into diversified portfolios, and finance these portfolios externally with riskless debt. In this model: outside investor wealth drives the demand for riskless debt and indirectly for securitization, bank assets and leverage move together, banks become interconnected through markets, and banks increase their exposure to systematic risk as they reduce idiosyncratic risk through diversification. The shado...
