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作者：Alp, Aysun
作者单位：Sabanci University
摘要：I examine the time-series variation in corporate credit rating standards from 1985 to 2007. A divergent pattern exists between investment-grade and speculative-grade rating standards from 1985 to 2002 as investment-grade standards tighten and speculative-grade loosen. In 2002, a structural shift occurs toward more stringent ratings. Holding characteristics constant, firms experience a drop of 1.5 notches in ratings due to tightened standards from 2002 to 2007. Credit spread tests suggest that ...
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作者：Garleanu, Nicolae; Pedersen, Lasse Heje
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; New York University; Copenhagen Business School
摘要：We derive a closed-form optimal dynamic portfolio policy when trading is costly and security returns are predictable by signals with different mean-reversion speeds. The optimal strategy is characterized by two principles: (1) aim in front of the target, and (2) trade partially toward the current aim. Specifically, the optimal updated portfolio is a linear combination of the existing portfolio and an aim portfolio, which is a weighted average of the current Markowitz portfolio (the moving targ...
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作者：Philippon, Thomas; Schnabl, Philipp
作者单位：New York University; National Bureau of Economic Research
摘要：We analyze government interventions to recapitalize a banking sector that restricts lending to firms because of debt overhang. We find that the efficient recapitalization program injects capital against preferred stock plus warrants and conditions implementation on sufficient bank participation. Preferred stock plus warrants reduces opportunistic participation by banks that do not require recapitalization, although conditional implementation limits free riding by banks that benefit from lower ...
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作者：Dinc, I. Serdar; Erel, Isil
作者单位：University System of Ohio; Ohio State University
摘要：This paper studies government reactions to large corporate merger attempts in the European Union during 1997 to 2006 using hand-collected data. We document widespread economic nationalism in which the government prefers that target companies remain domestically owned rather than foreign-owned. This preference is stronger in times and countries with strong far-right parties and weak governments. Nationalist government reactions have both direct and indirect economic impacts on mergers. In parti...
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作者：Asness, Clifford S.; Moskowitz, Tobias J.; Pedersen, Lasse Heje
作者单位：University of Chicago; National Bureau of Economic Research; New York University; Copenhagen Business School
摘要：We find consistent value and momentum return premia across eight diverse markets and asset classes, and a strong common factor structure among their returns. Value and momentum returns correlate more strongly across asset classes than passive exposures to the asset classes, but value and momentum are negatively correlated with each other, both within and across asset classes. Our results indicate the presence of common global risks that we characterize with a three-factor model. Global funding...
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作者：Kolasinski, Adam C.; Reed, Adam V.; Ringgenberg, Matthew C.
作者单位：University of Washington; University of Washington Seattle; University of North Carolina; University of North Carolina Chapel Hill; Washington University (WUSTL)
摘要：Using unique data from 12 lenders, we examine how equity lending fees respond to demand shocks. We find that, when demand is moderate, fees are largely insensitive to demand shocks. However, at high demand levels, further increases in demand lead to significantly higher fees and the extent to which demand shocks impact fees is also related to search frictions in the loan market. Moreover, consistent with search models, we find significant dispersion in loan fees, with this dispersion increasin...
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作者：Glaser, Markus; Lopez-de-Silanes, Florencio; Sautner, Zacharias
作者单位：University of Munich; Universite Catholique de Lille; EDHEC Business School; University of Amsterdam
摘要：We analyze the internal capital markets of a multinational conglomerate, using a unique panel data set of planned and actual allocations to business units and a survey of unit CEOs. Following cash windfalls, more powerful managers obtain larger allocations and increase investment substantially more than their less connected peers. We identify cash windfalls as a source of misallocation of capital, as more powerful managers overinvest and their units exhibit lower ex post performance and produc...
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作者：Vig, Vikrant
作者单位：University of London; London Business School
摘要：We investigate how firms respond to strengthening of creditor rights by examining their financial decisions following a securitization reform in India. We find that the reform led to a reduction in secured debt, total debt, debt maturity, and asset growth, and an increase in liquidity hoarding by firms. Moreover, the effects are more pronounced for firms that have a higher proportion of tangible assets because these firms are more affected by the secured transactions law. These results suggest...
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作者：Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); University of St Gallen
摘要：We provide the first systematic study of liquidity in the foreign exchange market. We find significant variation in liquidity across exchange rates, substantial illiquidity costs, and strong commonality in liquidity across currencies and with equity and bond markets. Analyzing the impact of liquidity risk on carry trades, we show that funding (investment) currencies offer insurance against (exposure to) liquidity risk. A liquidity risk factor has a strong impact on carry trade returns from 200...
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作者：Kelley, Eric K.; Tetlock, Paul C.
作者单位：University of Arizona; Columbia University
摘要：We analyze the role of retail investors in stock pricing using a database uniquely suited for this purpose. The data allow us to address selection bias concerns and to separately examine aggressive (market) and passive (limit) orders. Both aggressive and passive net buying positively predict firms' monthly stock returns with no evidence of return reversal. Only aggressive orders correctly predict firm news, including earnings surprises, suggesting they convey novel cash flow information. Only ...
