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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：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：Asparouhova, Elena; Bessembinder, Hendrik; Kalcheva, Ivalina
作者单位：Utah System of Higher Education; University of Utah; University of Arizona
摘要：Temporary deviations of trade prices from fundamental values impart bias to estimates of mean returns to individual securities, to differences in mean returns across portfolios, and to parameters estimated in return regressions. We consider a number of corrections, and show them to be effective under reasonable assumptions. In an application to the Center for Research in Security Prices monthly returns, the corrections indicate significant biases in uncorrected return premium estimates associa...
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作者：Brunnermeier, Markus K.; Oehmke, Martin
作者单位：Princeton University; National Bureau of Economic Research; Columbia University
摘要：Why do some firms, especially financial institutions, finance themselves so short-term? We show that extreme reliance on short-term financing may be the outcome of a maturity rat race: a borrower may have an incentive to shorten the maturity of an individual creditor's debt contract because this dilutes other creditors. In response, other creditors opt for shorter maturity contracts as well. This dynamic toward short maturities is present whenever interim information is mostly about the probab...
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作者：Duchin, Ran; Sosyura, Denis
作者单位：University of Washington; University of Washington Seattle; University of Michigan System; University of Michigan
摘要：Using hand-collected data on divisional managers at S&P 500 firms, we study their role in internal capital budgeting. Divisional managers with social connections to the CEO receive more capital. Connections to the CEO outweigh measures of managers' formal influence, such as seniority and board membership, and affect both managerial appointments and capital allocations. The effect of connections on investment efficiency depends on the tradeoff between agency and information asymmetry. Under wea...
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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：Agarwal, Vikas; Jiang, Wei; Tang, Yuehua; Yang, Baozhong
作者单位：University System of Georgia; Georgia State University; University of Cologne; Columbia University
摘要：This paper studies the confidential holdings of institutional investors, especially hedge funds, where the quarter-end equity holdings are disclosed with a delay through amendments to Form 13F and are usually excluded from the standard databases. Funds managing large risky portfolios with nonconventional strategies seek confidentiality more frequently. Stocks in these holdings are disproportionately associated with information-sensitive events or share characteristics indicating greater inform...
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作者：Patton, Andrew J.; Ramadorai, Tarun
作者单位：Duke University; University of Oxford; University of Oxford
摘要：We propose a new method to model hedge fund risk exposures using relatively high-frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that capturing within-month variation is more important for hedge funds than for mutual funds. We consider different within-month functional forms, and uncover patterns such as day-of-the-month variation in risk exposures. We also find that changes in portfoli...
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作者：Cornelli, Francesca; Kominek, Zbigniew; Ljungqvist, Alexander
作者单位：University of London; London Business School; New York University; National Bureau of Economic Research
摘要：We study how well-incentivized boards monitor CEOs and whether monitoring improves performance. Using unique, detailed data on boards' information sets and decisions for a large sample of private equitybacked firms, we find that gathering information helps boards learn about CEO ability. Soft information plays a much larger role than hard data, such as the performance metrics that prior literature focuses on, and helps avoid firing a CEO for bad luck or in response to adverse external shocks. ...
