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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：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：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：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：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：Caballero, Ricardo J.; Simsek, Alp
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We present a model of financial crises that stem from endogenous complexity. We conceptualize complexity as banks' uncertainty about the financial network of cross exposures. As conditions deteriorate, cross exposures generate the possibility of a domino effect of bankruptcies. As this happens, banks face an increasingly complex environment since they need to understand a greater fraction of the financial network to assess their own financial health. Complexity dramatically amplifies banks' pe...
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作者：Kan, Raymond; Robotti, Cesare; Shanken, Jay
作者单位：University of Toronto; Emory University
摘要：Over the years, many asset pricing studies have employed the sample cross-sectional regression (CSR) R-2 as a measure of model performance. We derive the asymptotic distribution of this statistic and develop associated model comparison tests, taking into account the impact of model misspecification on the variability of the CSR estimates. We encounter several examples of large R-2 differences that are not statistically significant. A version of the intertemporal capital asset pricing model (CA...
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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...
