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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...
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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：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：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：Kaplan, Steven N.; Moskowitz, Tobias J.; Sensoy, Berk A.
作者单位：University of Chicago; National Bureau of Economic Research; University System of Ohio; Ohio State University
摘要：We examine the impact of short selling by conducting a randomized stock lending experiment. Working with a large, anonymous money manager, we create an exogenous and sizeable shock to the supply of lendable shares by taking high loan fee stocks in the manager's portfolio and randomly making available and withholding stocks from the lending market. The experiment ran in two independent phases: the first, from September 5 to 18, 2008, with over $580 million of securities lent, and the second, fr...
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作者：Acharya, Viral V.; Almeida, Heitor; Campello, Murillo
作者单位：National Bureau of Economic Research; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Cornell University
摘要：Banks can create liquidity for firms by pooling their idiosyncratic risks. As a result, bank lines of credit to firms with greater aggregate risk should be costlier and such firms opt for cash in spite of the incurred liquidity premium. We find empirical support for this novel theoretical insight. Firms with higher beta have a higher ratio of cash to credit lines and face greater costs on their lines. In times of heightened aggregate volatility, banks exposed to undrawn credit lines become ris...
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作者：Perez-Gonzalez, Francisco; Yun, Hayong
作者单位：Stanford University; National Bureau of Economic Research; Michigan State University; Michigan State University's Broad College of Business
摘要：This paper shows that active risk management policies lead to an increase in firm value. To identify the effect of hedging and to overcome endogeneity concerns, we exploit the introduction of weather derivatives as an exogenous shock to firms' ability to hedge weather risks. This innovation disproportionately benefits weather-sensitive firms, irrespective of their future investment opportunities. Using this natural experiment and data from energy firms, we find that derivatives lead to higher ...
