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作者：Bongaerts, Dion; Cremers, K. J. Martijn; Goetzmann, William N.
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Yale University
摘要：This paper explores the economic role credit rating agencies play in the corporate bond market. We consider three existing theories about multiple ratings: information production, rating shopping, and regulatory certification. Using differences in rating composition, default prediction, and credit spread changes, our evidence only supports regulatory certification. Marginal, additional credit ratings are more likely to occur because of, and seem to matter primarily for, regulatory purposes. Th...
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作者：Murfin, Justin
作者单位：Yale University
摘要：Using a measure of contract strictness based on the probability of a covenant violation, I investigate how lender-specific shocks impact the strictness of the loan contract that a borrower receives. Banks write tighter contracts than their peers after suffering payment defaults to their own loan portfolios, even when defaulting borrowers are in different industries and geographic regions from the current borrower. The effects persist after controlling for bank capitalization, although bank equ...
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作者：Thanassoulis, John
作者单位：University of Oxford
摘要：This paper studies the default risk of banks generated by investment and remuneration pressures. Competing banks prefer to pay their banking staff in bonuses and not in fixed wages as risk sharing on the remuneration bill is valuable. Competition for bankers generates a negative externality, driving up market levels of banker remuneration and hence rival banks default risk. Optimal financial regulation involves an appropriately structured limit on the proportion of the balance sheet used for b...
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作者：Pastor, Lubos; Stambaugh, Robert F.
作者单位：National Bureau of Economic Research; University of Chicago; University of Pennsylvania
摘要：According to conventional wisdom, annualized volatility of stock returns is lower over long horizons than over short horizons, due to mean reversion induced by return predictability. In contrast, we find that stocks are substantially more volatile over long horizons from an investors perspective. This perspective recognizes that parameters are uncertain, even with two centuries of data, and that observable predictors imperfectly deliver the conditional expected return. Mean reversion contribut...
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作者：DeMarzo, Peter M.; Fishman, Michael J.; He, Zhiguo; Wang, Neng
作者单位：Stanford University; Northwestern University; University of Chicago; Columbia University
摘要：We develop an analytically tractable model integrating dynamic investment theory with dynamic optimal incentive contracting, thereby endogenizing financing constraints. Incentive contracting generates a history-dependent wedge between marginal and average q, and both vary over time as good (bad) performance relaxes (tightens) financing constraints. Financial slack, not cash flow, is the appropriate proxy for financing constraints. Investment decreases with idiosyncratic risk, and is positively...
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作者：Greenwood, Robin; Hanson, Samuel G.
作者单位：Harvard University; National Bureau of Economic Research
摘要：We show that characteristics of stock issuers can be used to forecast important common factors in stocks' returns such as those associated with book-to-market, size, and industry. Specifically, we use differences between the attributes of stock issuers and repurchasers to forecast characteristic-related factor returns. For example, we show that large firms underperform after years when issuing firms are large relative to repurchasing firms. While our strongest results are for portfolios based ...
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作者：Golubov, Andrey; Petmezas, Dimitris; Travlos, Nickolaos G.
作者单位：City St Georges, University of London; University of Surrey
摘要：We provide new evidence on the role of financial advisors in M&As. Contrary to prior studies, top-tier advisors deliver higher bidder returns than their non-top-tier counterparts but in public acquisitions only, where the advisor reputational exposure and required skills set are relatively larger. This translates into a $65.83 million shareholder gain for an average bidder. The improvement comes from top-tier advisors ability to identify more synergistic combinations and to get a larger share ...
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作者：Collin-Dufresne, Pierre; Goldstein, Robert S.; Yang, Fan
作者单位：Columbia University; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities; University of Hong Kong
摘要：We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 index options and CDO tranches of corporate debt. We identify market dynamics from index option prices and idiosyncratic dynamics from the term structure of credit spreads. We find that all tranches can be well priced out-of-sample before the crisis. During the crisis, however, our model can capture senior tranche prices only if we allow for the possibility of a catastrophic jump. T...
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作者：Griffin, John M.; Tang, Dragon Yongjun
作者单位：University of Texas System; University of Texas Austin; University of Hong Kong
摘要：Analyzing 916 collateralized debt obligations (CDOs), we find that a top credit rating agency frequently made positive adjustments beyond its main model that amounted to increasingly larger AAA tranche sizes. These adjustments are difficult to explain by likely determinants, but exhibit a clear pattern: CDOs with smaller model-implied AAA sizes receive larger adjustments. CDOs with larger adjustments experience more severe subsequent downgrading. Additionally, prior to April 2007, 91.2% of AAA...
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作者：Sialm, Clemens; Starks, Laura
作者单位：University of Texas System; University of Texas Austin; National Bureau of Economic Research
摘要：Mutual funds are held by investors in taxable and tax-qualified retirement accounts. We investigate whether the characteristics, investment strategies, and performance of mutual funds held by these diverse tax clienteles differ. Examining both mutual fund distributions and mutual fund holdings, we find that funds held primarily by taxable investors choose investment strategies that result in lower tax burdens than funds held primarily in tax-qualified accounts. Despite these differences, we fi...
