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作者：Parlour, Christine A.; Stanton, Richard; Walden, Johan
作者单位：University of California System; University of California Berkeley
摘要：In our parsimonious general-equilibrium model of banking and asset pricing, intermediaries have the expertise to monitor and reallocate capital. We study financial development, intraeconomy capital flows, the size of the banking sector, the value of intermediation, expected market returns, and the risk of bank crashes. Asset pricing implications include: a markets dividend yield is related to its financial flexibility, and capital flows should be important in explaining expected returns and 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：Dumas, Bernard; Lyasoff, Andrew
作者单位：National Bureau of Economic Research; Boston University
摘要：Because of non-traded human capital, real-world financial markets are massively incomplete, while the modeling of imperfect, dynamic financial markets remains a wide-open and difficult field. Some 30 years after Cox, Ross, and Rubinstein (1979) taught us how to calculate the prices of derivative securities on an event tree by simple backward induction, we show how a similar formulation can be used in computing heterogeneous-agents incomplete-market equilibrium prices of primitive securities. E...
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作者：Gande, Amar; Saunders, Anthony
作者单位：Southern Methodist University; New York University
摘要：Secondary market trading in loans elicits a significant positive stock price response by a borrowing firms equity investors. We find the major reason for this response is the alleviation of borrowing firms financial constraints. We also find that new loan announcements are associated with a positive stock price effect even when prior loans made to the same borrower already trade on the secondary market. We conclude that the special role of banks has changed due to their ability to create an ac...
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作者：Cetorelli, Nicola; Goldberg, Linda S.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：Globalization of banking raises questions about banks liquidity management, their response to liquidity shocks, and the potential for international shock propagation. We conjecture that global banks manage liquidity on a global scale, actively using cross-border internal funding in response to local shocks. Having global operations insulates banks from changes in monetary policy, while banks without global operations are more affected by monetary policy than previously found. We provide direct...
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作者：Houston, Joel F.; Lin, Chen; Ma, Yue
作者单位：State University System of Florida; University of Florida; Chinese University of Hong Kong; Lingnan University
摘要：We study whether cross-country differences in regulations have affected international bank flows. We find strong evidence that banks have transferred funds to markets with fewer regulations. This form of regulatory arbitrage suggests there may be a destructive race to the bottom in global regulations, which restricts domestic regulators ability to limit bank risk-taking. However, we also find that the links between regulation differences and bank flows are significantly stronger if the recipie...
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作者：Lambrecht, Bart M.; Myers, Stewart C.
作者单位：Lancaster University; Massachusetts Institute of Technology (MIT)
摘要：We develop a dynamic agency model in which payout, investment, and financing decisions are made by managers who attempt to maximize the rents they take from the firm, subject to a capital market constraint. Managers smooth payout to smooth their flow of rents. Total payout (dividends plus net repurchases) follows Lintners (1956) target adjustment model. Payout smooths out transitory shocks to current income and adjusts gradually to changes in permanent income. Smoothing is accomplished by borr...
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作者：Edmans, Alex; Gabaix, Xavier; Sadzik, Tomasz; Sannikov, Yuliy
作者单位：University of Pennsylvania; New York University; Princeton University; National Bureau of Economic Research
摘要：We study optimal compensation in a dynamic framework where the CEO consumes in multiple periods, can undo the contract by privately saving, and can temporarily inflate earnings. We obtain a simple closed-form contract that yields clear predictions for how the level and performance sensitivity of pay vary over time and across firms. The contract can be implemented by escrowing the CEOs pay into a Dynamic Incentive Account that comprises cash and the firms equity. The account features state-depe...
