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作者：Povel, Paul; Singh, Rajdeep
作者单位：University of Houston System; University of Houston; University of Minnesota System; University of Minnesota Twin Cities
摘要：Stapled finance is a loan commitment arranged by a seller in an M&A setting. Whoever wins the bidding contest has the option (not the obligation) to accept this loan commitment. We show that stapled finance increases bidding competition by subsidizing weak bidders, who raise their bids and thereby the price that strong bidders (who are more likely to win) must pay. The lender expects not to break even and must be compensated for offering the loan. This reduces but does not eliminate the seller...
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作者：Campbell, John Y.; Serfaty-De Medeiros, Karine; Viceira, Luis M.
作者单位：Harvard University; Harvard University; National Bureau of Economic Research
摘要：Over the period 1975 to 2005, the U.S. dollar (particularly in relation to the Canadian dollar), the euro, and the Swiss franc (particularly in the second half of the period) moved against world equity markets. Thus, these currencies should be attractive to risk-minimizing global equity investors despite their low average returns. The risk-minimizing currency strategy for a global bond investor is close to a full currency hedge, with a modest long position in the U.S. dollar. There is little e...
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作者：Korteweg, Arthur
作者单位：Stanford University
摘要：I estimate the market's valuation of the net benefits to leverage using panel data from 1994 to 2004, identified from market values and betas of a company's debt and equity. The median firm captures net benefits of up to 5.5% of firm value. Small and profitable firms have high optimal leverage ratios, as predicted by theory, but in contrast to existing empirical evidence. Companies are on average slightly underlevered relative to the optimal leverage ratio at refinancing. This result is mainly...
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作者：Grenadier, Steven R.; Malenko, Andrey
作者单位：Stanford University
摘要：Traditional real options models demonstrate the importance of the option to wait due to uncertainty over future shocks to project cash flows. However, there is often another important source of uncertainty: uncertainty over the permanence of past shocks. Adding Bayesian uncertainty over the permanence of past shocks augments the traditional option to wait with an additional option to learn. The implied investment behavior differs significantly from that in standard models. For example, investm...
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作者：Boyson, Nicole M.; Stahel, Christof W.; Stulz, Rene M.
作者单位：Northeastern University; George Mason University; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：Defining contagion as correlation over and above that expected from economic fundamentals, we find strong evidence of worst return contagion across hedge fund styles for 1990 to 2008. Large adverse shocks to asset and hedge fund liquidity strongly increase the probability of contagion. Specifically, large adverse shocks to credit spreads, the TED spread, prime broker and bank stock prices, stock market liquidity, and hedge fund flows are associated with a significant increase in the probabilit...
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作者：Green, Richard C.; Li, Dan; Schuerhoff, Norman
作者单位：Carnegie Mellon University; University of Lausanne; Swiss Finance Institute (SFI)
摘要：We study price discovery in municipal bonds, an important OTC market. As in markets for consumer goods, prices rise faster than they fall. Round-trip profits to dealers on retail trades increase in rising markets but do not decrease in falling markets. Further, effective half-spreads increase or decrease more when movements in fundamentals favor dealers. Yield spreads relative to Treasuries also adjust with asymmetric speed in rising and falling markets. Finally, intraday price dispersion is a...
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作者：Ai, Hengjie
作者单位：Duke University
摘要：I study the asset pricing implications of the quality of public information about persistent productivity shocks in a general equilibrium model with Kreps-Porteus preferences. Low information quality is associated with a high equity premium, a low volatility of consumption growth, and a low volatility of the risk-free interest rate. The relationship between information quality and the equity premium differs from that in endowment economies. My calibration improves substantially upon the Bansal...
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作者：Duffie, Darrell
作者单位：Stanford University
摘要：I describe asset price dynamics caused by the slow movement of investment capital to trading opportunities. The pattern of price responses to supply or demand shocks typically involves a sharp reaction to the shock and a subsequent and more extended reversal. The amplitude of the immediate price impact and the pattern of the subsequent recovery can reflect institutional impediments to immediate trade, such as search costs for trading counterparties or time to raise capital by intermediaries. I...
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作者：Menzly, Lior; Ozbas, Oguzhan
作者单位：University of Southern California
摘要：We present evidence supporting the hypothesis that due to investor specialization and market segmentation, value-relevant information diffuses gradually in financial markets. Using the stock market as our setting, we find that (i) stocks that are in economically related supplier and customer industries cross-predict each other's returns, (ii) the magnitude of return cross-predictability declines with the number of informed investors in the market as proxied by the level of analyst coverage and...
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作者：Matsa, David A.
作者单位：Northwestern University
摘要：I analyze the strategic use of debt financing to improve a firm's bargaining position with an important supplier-organized labor. Because maintaining high levels of corporate liquidity can encourage workers to raise their wage demands, a firm with external finance constraints has an incentive to use the cash flow demands of debt service to improve its bargaining position with workers. Using both firm-level collective bargaining coverage and state changes in labor laws to identify changes in un...
