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作者：Jorion, Philippe; Zhang, Gaiyan
作者单位：University of California System; University of California Irvine; University of Missouri System; University of Missouri Saint Louis
摘要：Standard credit risk models cannot explain the observed clustering of default, sometimes described as credit contagion. This paper provides the first empirical analysis of credit contagion via direct counterparty effects. We find that bankruptcy announcements cause negative abnormal equity returns and increases in CDS spreads for creditors. In addition, creditors with large exposures are more likely to suffer from financial distress later. This suggests that counterparty risk is a potential ad...
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作者：Juergens, Jennifer L.; Lindsey, Laura
作者单位：University of Texas System; University of Texas Austin; Arizona State University; Arizona State University-Tempe
摘要：This paper examines trading volume for Nasdaq market makers around analyst recommendation changes issued by an analyst at the same firm. Using Nasdaq Post-Data, we find a disproportionate increase in market making volume associated with the firm's recommendation changes and evidence of elevated sell volume at the recommending analyst's firm in the 2 days preceding a downgrade. The implications are that the information source matters in determining the placement of trades and that the issuing a...
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作者：Agarwal, Vikas; Daniel, Naveen D.; Naik, Narayan Y.
作者单位：University System of Georgia; Georgia State University; University of Cologne; Drexel University; University of London; London Business School
摘要：Using a comprehensive hedge fund database, we examine the role of managerial incentives and discretion in hedge fund performance. Hedge funds with greater managerial incentives, proxied by the delta of the option-like incentive fee contracts, higher levels of managerial ownership, and the inclusion of high-water mark provisions in the incentive contracts, are associated with superior performance. The incentive fee percentage rate by itself does not explain performance. We also find that funds ...
