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作者：Yang, Liu
作者单位：University of California System; University of California Los Angeles
摘要：I develop a dynamic structural model in which a firm makes rational decisions to buy or sell assets in the presence of productivity shocks. By identifying equilibrium asset prices, the model also examines the aggregate asset sales activity over the business cycle. It shows that changes in productivity, rather than productivity levels, affect decisions: Firms with rising productivity buy assets and firms with falling productivity downsize (rising buys falling). As such, industries in which firm...
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作者：Caballero, Ricardo J.; Krishnamurthy, Arvind
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Northwestern University
摘要：Severe flight to quality episodes involve uncertainty about the environment, not only risk about asset payoffs. The uncertainty is triggered by unusual events and untested financial innovations that lead agents to question their worldview. We present a model of crises and central bank policy that incorporates Knightian uncertainty. The model explains crisis regularities such as market-wide capital immobility, agents' disengagement from risk, and liquidity hoarding. We identify a social cost of...
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作者：Pan, Jun; Singleton, Kenneth J.
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Stanford University
摘要：This paper explores the nature of default arrival and recovery implicit in the term structures of sovereign CDS spreads. We argue that term structures of spreads reveal not only the arrival rates of credit events (lambda(Q)), but also the loss rates given credit events. Applying our framework to Mexico, Turkey, and Korea, we show that a single-factor model with lambda(Q) following a lognormal process captures most of the variation in the term structures of spreads. The risk premiums associated...
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作者：Albuquerque, Rui; De Francisco, Eva; Marques, Luis B.
作者单位：Boston University; University System of Maryland; Towson University; Johns Hopkins University; Universidade do Porto
摘要：We present a model of equity trading with informed and uninformed investors where informed investors trade on firm-specific and marketwide private information. The model is used to identify the component of order flow due to marketwide private information. Estimated trades driven by marketwide private information display little or no correlation with the first principal component in order flow. Indeed, we find that co-movement in order flow captures variation mostly in liquidity trades. Market...
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作者：Marin, Jose M.; Olivier, Jacques P.
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：This paper documents that at the individual stock level, insiders' sales peak many months before a large drop in the stock price, while insiders' purchases peak only the month before a large jump. We provide a theoretical explanation for this phenomenon based on trading constraints and asymmetric information. A key feature of our theory is that rational uninformed investors may react more strongly to the absence of insider sales than to their presence (the dog that did not bark effect). We tes...
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作者：Chava, Sudheer; Roberts, Michael R.
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; University of Pennsylvania
摘要：We identify a specific channel (debt covenants) and the corresponding mechanism (transfer of control rights) through which financing frictions impact corporate investment. Using a regression discontinuity design, we show that capital investment declines sharply following a financial covenant violation, when creditors use the threat of accelerating the loan to intervene in management. Further, the reduction in investment is concentrated in situations in which agency and information problems are...
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作者：Detragiache, Enrica; Tressel, Thierry; Gupta, Poonam
作者单位：Delhi School of Economics
摘要：We study how foreign bank penetration affects financial sector development in poor countries. A theoretical model shows that when domestic banks are better than foreign banks at monitoring soft information customers, foreign bank entry may hurt these customers and worsen welfare. The model also predicts that credit to the private sector should be lower in countries with more foreign bank penetration, and that foreign banks should have a less risky loan portfolio. In the empirical section, we t...
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作者：Paravisini, Daniel
作者单位：Columbia University
摘要：I exploit the exogenous component of a formula-based allocation of government funds across banks in Argentina to test for financial constraints and underinvestment by local banks. Banks are found to expand lending by $0.66 in response to an additional dollar of external financing. Using novel data to measure risk and return on marginal lending, I show that the profitability of lending does not decline and total borrower debt increases during lending expansions, holding investment opportunities...
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作者：Marosi, Andras; Massoud, Nadia
作者单位：University of Alberta; York University - Canada
摘要：Although a number of prior papers have argued the benefits to foreign firms of cross-listing their shares in the U.S., the number of foreign firms exiting U.S. capital markets has been increasing. This has occurred despite the difficulties foreign firms face in deregistering from the Securities and Exchange Commission (SEC). This paper examines the reasons underlying this trend. One of our main findings is that the passage of the Sarbanes-Oxley Act has reduced the net benefits of a U.S. listin...
