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作者：Axelson, Ulf
作者单位：Stockholm School of Economics
摘要：I study the security design problem of a firm when investors rather than managers have private information about the firm. I find that it is often optimal to issue information-sensitive securities such as equity. The folklore proposition of debt from traditional signaling models only goes through if the firm can vary the face value of debt with investor demand. When the firm has several assets, debt backed by a pool of assets is optimal when the degree of competition among investors is low, wh...
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作者：Demyanyk, Yuliya; Ostergaard, Charlotte; Sorensen, Bent E.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; BI Norwegian Business School; Norges Bank; University of Houston System; University of Houston
摘要：We estimate the effects of deregulation of U.S. banking restrictions on interstate personal income insurance for the period 1970 to 2001. Interstate income insurance occurs when personal income reacts less than one-to-one to state-specific output shocks. We find that insurance improved after banking deregulation, with a larger effect in states where small businesses are more important and on proprietors' income than on other components of personal income. Our explanation centers on the role of...
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作者：Sorensen, Morten
作者单位：University of Chicago
摘要：I find that companies funded by more experienced VCs are more likely to go public. This follows both from the direct influence of more experienced VCs and from sorting in the market, which leads experienced VCs to invest in better companies. Sorting creates an endogeneity problem, but a structural model based on a two-sided matching model is able to exploit the characteristics of the other agents in the market to separately identify and estimate influence and sorting. Both effects are found to...
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作者：Edmans, Alex; Garcia, Diego; Norli, Oyvind
作者单位：University of Pennsylvania; University of North Carolina; University of North Carolina Chapel Hill; BI Norwegian Business School
摘要：This paper investigates the stock market reaction to sudden changes in investor mood. Motivated by psychological evidence of a strong link between soccer outcomes and mood, we use international soccer results as our primary mood variable. We find a significant market decline after soccer losses. For example, a loss in the World Cup elimination stage leads to a next-day abnormal stock return of -49 basis points. This loss effect is stronger in small stocks and in more important games, and is ro...
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作者：Friberg, Richard; Ganslandt, Mattias
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作者：Han, Bing
作者单位：University of Texas System; University of Texas Austin
摘要：I develop an interest rate model with separate factors driving innovations in bond yields and their covariances. It features a flexible and tractable affine structure for bond covariances. Maximum likelihood estimation of the model with panel data on swaptions and discount bonds implies pricing errors for swaptions that are almost always lower than half of the bid-ask spread. Furthermore, market prices of interest rate caps do not deviate significantly from their no-arbitrage values implied by...
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作者：Sufi, Amir
作者单位：University of Chicago
摘要：I empirically explore the syndicated loan market, with an emphasis on how information asymmetry between lenders and borrowers influences syndicate structure and on which lenders become syndicate members. Consistent with moral hazard in monitoring, the lead bank retains a larger share of the loan and forms a more concentrated syndicate when the borrower requires more intense monitoring and due diligence. When information asymmetry between the borrower and lenders is potentially severe, particip...
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作者：Dittmann, Ingolf; Maug, Ernst
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of Mannheim
摘要：We calibrate the standard principal-agent model with constant relative risk aversion and lognormal stock prices to a sample of 598 U.S. CEOs. We show that this model predicts that most CEOs should not hold any stock options. Instead, CEOs should have lower base salaries and receive additional shares in their companies; many would be required to purchase additional stock in their companies. These contracts would reduce average compensation costs by 20% while providing the same incentives and th...
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作者：Carey, Mark; Nini, Greg
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We offer evidence that interest rate spreads on syndicated loans to corporate borrowers are economically significantly smaller in Europe than in the United States, other things equal. Differences in borrower, loan, and lender characteristics do not appear to explain this phenomenon. Borrowers overwhelmingly issue in their natural home market and bank portfolios display home bias. This may explain why pricing discrepancies are not competed away, though their causes remain a puzzle. Thus, import...
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作者：George, Thomas J.; Hwang, Chuan-Yang
作者单位：University of Houston System; University of Houston; Nanyang Technological University
摘要：Long-term reversals in U.S. stock returns are better explained as the rational reactions of investors to locked-in capital gains than an irrational overreaction to news. Predictors of returns based on the overreaction hypothesis have no power, while those that measure locked-in capital gains do, completely subsuming past returns measures that are traditionally used to predict long-term returns. In data from Hong Kong, where investment income is not taxed, reversals are nonexistent, and returns...
