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作者：Roll, Richard; Schwartz, Eduardo; Subrahmanyam, Avanidhar
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作者：Johannes, Michael; Sundaresan, Suresh
作者单位：Columbia University
摘要：Interest rate swap pricing theory traditionally views swaps as a portfolio of forward contracts with net swap payments discounted at LIBOR rates. In practice, the use of marking-to-market and collateralization questions this view as they introduce intermediate cash flows and alter credit characteristics. We provide a swap valuation theory under marking-to-market and costly collateral and examine the theory's empirical implications. We find evidence consistent with costly collateral using two d...
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作者：Chen, Long; Lesmond, David A.; Wei, Jason
作者单位：Michigan State University; Tulane University; University of Toronto
摘要：We find that liquidity is priced in corporate yield spreads. Using a battery of liquidity measures covering over 4,000 corporate bonds and spanning both investment grade and speculative categories, we find that more illiquid bonds earn higher yield spreads, and an improvement in liquidity causes a significant reduction in yield spreads. These results hold after controlling for common bond-specific, firm-specific, and macroeconomic variables, and are robust to issuers' fixed effect and potentia...
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作者：Davydenko, Sergei A.; Strebulaev, Ilya A.
作者单位：University of Toronto; Stanford University
摘要：Do strategic actions of borrowers and lenders affect corporate debt values ? We find higher bond spreads for firms that can renegotiate debt contracts relatively easily. Consistent with theories of strategic debt service, the threat of strategic default depresses bond values ex ante, even though there may be efficiency gains from renegotiation ex post. However, the economic significance of the net effect is small, suggesting that bondholders have considerable bargaining power. The effect of st...
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作者：Kacperczyk, Marcin; Seru, Amit
作者单位：University of British Columbia; University of Michigan System; University of Michigan
摘要：We show theoretically that the responsiveness of a fund manager's portfolio allocations to changes in public information decreases in the manager's skill. We go on to estimate this sensitivity (RPI) as the R-2 of the regression of changes in a manager's portfolio holdings on changes in public information using a panel of U.S. equity funds. Consistent with RPI containing information related to managerial skills, we find a strong inverse relationship between RPI and various existing measures of ...
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作者：Leland, Hayne E.
摘要：Multiple activities may be separated financially, allowing each to optimize its financial structure, or combined in a firm with a single optimal financial structure. We consider activities with nonsynergistic operational cash flows, and examine the purely financial benefits of separation versus merger. The magnitude of financial synergies depends upon tax rates, default costs, relative size, and the riskiness and correlation of cash flows. Contrary to accepted wisdom, financial synergies from ...
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作者：Masulis, Ronald W.; Wang, Cong; Xie, Fei
作者单位：Vanderbilt University; Chinese University of Hong Kong; George Mason University
摘要：We examine whether corporate governance mechanisms, especially the market for corporate control, affect the profitability of firm acquisitions. We find that acquirers with more antitakeover provisions experience significantly lower announcement-period abnormal stock returns. This supports the hypothesis that managers at firms protected by more antitakeover provisions are less subject to the disciplinary power of the market for corporate control and thus are more likely to indulge in empire-bui...
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作者：Battalio, Robert; Ellul, Andrew; Jennings, Robert
作者单位：University of Notre Dame; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：Theory suggests that reputations allow nonanonymous markets to attenuate adverse selection in trading. We identify instances in which New York Stock Exchange (NYSE) stocks experience trading floor relocations. Although specialists follow the stocks to their new locations, most brokers do not. We find a discernable increase in liquidity costs around a stock's relocation that is larger for stocks with higher adverse selection and greater broker turnover. We also find that floor brokers relocatin...
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作者：Strebulaev, Ilya A.
作者单位：Stanford University
摘要：In the presence of frictions, firms adjust their capital structure infrequently. As a consequence, in a dynamic economy the leverage of most firms is likely to differ from the optimum leverage at the time of readjustment. This paper explores the empirical implications of this observation. I use a calibrated dynamic trade-off model to simulate firms' capital structure paths. The results of standard cross-sectional tests on these data are consistent with those reported in the empirical literatur...
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作者：Broadie, Mark; Chernov, Mikhail; Sundaresan, Suresh
作者单位：Columbia University; University of London; London Business School
摘要：Explicit presence of reorganization in addition to liquidation leads to conflicts of interest between borrowers and lenders. In the first-best outcome, reorganization adds value to both parties via higher debt capacity, lower credit spreads, and improved overall firm value. If control of the ex ante reorganization timing and the ex post decision to liquidate is given to borrowers, most of the benefits are appropriated by borrowers ex post. Lenders can restore the first-best outcome by seizing ...
