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作者：Han, Bing; Longstaff, Francis A.; Merrill, Craig
作者单位：University of Texas System; University of Texas Austin; University of California System; University of California Los Angeles; National Bureau of Economic Research; Brigham Young University
摘要：We study an important recent series of buyback auctions conducted by the U.S. Treasury in retiring $67.5 billion of its illiquid off-the-run debt. The Treasury was successful in buying back large amounts of illiquid debt while suffering only a small market-impact cost. The Treasury included the most-illiquid bonds more frequently in the auctions, but tended to buy back the least-illiquid of these bonds. Although the Treasury had the option to cherry pick from among the bonds offered, we find t...
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作者：Franzen, Laurel A.; Rodgers, Kimberly J.; Simin, Timothy T.
作者单位：University of Texas System; University of Texas Dallas; New York University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Because of upward trends in research and development activity, accounting measures of financial distress have become less accurate. We document that (1) higher research and development spending increases the likelihood of misclassifying solvent firms, (2) adjusting for conservative accounting of research and development increases the number of correctly identified distressed firms, and (3) adjusted measures of distress alleviate previously documented anomalously low returns of large, high dist...
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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：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...
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作者：Almeida, Heitor; Philippon, Thomas
作者单位：New York University; National Bureau of Economic Research
摘要：Financial distress is more likely to happen in bad times. The present value of distress costs therefore depends on risk premia. We estimate this value using risk-adjusted default probabilities derived from corporate bond spreads. For a BBB-rated firm, our benchmark calculations show that the NPV of distress is 4.5% of predistress value. In contrast, a valuation that ignores risk premia generates an NPV of 1.4%. We show that marginal distress costs can be as large as the marginal tax benefits o...
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作者：Pouget, Sebastien
作者单位：Universite de Toulouse
摘要：This paper studies a financial market populated by adaptive traders. Learning is modeled following Camerer and Ho (1999). A call market and a Walrasian tatonnement are compared in an environment in which both institutions have the same Nash and competitive equilibrium outcomes. When traders learn via a belief-based model, equilibrium is discovered in both types of markets. In contrast, when traders learn via a reinforcement-based model, convergence to equilibrium is achieved in the Walrasian t...
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作者：Board, Simon
作者单位：University of Toronto
摘要：This paper investigates auctions where bidders have limited liability. First, we analyze bidding behavior under different auction formats, showing that the second-price auction induces higher prices, higher bankruptcy rates, and lower utilities than the first-price auction. Second, we show that the cost of bankruptcy critically affects the seller's preference over the choice of auction. If bankruptcy is very costly, the seller prefers the first-price auction over the second-price auction. Alte...
