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作者：Jarrow, Robert; Li, Haitao; Zhao, Feng
作者单位：Cornell University; University of Michigan System; University of Michigan; Rutgers University System; Rutgers University New Brunswick
摘要：Using 3 years of interest rate caps price data, we provide a comprehensive documentation of volatility smiles in the caps market. To capture the volatility smiles, we develop a multifactor term structure model with stochastic volatility and jumps that yields a closed-form formula for cap prices. We show that although a three-factor stochastic volatility model can price at-the-money caps well, significant negative jumps in interest rates are needed to capture the smile. The volatility smile con...
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作者：Das, Sanjiv R.; Duffie, Darrell; Kapadia, Nikunj; Saita, Leandro
作者单位：Santa Clara University; Stanford University; University of Massachusetts System; University of Massachusetts Amherst
摘要：We test the doubly stochastic assumption under which firms' default times are correlated only as implied by the correlation of factors determining their default intensities. Using data on U.S. corporations from 1979 to 2004, this assumption is violated in the presence of contagion or frailty (unobservable explanatory variables that are correlated across firms). Our tests do not depend on the time-series properties of default intensities. The data do not support the joint hypothesis of well-spe...
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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：Hochberg, Yael V.; Ljungqvist, Alexander; Lu, Yang
作者单位：Northwestern University; New York University; Centre for Economic Policy Research - UK
摘要：Many financial markets are characterized by strong relationships and networks, rather than arm's-length, spot market transactions. We examine the performance consequences of this organizational structure in the context of relationships established when VCs syndicate portfolio company investments. We find that better-networked VC firms experience significantly better fund performance, as measured by the proportion of investments that are successfully exited through an IPO or a sale to another c...
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作者：Dittmar, Amy; Thakor, Anjan
作者单位：University of Michigan System; University of Michigan; Washington University (WUSTL)
摘要：We develop and test a new theory of security issuance that is consistent with the puzzling stylized fact that firms issue equity when their stock prices are high. The theory also generates new predictions. Our theory predicts that managers use equity to finance projects when they believe that investors' views about project payoffs are likely to be aligned with theirs, thus maximizing the likelihood of agreement with investors. Otherwise, they use debt. We find strong empirical support for our ...
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作者：Adams, Renee B.; Ferreira, Daniel
作者单位：Stockholm School of Economics; University of London; London School Economics & Political Science
摘要：We analyze the consequences of the board's dual role as advisor as well as monitor of management. Given this dual role, the CEO faces a trade-off in disclosing information to the board: If he reveals his information, he receives better advice; however, an informed board will also monitor him more intensively. Since an independent board is a tougher monitor, the CEO may be reluctant to share information with it. Thus, management-friendly boards can be optimal. Using the insights from the model,...
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作者：Delong, Gayle; Deyoung, Robert
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); Federal Deposit Insurance Corporation (FDIC); Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：We offer a new explanation for why academic studies typically fail to find value creation in bank mergers. Our conjectures are predicated on the idea that, until recently, large bank acquisitions were a new phenomenon, with no best practices history to inform bank managers or market investors. We hypothesize that merging banks, and investors pricing bank mergers, learn by observing information that spills over from previous bank mergers. We find evidence consistent with these conjectures for 2...
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作者：Lettau, Martin; Wachter, Jessica A.
作者单位：New York University; University of Pennsylvania
摘要：We propose a dynamic risk-based model that captures the value premium. Firms are modeled as long-lived assets distinguished by the timing of cash flows. The stochastic discount factor is specified so that shocks to aggregate dividends are priced, but shocks to the discount rate are not. The model implies that growth firms covary more with the discount rate than do value firms, which covary more with cash flows. When calibrated to explain aggregate stock market behavior, the model accounts for ...
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作者：Giaccotto, Carmelo; Goldberg, Gerson M.; Hegde, Shantaram P.
作者单位：University of Connecticut; Roger Williams University
摘要：Under the common assumption of constant interest rates, we show that penalties for early termination of a lease are often structured in such a way that the cancellation option embedded in consumer automotive leases has little value. Furthermore, our estimates drawn from a sample of three popular car models over 1990 to 2000 indicate that the stand-alone value of the lease-end purchase option is, on average, about 16% of the market value of underlying used vehicles, or about $1,462 per contract...
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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...
