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作者：Liu, J; Longstaff, FA; Pan, J
作者单位：University of California System; University of California Los Angeles; Massachusetts Institute of Technology (MIT)
摘要：Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide analytical solutions to the optimal portfolio problem. Event risk dramatically affects the optimal strategy An investor facing event risk is less willing to take leveraged or short positions. The investor acts as if some portion of his wealth may become illi...
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作者：Aggarwal, RK; Samwick, AA
作者单位：Dartmouth College; National Bureau of Economic Research
摘要：We develop a contracting model between shareholders and managers in which managers diversify their firms for two reasons: to reduce idiosyncratic risk and to capture private benefits. We test the comparative static predictions of our model. In contrast to previous work, we find that diversification is positively related to managerial incentives. Further, the link between firm performance and managerial incentives is weaker for firms that experience changes in diversification than it is for fir...
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作者：Duffie, D; Pedersen, LH; Singleton, KJ
作者单位：Stanford University; New York University
摘要：We construct a model for pricing sovereign debt that accounts for the risks of both default and restructuring, and allows for compensation for illiquidity Using a new and relatively efficient method, we estimate the model using Russian dollar-denominated bonds. We consider the determinants of the Russian yield spread, the yield differential across different Russian bonds, and the implications for market integration, relative liquidity, relative expected recovery rates, and implied expectations...
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作者：Dahiya, S; Saunders, A; Srinivasan, A
作者单位：Georgetown University; New York University; University System of Georgia; University of Georgia
摘要：We use a unique data set of bank loans to examine the wealth effects on lead lending banks when their borrowers suffer financial distress. We find a significant negative announcement return for the lead lending bank when a major corporate borrower announces default or bankruptcy. Banks with higher exposure to the distressed firm have larger negative announcement-period returns. The existence of a past lending relationship with the distressed firm results in larger wealth declines for the bank ...
