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作者：Chen, Hui; Chen, Zhiyao; Li, Jun
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; City University of Hong Kong; University of Texas System; University of Texas Dallas
摘要：We propose a measure of the valuation gap between debt and equity-debt-equity spread (DES)-based on the difference between actual and equity-implied credit spreads. DES predicts cross-sectional stock and bond returns in opposite directions. This predictability is unique compared to existing mispricing measures and cannot be explained by exposures to various risk factors. High-DES firms are more likely to issue equity and retire debt, and have more insider equity selling. These findings are con...
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作者：Levit, Doron; Malenko, Nadya; Maug, Ernst
作者单位：University of Washington; University of Washington Seattle; Boston College; University of Mannheim
摘要：We develop a unified theory of blockholder governance and the voting premium in a setting without takeovers or controlling shareholders. A voting premium emerges when a minority blockholder can influence shareholder composition by accumulating votes and buying shares from dissenting shareholders. Our theory reconciles conflicting empirical findings by showing that standard measures of the voting premium often misrepresent the true value of voting rights, increased conflicts between the blockho...
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作者：Back, Kerry; Carlin, Bruce I.; Kazempour, Seyed M.; Xie, Chloe L.
作者单位：Rice University; Rice University; Louisiana State University System; Louisiana State University; Massachusetts Institute of Technology (MIT)
摘要：Discretionary announcement timing generates high conditional risk premia of stock returns and a pattern of negative drifts followed by positive jumps. Average announcement returns are much larger than unconditional risk premia. Capital Asset Pricing Model alphas turn negative when conditioning on nondisclosure because betas rise faster than risk premia prior to disclosures, but average announcement returns may appear to be too large relative to market risk when betas are estimated from past re...
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作者：Chong, Carsten H.; Todorov, Viktor
作者单位：Hong Kong University of Science & Technology; Northwestern University
摘要：We derive tight pricing kernel restrictions from options with same-day expiration (0DTEs). These restrictions concern the volatility of small and frequent asset price moves that the equity and options markets must agree on in a frictionless economy. Their violation leads to pseudo-arbitrage opportunities, characterized by nontrivial reward-to-risk ratios over arbitrarily short horizons and achieved by a combined position in 0DTEs and the underlying asset. Empirically, we find no evidence of fe...
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作者：Fang, Lily; Goldman, Jim; Roulet, Alexandra
作者单位：INSEAD Business School; McGill University
摘要：Using two decades of French administrative data, we find that post-leveraged buyout (LBO), target firms reduce within-firm pay gaps while increasing profitability relative to control firms. Employee turnover drives the pay-gap reduction. In target and control firms alike, turnovers reduce average pay more at the top of the wage distribution than at the bottom because separated employees are paid more-new joiners less-than similar employees, especially among skilled employees. LBOs amplify this...
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作者：Bryzgalova, Svetlana; Huang, Jiantao; Julliard, Christian
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; University of Hong Kong
摘要：Using information in returns, we identify the stochastic process of consumption. We find that aggregate consumption reacts over multiple quarters to innovations spanned by financial markets. This persistent component accounts for over a quarter of consumption variation. These shocks command a large and significant risk premium, driving a large share of stocks' and a small yet significant fraction of bonds' time-series variation. Nevertheless, we find no support for stochastic volatility of con...
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作者：Martin, Christopher; Puri, Manju; Ufier, Alexander
作者单位：Federal Deposit Insurance Corporation (FDIC); Duke University; National Bureau of Economic Research
摘要：Using unique, daily, account-level data, we investigate deposit outflows and inflows in a distressed bank. We observe an outflow of uninsured depositors following bad regulatory news. Both regular and temporary deposit insurance reduce outflows. We provide important new evidence that, simultaneous with deposit outflows, deposit inflows are first order. Uninsured deposit outflows were largely offset with new insured deposit inflows as the bank approached failure, with the bank increasing term d...
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作者：Griffin, Thomas P.; Nini, Greg; Smith, David C.
作者单位：Villanova University; Drexel University; University of Virginia
摘要：The annual proportion of U.S. public firms that reported a financial covenant violation fell roughly 70% between 1997 and 2019. To understand this trend, we develop an estimable model of covenant design that depends on the ability to differentiate between distressed and nondistressed borrowers and the relative costs associated with screening incorrectly. We find that the drop in violations is best explained by an increased willingness to forgo early detection of distressed borrowers in exchang...
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作者：Jochem, Torsten; Ormazabal, Gaizka; Rajamani, Anjana
作者单位：University of Amsterdam; University of Navarra; IESE Business School; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：This paper documents a new stylized fact: the cross-sectional variation in CEO pay levels has declined precipitously in recent years. We offer one explanation for this decline, namely, firms are increasingly benchmarking CEO compensation to industry peers closest in size, thereby creating pay clusters. Our empirical tests provide support for this explanation and suggest that the rise of industry-size benchmarking is driven by three institutional factors: the mandatory disclosure of compensatio...
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作者：Stavrakeva, Vania; Tang, Jenny
作者单位：University of London; London Business School; Federal Reserve System - USA; Federal Reserve Bank - Boston
摘要：Conventional wisdom holds that lowering a home country's interest rate relative to another's will depreciate the domestic currency. We document that, at business-cycle frequencies, U.S. forward guidance monetary policy easings had the opposite effect during the Great Recession. We attribute this effect to calendar-based forward guidance that signaled economic weakness, resulting in a flight-to-safety effect and lower expected U.S. inflation. We also document cross-currency heterogeneity: a sur...
