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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：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：Schoar, Antoinette
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作者：Barardehi, Yashar H.; Dixon, Peter; Liu, Qiyu
作者单位：Virginia Polytechnic Institute & State University; U.S. Securities & Exchange Commission (SEC)
摘要：We introduce a simple measure of informed trading risk, , the residual to liquidity quote-improvement-to-deterioration ratio times . When facing with increased informed trading risk, liquidity providers compete less to provide liquidity, reducing their undercutting activity. Reductions in undercutting leave footprints in trade and quote data that are captured by . Unlike prior measures, is easy to construct, can be computed intraday, and is orthogonal to liquidity. The measure outperforms prom...
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作者：Binfare, Matteo; Zimmerschied, Kyle E.
作者单位：University of Missouri System; University of Missouri Columbia; University of Arkansas System; University of Arkansas Fayetteville
摘要：We study the asset allocation and investment performance of U.S. private foundations that support the charitable sector. Large foundations generated positive risk-adjusted returns before 2008, driven by early access to private equity and venture capital funds, but have underperformed since. The median foundation underperforms by more than 100 bps. Foundations with concentrated stock holdings achieve higher returns but assume more risk. Due to the constraints imposed by the 5% minimum spending ...
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作者：Gonzalez, Rodrigo Barbone; Khametshin, Dmitry; Peydro, Jose-luis; Polo, Andrea
作者单位：Central Bank of Brazil; Luiss Guido Carli University
摘要：We show that FX interventions can be effective, particularly in attenuating global financial spillovers. We exploit global financial shocks and Brazilian central bank interventions in FX derivatives using three matched administrative registers: bank credit (to firms), foreign credit to banks, and employer-employees. After the U.S. Taper Tantrum (followed by emerging markets' FX turbulence), Brazilian banks with more foreign debt cut credit supply, reducing firm-level employment. A subsequent l...
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作者：Hendershott, Terrence; Li, Dan; Livdan, Dmitry; Schurhoff, Norman; Venkataraman, Kumar
作者单位：University of California System; University of California Berkeley; Federal Reserve System - USA; Federal Reserve System Board of Governors; Center for Economic & Policy Research (CEPR); University of Lausanne; University of Lausanne; Swiss Finance Institute (SFI); Southern Methodist University
摘要：Dealer quotes in corporate bonds, though indicative, lower trading costs and increase trading volume. Dealers offering higher quality quotes attract more order flow and execute trades at favorable prices. Dealers advertise quotes to manage their inventories and attract orders from nonrelationship clients. However, quote competition is imperfect. The best quotes often fail to attract orders, and trade-throughs are common. Nevertheless, quote competition is important as clients exploit quotes fr...
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作者：Diamond, William; Van Tassel, Peter
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：We infer risk-free rates from index option prices to estimate safe asset convenience yields in 10 G11 currencies. Countries' convenience yields increase with the level of their interest rates, with U.S. convenience yields fifth largest. During financial crises, convenience yields grow, but the difference between United States and foreign convenience yields generally does not. Covered interest parity (CIP) deviations using our option-implied rates are a similar size between the United States an...
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作者：Pazarbasi, Altan
作者单位：Ihsan Dogramaci Bilkent University
摘要：This paper provides novel empirical evidence that cash-rich firms have higher equity payouts and higher stock prices in response to expansionary monetary policy surprises. Stock prices rise despite weak cash-flow, investment, and credit responses to monetary policy. I rationalize the empirical evidence in a heterogeneous-firm New Keynesian model where firms finance investment with cash and equity issuance. Monetary easing weakens precautionary cash demand, leading cash-rich firms to optimally ...
