织梦内容管理系统
picture from Internet
本文来自织梦
织梦好，好织梦
织梦内容管理系统
1、信用价差之谜真的存在吗？ 织梦内容管理系统
Is the credit spread puzzle a myth?
作者重新审视了Feldhütter和Schaefer的报告（FS，2018）, 该报告提供了高收益债券而非投资级债券 “信用价差之谜 ”（credit spread puzzle）的证据。但作者发现，当Feldhütter和Schaefer的模型被校准使用债务的市场价值（根据理论要求）而不是账面价值时，会得出与他们报告中结果相反的结论。随后，作者阐明了当使用信用价差而不是历史违约率来识别违约边界时，在统计意义上可以拒绝Feldhütter和Schaefer的假设——企业动态遵循几何布朗运动。历史违约率需要和一个高市场价格的跳跃风险（jump risk）相匹配，这就产生了投资级债券而非高收益债券的信用价差之谜。 织梦好，好织梦
织梦内容管理系统
We revisit Feldhütter and Schaefer (FS, 2018), who report evidence of a “credit spread puzzle” for high-yield but not investment-grade bonds. We show their results are reversed when their model is calibrated to market values of debt (as required by theory) rather than book values. We then demonstrate that using credit spreads rather than historical default rates to identify the default boundary provides the statistical power necessary to reject their assumption that firm dynamics follow geometric Brownian motion. A large market price of jump risk is required to match historical default rates, which generates a credit spread puzzle for investment-grade but not high-yield bonds.
内容来自dedecms
参考文献：Bai, J., Goldstein, R. and Yang, F., 2020. Is the credit spread puzzle a myth?. Journal of Financial Economics, 137(2), pp.297-319.
织梦内容管理系统
copyright dedecms
2、投资者意识形态 本文来自织梦
Investor ideology 内容来自dedecms
内容来自dedecms
作者从代理投票记录中估计机构投资者的偏好。根据2012财年的投票情况，使用WNOMINATE方法将投资者在一维空间上分为左右两类。其中，左侧的公共养老基金投资者和左侧的其他投资者支持那些把更多社会担当和环境友好作为导向并降低高管薪酬的企业。而“对钱敏感 ”（Money-conscious）的投资者则出现在右侧。作为代理顾问，机构股东服务集团（ISS）要提出投票建议，因此其应该处于中间位置，在大多数大型共同基金投资者的左边。二维空间反映了一个更为传统的治理观点，也就是，包括代理顾问公司Glass Lewis在内的信奉严格管理的投资者，与更倾向于宽松管理的投资者互相较量。
织梦内容管理系统
内容来自dedecms
We estimate institutional investor preferences from proxy voting records. The WNOMINATE method maps investors onto a left-right dimension based on votes for fiscal year 2012. Public pension funds and other investors on the left support a more social and environment-friendly orientation of the firm and fewer executive compensation proposals. “Money-conscious” investors appear on the right. The proxy advisor ISS makes voting recommendations that place it center, to the left of most large mutual funds. A second dimension reflects a more traditional governance view, with management-disciplinarian investors, the proxy advisor Glass Lewis among them, pitted against more management-friendly ones.
织梦好，好织梦
参考文献：Bolton, P., Li, T., Ravina, E. and Rosenthal, H., 2020. Investor ideology. Journal of Financial Economics, 137(2), pp.320-352. copyright dedecms
本文来自织梦
3、围绕着优先购买权的廉价股利益输送
Cheap-stock tunneling around preemptive rights
copyright dedecms
优先购买权被认为可以保护小股东免受控股股东利用廉价股票进行利益输送行为（tunneling）的影响。然而作者发现，优先购买权虽然使利用廉价股输送利益的行为变得更加困难，但当股票价值信息存在信息不对称，小股东无法判断这些股票是处于低价位还是高价位时，优先购买权就无法制止利用廉价股输送利益行为的发生。作者的分析可以帮助解释为什么非上市公司的老道投资者和上市公司的监管者不完全依靠优先购买权来解决廉价股利益输送问题，而是要辅以股票发行方面的其他限制。
内容来自dedecms
Preemptive rights are thought to protect minority shareholders from cheap-stock tunneling by a controlling shareholder. We show that preemptive rights, while making cheap-stock tunneling more difficult, cannot prevent it when asymmetric information about the value of the offered shares makes it impossible for the minority to know whether these shares are cheap or overpriced. Our analysis can help explain why sophisticated investors in unlisted firms and regulators of listed firms do not rely entirely on preemptive rights to address cheap-stock tunneling, supplementing them with other restrictions on equity issues. 本文来自织梦
内容来自dedecms
参考文献：Fried, J. and Spamann, H., 2020. Cheap-stock tunneling around preemptive rights. Journal of Financial Economics, 137(2), pp.353-370.
内容来自dedecms
本文来自织梦
dedecms.com
picture from Internet 内容来自dedecms
copyright dedecms
4、主（信息）经纪商业务 本文来自织梦
Prime (information) brokerage
织梦好，好织梦
作者表明，对冲基金从其主要经纪银行获得了关于银行企业借款人的信息优势。相关对冲基金在贷款公告发布之前就对借款企业的股票进行了异常大的交易，而且这些交易的回报优于其他交易。其中，那些能给主要经纪银行带来巨大潜在收益的对冲基金的交易表现更为突出。这些知情交易似乎不仅基于贷款本身的信息，还基于公司的基本面信息，如预期收益。最后，作者发现有证据表明，银行内部的股票分析师可能是信息传递的一个潜在渠道。
内容来自dedecms
本文来自织梦
We show that hedge funds gain an information advantage from their prime broker banks regarding the banks’ corporate borrowers. The connected hedge funds make abnormally large trades in the stocks of borrowing firms prior to loan announcements, and these trades outperform other trades. The outperformance is particularly strong for trades of hedge funds that have high revenue potential for prime broker banks. These informed trades appear to be based on information not just about the loan itself but also about firms’ fundamentals such as future earnings. Finally, we find evidence suggesting that equity analysts inside the banks are one potential conduit of information transfer.
本文来自织梦
织梦内容管理系统
参考文献：Kumar, N., Mullally, K., Ray, S. and Tang, Y., 2020. Prime (information) brokerage. Journal of Financial Economics, 137(2), pp.371-391. dedecms.com
织梦内容管理系统
内容来自dedecms
5、特立独行的重要性: 危机期间的回购市场
The importance of being special: Repo markets during the crisis
copyright dedecms
copyright dedecms
作者研究在欧元区主权债务危机期间，意大利主权债券回购市场的稀缺性溢价和“特殊性”（specialness）是如何受到欧洲央行（ECB）购买的影响。作者提出并校准了一个基于搜索的动态模型，其中，央行作为购买和持有的投资者。与模型预测一致的是，欧洲央行的购买与卖空相结合，推动了目标证券的“特殊性”。特殊基准债券带来正的现金溢价，但当欧洲央行购买时，其市场流动性下降。卖空者更有可能无法交付非常特殊的债券，而这些债券的持有者不太愿意将其作为欧洲央行流动性操作的抵押品。 dedecms.com
内容来自dedecms
We study how the Italian sovereign bond scarcity premia, specialness, in the repo market were affected by the European Central Bank (ECB)’s purchases during the euro area sovereign debt crisis. We propose and calibrate a search-based dynamic model with a central bank acting as a buy-and-hold investor. Consistent with model predictions, ECB purchases drive specialness of targeted securities in combination with short-selling. Special benchmark bonds entail a positive cash premium, but their market liquidity decreases when purchased by the ECB. Short-sellers were more likely to fail-to-deliver very special bonds, while holders of these bonds were less inclined to pledge them as collateral to the ECB liquidity operations.
本文来自织梦
参考文献：Corradin, S. and Maddaloni, A., 2020. The importance of being special: Repo markets during the crisis. Journal of Financial Economics, 137(2), pp.392-429.
织梦内容管理系统
织梦好，好织梦
copyright dedecms
6、变相腐败: 来自中国消费信贷的证据
Disguised corruption: Evidence from consumer credit in China 织梦内容管理系统
织梦好，好织梦
利用一家行业领先的中国银行的信用卡综合样本数据，作者发现，在收入相似且性别年龄相仿的情况下，政府官员获得的信贷额度比非政府官员要高16%。然而这些政府官员的信用卡账户出现拖欠和债务豁免的可能性却明显更高。银行向当地政府官员提供了更高信贷额度的地区设立了更多分支机构，同时从获得了更多来自地方政府的存款。在阶段性打击省级政府官员腐败行为的行动后，被曝光地区的银行向当地政府官员新发放的信用卡不再享受更高的信贷额度。同时，这些政府官员信用卡账户的拖欠率和还款率也变得与非政府官员的账户相似。 dedecms.com
织梦好，好织梦
Using a comprehensive sample of credit card data from a leading Chinese bank, we show that government bureaucrats receive 16% higher credit lines than non-bureaucrats with similar income and demographics, but their accounts experience a significantly higher likelihood of delinquency and debt forgiveness. Regions associated with greater credit provision to bureaucrats open more branches and receive more deposits from the local government. After staggered corruption crackdowns of provincial-level political officials, the new credit cards originated to bureaucrats in exposed regions do not enjoy a credit line premium, and bureaucrats’ delinquency and reinstatement rates are similar to those of non-bureaucrats. 织梦内容管理系统
copyright dedecms
参考文献：Agarwal, S., Qian, W., Seru, A. and Zhang, J., 2020. Disguised corruption: Evidence from consumer credit in China. Journal of Financial Economics, 137(2), pp.430-450.
织梦内容管理系统
内容来自dedecms
内容来自dedecms
picture from Internet
内容来自dedecms
7、工作权法的经济影响: 来自集体谈判协议和公司政策的证据 本文来自织梦
The economic impact of right-to-work laws: Evidence from collective bargaining agreements and corporate policies 织梦好，好织梦
织梦好，好织梦
转载请注明出处: http://www.10000uw.com/view-152765-1.html