EFA 2009 Bergen Meetings (Archive)最新文献

Indirect Costs of Financial Distress and Bankruptcy Law: Evidence from Trade Credit and Sales 财务困境的间接成本与破产法:来自贸易信用和销售的证据

EFA 2009 Bergen Meetings (Archive) Pub Date : 2017-08-02 DOI: 10.2139/ssrn.1101696

Z. Sautner, V. Vladimirov

引用次数: 35

The Cross-Section and Time-Series of Stock and Bond Returns 股票和债券收益的横截面和时间序列

EFA 2009 Bergen Meetings (Archive) Pub Date : 2012-07-01 DOI: 10.2139/ssrn.1341327

R. Koijen, Hanno Lustig, Stijn Van Nieuwerburgh

引用次数: 223

When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia 果园不确定性吹袭:共动与均衡波动风险溢价

EFA 2009 Bergen Meetings (Archive) Pub Date : 2011-04-11 DOI: 10.2139/ssrn.1344368

Andrea Buraschi, F. Trojani, Andrea Vedolin

引用次数: 82

Generalized Transform Analysis of Affine Processes and Applications in Finance 仿射过程的广义变换分析及其在金融中的应用

EFA 2009 Bergen Meetings (Archive) Pub Date : 2011-03-01 DOI: 10.2139/ssrn.1344915

H. Chen, Scott Joslin

引用次数: 59

Institutional Investment in Syndicated Loans 银团贷款的机构投资

EFA 2009 Bergen Meetings (Archive) Pub Date : 2010-04-01 DOI: 10.2139/ssrn.966276

Debarshi K. Nandy, Pei Shao

{"title":"Institutional Investment in Syndicated Loans","authors":"Debarshi K. Nandy, Pei Shao","doi":"10.2139/ssrn.966276","DOIUrl":"https://doi.org/10.2139/ssrn.966276","url":null,"abstract":"A recent development in the syndicated loan market has been the arrival of institutional investors, including hedge funds and private equity funds as lenders. This paper asks several related questions regarding institutional participation in the syndicated loan market, and presents the first empirical analysis in the literature. We show that institutional investors who participate in the syndicated loan market act as lenders of last resort. We find that institutional investors primarily lend to riskier borrowers, for riskier purposes such as takeovers and recapitalizations, as opposed to commercial banks. Our results show that institutional loans have higher loan spreads than bank loans in the primary market, ceteris paribus. The higher riskiness of institutional loans however, does not fully explain this additional spread. Following information based theories we argue that this higher spread on institutional loans primarily serves as compensation to these investors for engaging in costly information production about borrowers, since institutions are uninformed investors in the syndicated loan market. We also show that borrowers are willing to pay the higher spread to institutional lenders as they are lenders of the last resort for these firms. Finally, consistent with the information production argument, our results show that the secondary loan market is primarily driven by trading on institutional loans; while on average only 6% of bank loans are traded, 30% to 35% of institutional loans are traded in the secondary market.","PeriodicalId":132549,"journal":{"name":"EFA 2009 Bergen Meetings (Archive)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126830064","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 58

Disagreement and Return Predictability of Stock Portfolios 股票投资组合的分歧与收益可预测性

EFA 2009 Bergen Meetings (Archive) Pub Date : 2010-03-28 DOI: 10.2139/ssrn.1107463

Jialin Yu

引用次数: 174

Brain Drain: Are Mutual Funds Losing Their Best Minds? 人才流失:共同基金正在失去最优秀的人才吗?

EFA 2009 Bergen Meetings (Archive) Pub Date : 2009-09-01 DOI: 10.2139/ssrn.1013421

Leonard Kostovetsky

引用次数: 51

Bank Lending During the Financial Crisis of 2008 2008年金融危机期间的银行贷款

EFA 2009 Bergen Meetings (Archive) Pub Date : 2009-07-30 DOI: 10.2139/ssrn.1297337

V. Ivashina, D. Scharfstein

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引用次数: 2605

Venture Capital and Sequential Investments 风险资本和连续投资

EFA 2009 Bergen Meetings (Archive) Pub Date : 2009-03-24 DOI: 10.2139/ssrn.1295339

D. Bergemann, U. Hege, L. Peng

{"title":"Venture Capital and Sequential Investments","authors":"D. Bergemann, U. Hege, L. Peng","doi":"10.2139/ssrn.1295339","DOIUrl":"https://doi.org/10.2139/ssrn.1295339","url":null,"abstract":"We present a dynamic model of venture capital financing, described as a sequential investment problem with uncertain outcome. Each venture has a critical, but unknown threshold beyond which it cannot progress. If the threshold is reached before the completion of the project, then the project fails, otherwise it succeeds. The investors decide sequentially about the speed of the investment and the optimal path of staged investments. We derive the dynamically optimal funding policy in response to the arrival of information during the development of the venture. We develop three types of predictions from our theoretical model and test these predictions in a large sample of venture capital investments in the U.S. for the period of 1987-2002. First, the investment flow starts low if the failure risk is high and accelerates as the projects mature. Second, the investment flow reacts positively to information that arrives while the project is developed. We find that the investment decisions are more sensitive to the information received during the development than to the information held prior to the project launch. Third, investors distribute their investments over more funding rounds if the failure risk is larger.","PeriodicalId":132549,"journal":{"name":"EFA 2009 Bergen Meetings (Archive)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115308863","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 56

Term Premium Dynamics and the Taylor Rule 期限溢价动态和泰勒规则

EFA 2009 Bergen Meetings (Archive) Pub Date : 2009-02-15 DOI: 10.2139/ssrn.1344819

Michael Gallmeyer, Burton Hollifield, Francisco Palomino, Stanley E. Zin

引用次数: 39