Chicago Booth GFM: Capital Markets (Topic)最新文献

{"title":"Flexible Prices and Leverage","authors":"Francesco D’Acunto, Ryan Liu, Carolin E. Pflueger, Michael Weber","doi":"10.2139/ssrn.2692893","DOIUrl":"https://doi.org/10.2139/ssrn.2692893","url":null,"abstract":"The frequency with which firms adjust output prices helps explain persistent differences in capital structure across firms. Unconditionally, the most exible-price firms have a 19% higher long-term leverage ratio than the most sticky-price firms, controlling for known determinants of capital structure. Sticky-price firms increased leverage more than exible-price firms following the staggered implementation of the Interstate Banking and Branching Efficiency Act across states and over time, which we use in a difference-in-differences strategy. Firms’ frequency of price adjustment did not change around the deregulation.","PeriodicalId":292256,"journal":{"name":"Chicago Booth GFM: Capital Markets (Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116323283","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}

{"title":"Il Programma di Rifinanziamento del Debito Pubblico Europeo - Perché Il Quantitative Easing della BCE dovrebbe includere i titoli governativi dell’Eurozona (The European Public Debt Refinancing Program - Why the ECB Quantitative Easing should envisage Euro-zone Government Bonds)","authors":"M. Minenna","doi":"10.2139/SSRN.2497396","DOIUrl":"https://doi.org/10.2139/SSRN.2497396","url":null,"abstract":"Italian Abstract: Il sistema bancario tedesco sta aumentando nuovamente – dopo il picco registrato nel 2009 e la successiva riduzione – la sua esposizione al rischio di credito. Questa ricerca commenta tale processo attraverso l’esame congiunto del saldo netto Target2 e dei flussi di capitale della bilancia dei pagamenti. Emergono diversi elementi di rilievo. Il Programma degli LTRO lanciato alla fine del 2011 e servito a ridurre la leva finanziaria delle banche dell’Eurozona (EZ). Questo risultato e stato raggiunto attraverso la mutualizzazione sull’Eurosistema del rischio di credito cui erano esposte le banche tedesche e il progressivo trasferimento sui vari sistemi bancari nazionali dei rischi dei debiti pubblici dei propri Governi. Inoltre, si rileva come le consistenti erogazioni di prestiti della Germania ai Paesi dell’Eurozona rientrino in un piu generale schema di vendor financing (i.e. di finanziamento della domanda per sostenere l’offerta del proprio sistema produttivo) che in una prima fase e stato strutturato in modo sostanziale all’interno dell’EZ mentre ora si sta muovendo al di fuori dei confini europei. Queste dinamiche sono state considerate dalla Banca Centrale Europea (BCE) nella selezione delle misure non convenzionali di politica monetaria decise lo scorso 4 settembre. Nell’ambito del Quantitative Easing (QE) che riguardera Asset Backed Securities (ABS) “semplici e trasparenti” e di elevata qualita, la BCE ha infatti escluso l’acquisto di cartolarizzazioni strutturate con crediti erogati al di fuori dei confini europei. E stata quindi preclusa alle banche tedesche la possibilita di mutualizzare sull’Eurosistema il rischio a cui si sono esposte erogando crediti al di fuori dei confini europei per supportare un nuovo schema di vendor financing questa volta su scala globale. Considerato pero che il QE si svolgera anche attraverso l’acquisto di covered bonds e, piu in generale, che il possesso di un elevato standing e condizione vincolante di ammissibilita al programma di acquisti, e ragionevole attendersi che una porzione significativa degli attivi che rimpingueranno il bilancio della BCE proverra da banche tedesche. Permane pertanto il problema che invece di muoversi verso la mutualizzazione dei debiti pubblici dei Paesi dell’EZ, ancora una volta gli interventi di politica monetaria si limiteranno a titoli di debito del settore privato, peraltro col rischio di una ulteriore mutualizzazione su tutto l’Eurosistema di una porzione non trascurabile del rischio di credito in carico alle banche tedesche (quello erogato all’interno dei confini europei). Infine, nella prospettiva delle dinamiche economico-finanziarie illustrate nella ricerca, viene illustrata una proposta originale al fine di migliorare l’architettura dell’Euro, ripristinare l’unicita della struttura a termine dei tassi di interesse dell’Eurozona e intraprendere un percorso di uscita dalla crisi e di crescita comune e sostenibile: il Programma di Rifinanziamento del De","PeriodicalId":292256,"journal":{"name":"Chicago Booth GFM: Capital Markets (Topic)","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129590442","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}

{"title":"No News Is News: Do Markets Underreact to Nothing?","authors":"Stefano Giglio, K. Shue","doi":"10.2139/ssrn.2139564","DOIUrl":"https://doi.org/10.2139/ssrn.2139564","url":null,"abstract":"As illustrated in the tale of \"the dog that did not bark,\" the absence of news and the passage of time often contain information. We test whether markets fully incorporate this information using the empirical context of mergers. During the year after merger announcement, the passage of time is informative about the probability that the merger will ultimately complete. We show that the variation in hazard rates of completion after announcement strongly predicts returns. This pattern is consistent with a behavioral model of underreaction to the passage of time and cannot be explained by changes in risk or frictions.","PeriodicalId":292256,"journal":{"name":"Chicago Booth GFM: Capital Markets (Topic)","volume":"154 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116913972","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}

{"title":"Impact of Macroeconomic Factors on SENSEX Returns","authors":"Gopi K Prachetas, M. Dash","doi":"10.2139/ssrn.1988810","DOIUrl":"https://doi.org/10.2139/ssrn.1988810","url":null,"abstract":"Movements in SENSEX are the result of a complex interplay of a host of factors. Hence, it is not easy to make a correct assessment of its movement, and the task becomes all the more difficult when SENSEX witnesses a lot of volatility. Macroeconomic factors do have a lot of influence on the SENSEX movements. The objective of this study is to investigate several key macroeconomic factors and their influence on SENSEX variations. For this purpose, key macroeconomic parameters like Balance of Trade, Index of Industrial Production, Money Supply (M3), MIBOR Rates, FOREX Reserves, Wholesale Price Index based inflation and exchange rates between Rupee-Dollar and Rupee-Euro were considered to investigate the key factors amongst them which are influencing most the SENSEX variations. The study uses monthly data for past ten years (i.e. from 2001 to 2010), analyzed using Vector Autoregressive techniques. The findings of the research identified three macroeconomic indicators, viz. MIBOR, FOREX reserves and INR/USD exchange rates, as having a significant impact on the SENSEX returns. Other macroeconomic indicators considered in our study were found to have no significant impact on the SENSEX returns. These findings are expected to help fundamental analysts and other market players to watch out for these variables while making investment decisions.","PeriodicalId":292256,"journal":{"name":"Chicago Booth GFM: Capital Markets (Topic)","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129114561","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}

{"title":"Hedge Funds: Pricing Controls and the Smoothing of Self-Reported Returns","authors":"Gavin Cassar, Joseph J. Gerakos","doi":"10.2139/ssrn.1498601","DOIUrl":"https://doi.org/10.2139/ssrn.1498601","url":null,"abstract":"We investigate the extent to which hedge fund managers smooth self-reported returns. In contrast to prior research on the \"anomalous\" properties of hedge fund returns, we observe the mechanisms used to price the fund's investment positions and report the fund's performance to investors, thereby allowing us to differentiate between asset illiquidity and misreporting-based explanations. We find that funds using less verifiable pricing sources and funds that provide managers with greater discretion in pricing investment positions are more likely to have returns consistent with intentional smoothing. Traditional controls, however, such as removing the manager from the setting and reporting of the fund's net asset value and the use of reputable auditors and administrators, are not associated with lower levels of smoothing. With respect to asset illiquidity versus misreporting, investment style and portfolio characteristics explain 14.0--24.3% of the variation in our smoothing measures, and pricing controls explain an additional 4.1--8.8%, suggesting that asset illiquidity is the major factor driving the anomalous properties of self-reported hedge fund returns. The Author 2011. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.","PeriodicalId":292256,"journal":{"name":"Chicago Booth GFM: Capital Markets (Topic)","volume":"76 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121013603","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}