{"title":"The Effects of Financing Frictions in Investment-Grade Debt Markets","authors":"Indraneel Chakraborty, Andrew D. MacKinlay","doi":"10.2139/ssrn.3069076","DOIUrl":"https://doi.org/10.2139/ssrn.3069076","url":null,"abstract":"Using micro-level data on investor-underwriter-issuer relationships, we uncover significant supply-side frictions in the U.S. corporate public debt markets. Even firms issuing investment-grade debt, except for AAA-rated issues, face credit supply frictions. Separating supply-side preferences from those of the firm, we show that firm debt maturity is as sensitive to the financier’s preferences as to a firm’s own debt maturity structure. Preference mismatch between firms and their financiers regarding debt maturity reduces debt issuance amounts. Recently, exogenous factors such as prolonged low interest rates have increased this firm-financier maturity preference mismatch, resulting in less corporate debt and slower firm asset growth.","PeriodicalId":326410,"journal":{"name":"Miami: Finance (Topic)","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131048428","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":"Investor Sophistication and Asset Prices","authors":"George M. Korniotis, Alok Kumar, J. Page","doi":"10.2139/ssrn.2187569","DOIUrl":"https://doi.org/10.2139/ssrn.2187569","url":null,"abstract":"We show that geographical variation in the level of investor sophistication influences local asset prices. Investors in less sophisticated regions exhibit stronger trading correlations, and correspondingly, the returns of firms headquartered in less sophisticated areas are more strongly correlated, especially when local economic conditions are unusually bad or good. Further, we show that local economic conditions have a greater ability to predict local stock returns in U.S. states with less sophisticated retail investors. This evidence of predictability is stronger in regions with strong local bias. A trading strategy that exploits the predictive ability of local economic indicators earns 5-7% higher risk-adjusted returns in U.S. regions with less sophisticated investors. These asset pricing results are driven by the sophistication of actual local investors, and not by the characteristics of the broader local population. Our results disappear when we use population-wide measures of sophistication. Collectively, these results provide evidence of investor sophistication-induced segmentation in U.S. capital markets.","PeriodicalId":326410,"journal":{"name":"Miami: Finance (Topic)","volume":"36 30","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113971151","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}
W. Boudry, Crocker Herbert Liu, Tobias Muhlhofer, W. Torous
{"title":"Using Cash Flow Dynamics to Price Thinly Traded Assets: The Case of Commercial Real Estate","authors":"W. Boudry, Crocker Herbert Liu, Tobias Muhlhofer, W. Torous","doi":"10.2139/ssrn.2517672","DOIUrl":"https://doi.org/10.2139/ssrn.2517672","url":null,"abstract":"We propose a technique to infer cash flow yields for investment assets whose trades are infrequent, but for which cash flow data is available. We construct a Self-Propagating Rolling-Window Panel VAR framework, adapted from a Dynamic Gordon Growth Model setup. We use this framework to estimate yields and volatility in yields for untraded commercial properties as out-of-sample predictions from our VAR based on these properties’ cash flow data. We find that our predicted cash flow yields closely resemble ex-post realized transaction yields, and that these predicted yields even outperform appraisals in this respect. We find that this paradigm provides a good representation of commercial real estate yields, and propose that investors can readily apply this algorithm to infer values of untraded investment assets.","PeriodicalId":326410,"journal":{"name":"Miami: Finance (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115432634","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":"Consuming, Saving, and Spending Most of Income","authors":"Stefanos Delikouras, George M. Korniotis","doi":"10.2139/ssrn.608367","DOIUrl":"https://doi.org/10.2139/ssrn.608367","url":null,"abstract":"This paper extends the traditional life-cycle hypothesis to allow for rewards from consumption and savings. In the new model, the utility function depends both on consumption and savings, resulting in differing marginal propensities to consume (DMPC) from current income, current wealth, and future income. Specifically, consumption is financed mostly by current income. The model explains various empirical regularities not captured by the traditional life-cycle model including the hypersensitivity of consumption to current income shocks, and the drop in individual consumption at the time of retirement.","PeriodicalId":326410,"journal":{"name":"Miami: Finance (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127759457","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":"A Parallel Algorithm for Pricing American Options","authors":"G. Cortazar, Leonardo Medina, Lorenzo Naranjo","doi":"10.2139/ssrn.2325377","DOIUrl":"https://doi.org/10.2139/ssrn.2325377","url":null,"abstract":"We propose a novel, fast, accurate parallel algorithm for pricing American options. We perform a thorough numerical analysis of existing methodologies and find that ours performs significantly better. The proposed method is stable, robust, and converges monotonically. We also show that the efficiency can be improved further through the use of Richardson extrapolation. The method is well-suited for parallel implementations that take advantage of multi-core processors and graphic processing units.","PeriodicalId":326410,"journal":{"name":"Miami: Finance (Topic)","volume":"229 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116134625","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":"Political Activism, Information Costs, and Stock Market Participation","authors":"Yosef Bonaparte, Alok Kumar","doi":"10.2139/ssrn.1791330","DOIUrl":"https://doi.org/10.2139/ssrn.1791330","url":null,"abstract":"This paper examines whether political activism increases people's propensity to participate in the stock market. Our key conjecture is that politically active people follow political news more actively, which increases their chance of being exposed to financial news. Consequently, their information gathering costs are likely to be lower and the propensity to participate in the market would be higher. We find support for this hypothesis using multiple micro-level data sets, state-level data from the US, and cross-country data from Europe. Irrespective of their political affiliation, politically active individuals are 9–25% more likely to participate in the stock market. Using residence in “battleground” states and several other geographic instruments, we demonstrate that greater political activism reduces information gathering costs and causes higher market participation rates. Further, consistent with our conjecture, we find that politically active individuals spend about 30 minutes more on news daily and appear more knowledgeable about the economy and the markets.","PeriodicalId":326410,"journal":{"name":"Miami: Finance (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130462369","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":"A Theory of Strategic Mergers","authors":"Gennaro Bernile, Evgeny Lyandres, A. Zhdanov","doi":"10.2139/ssrn.891311","DOIUrl":"https://doi.org/10.2139/ssrn.891311","url":null,"abstract":"We examine firms' strategic incentives to engage in horizontal mergers. In a real options framework, we show that strategic considerations may explain abnormally high takeover activity during periods of positive and negative demand shocks. Importantly, this pattern emerges solely as a result of firms' strategic interaction in output markets. We show that the U-shaped relation between the state of demand and the propensity of firms to merge, documented in past studies, is driven by horizontal mergers in industries that are: (1) relatively more concentrated, (2) characterized by relatively strong competitive interaction among firms, and (3) characterized by relatively low merger-related operating synergies and restructuring costs. The empirical evidence, based on parametric and semi-parametric regression analyses, is consistent with these predictions. Copyright 2011, Oxford University Press.","PeriodicalId":326410,"journal":{"name":"Miami: Finance (Topic)","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123587905","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":"Habit Formation, Incomplete Markets, and the Significance of Regional Risk for Expected Returns","authors":"George M. Korniotis","doi":"10.2139/ssrn.1015860","DOIUrl":"https://doi.org/10.2139/ssrn.1015860","url":null,"abstract":"This paper introduces a consumption-based capital asset pricing model (CCAPM) that combines undiversifiable income shocks and external habit formation. Using US state-level data, the paper provides realistic estimates for preference parameters when the external habit of the state investors is based on the consumption of the four Census regions. The model also implies four asset pricing factors: the cross-sectional means of consumption growth and habit growth (capturing national systematic risk) and the cross-sectional variances of consumption growth and habit growth (capturing regional systematic risk). This four-factor model has greater power in explaining expected returns than the CCAPM described in Breeden (1979). , Oxford University Press.","PeriodicalId":326410,"journal":{"name":"Miami: Finance (Topic)","volume":"77 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127295117","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}
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
