{"title":"Illiquid Owners and Firm Behavior: Financial and Real Effects of the Personal Wealth Tax on Private Firms","authors":"J. Bērziņš, Øyvind Bøhren, Bogdan Stacescu","doi":"10.2139/ssrn.3475412","DOIUrl":"https://doi.org/10.2139/ssrn.3475412","url":null,"abstract":"We examine how negative liquidity shocks to households propagate to firms. We show that higher taxes on the home of private firms’ controlling shareholders are associated with higher dividend and salary payments from firms to shareholders and with lower cash holdings, investments, sales, and performance in firms. A one percentage-point increase in the shareholder’s wealth-tax-to-liquid-assets ratio is on average followed by a half percentage-point increase in the dividends-to-earnings ratio, a one third percentage-point decrease in investment, and a half percentage-point decrease in sales growth and profitability. These findings suggest that shareholder illiquidity has causal effects on firm behavior.","PeriodicalId":358237,"journal":{"name":"Paris December 2019 Finance Meeting","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130960453","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":"Quality versus Quantity: The Case of U.S. Bank Capital Buffers","authors":"K. de Silva, Shrimal Perera, B. Williams","doi":"10.2139/ssrn.3475435","DOIUrl":"https://doi.org/10.2139/ssrn.3475435","url":null,"abstract":"We find that larger US bank holding companies (BHCs) hold lower quality capital buffers than their smaller peers. US BHCs’ capital buffer quality is found to be a function of their operational complexity, risk-weighted assets and profitability. We, however, find no evidence that large US BHCs trade–off capital buffer quality with their liquid asset investments. On average, US BHCs narrow the gap between their actual and target buffer quality by 49.5 per cent per quarter. This (buffer quality) adjustment speed, however, is substantially faster than that observed in pre-GFC US studies of buffer size. The well capitalised US BHCs (top 20 percent) adjust their buffer quality 8 percent faster than poorly capitalised ones. The latter seem to face impediments in raising new capital due to higher reputation costs. The costs of adjusting buffers also seem an important explanation for holding higher quality buffers. Our results shed more light on the trade-offs associated with banks holding higher quality capital buffers.","PeriodicalId":358237,"journal":{"name":"Paris December 2019 Finance Meeting","volume":"148 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122226881","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":"(In)-Credibly Green: Which Bonds Trade at a Green Bond Premium?","authors":"Julia Kapraun, Christopher Scheins","doi":"10.2139/ssrn.3347337","DOIUrl":"https://doi.org/10.2139/ssrn.3347337","url":null,"abstract":"The most important determinant for the existence of a Green premium is the perceived ``Green--credibility'' of the corresponding bond and its issuer. We analyze a large sample of more than 1,500 Green bonds with respect to their pricing on the primary and secondary market. On both markets, only certain types of Green bonds trade at a Green premium (i.e., exhibit lower yields) relative to their conventional counterparts, namely those, which are issued by governments or supranational entities, denominated in EUR or USD, or corporate bonds with very large issue sizes. These bonds and their issuers might be viewed as more credible in terms of a better implementation or a greater impact of the financed Green project. For corporate issues, credibility of the Green label reveals to be of particular importance. Investors are more likely to consider a corporate bond as Green, i.e., be willing to pay a premium for it, when the bond is certified as such by a third party, or when the bond is listed on an exchange with a dedicated Green bond segment and tight listing requirements.","PeriodicalId":358237,"journal":{"name":"Paris December 2019 Finance Meeting","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125270103","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":"Unconventional Monetary Policy and Bank Lending Relationships","authors":"Christophe Cahn, Anne Duquerroy, William Mullins","doi":"10.2139/ssrn.2970199","DOIUrl":"https://doi.org/10.2139/ssrn.2970199","url":null,"abstract":"We explore how banks transmit central bank liquidity injections using unique variation in the ECB’s 2011-12 Very Long-Term Refinancing Operations (VLTROs) which affected lending to firms discontinuously across credit ratings (i.e., within banks). We show that banks transmit liquidity differently to multi-bank firms than to firms with only one bank. Single-bank firms receive longer-term relationship lending and increase investment, while multi-bank firms receive short-term transactions-style lending only. Policy effects are attributable to increasing the maturity of bank borrowing from the ECB in combination with allowing banks to use loans to firms as collateral for such borrowing.","PeriodicalId":358237,"journal":{"name":"Paris December 2019 Finance Meeting","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117323840","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":"Mental Accounts with Horizon and Asymmetry Preferences","authors":"G. Hübner, Thomas Lejeune","doi":"10.2139/ssrn.2893697","DOIUrl":"https://doi.org/10.2139/ssrn.2893697","url":null,"abstract":"The paper extends the mental accounting framework in behavioral finance with investors' time horizon and with asymmetric consideration between extreme gains and losses. This generalized Horizon-Asymmetry Mental Accounting framework (HAMA) has important implications for the determination of investors' risk preferences. Risk aversion and the bond-to-stock ratio are found to decline with investment horizon. Investors who assign a high value to upside potential tend to select portfolios with more important asymmetric and leptokurtic distributions. In its general version, the model does not rely on any specific utility function nor any functional shape for the return distribution. The model is shown to be flexible enough to encompass optimal allocations from the mean-variance portfolio theory, the expected power utility criterion, and a non-Gaussian utility framework.","PeriodicalId":358237,"journal":{"name":"Paris December 2019 Finance Meeting","volume":"153 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133172392","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}
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