A Fast Literature Search Engine based on top-quality journals, by Dr. Mingze Gao.
- Topic classification is ongoing.
- Please kindly let me know [mingze.gao@mq.edu.au] in case of any errors.
Your search
Results 773 resources
-
The average difference between the court value and postemergence market value of newly issued stocks in Chapter 11 reorganizations exceeds 50%. We show that public dissemination of transactions in defaulted bonds reduces this difference by 23% and largely eliminates interclaimant wealth transfers. The effects of dissemination are only significant when the bonds are sufficiently traded around the court valuation date and when they receive significant amounts of postemergence equity, indicating that the bond's value is sensitive to the size and allocation of the pie. These findings imply that security prices have real effects: they improve the valuations of bankruptcy participants.
-
Financial intermediaries often provide guarantees resembling out-of-the-money put options, exposing them to undiversifiable tail risk. We present a model in the context of the U.S. life insurance industry in which the regulatory framework incentivizes value-maximizing insurers to hedge variable annuity (VA) guarantees, though imperfectly, and shifts risks into high-risk and illiquid bonds. We calibrate the model to insurer-level data and identify the VA-induced changes in insurers’ risk exposures. In the event of major asset and guarantee shocks and absent regulatory intervention, these shared exposures exacerbate system-wide fire sales to maintain capital ratios, plausibly erasing over half of insurers’ equity capital.Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.
-
I study the sufficiency of macroeconomic information to explain the time-variation in second moments of stock and bond returns, with a particular attention to stock-bond correlations. I propose an external habit model supplemented with realistic non-Gaussian fundamentals estimated solely from macroeconomic data. Intertemporal smoothing and precautionary savings effects – driven by consumption shocks – combine with a time-varying covariance between consumption and inflation to generate large positive and negative stock-bond return correlations. Macroeconomic shocks are most important in explaining second moments of stock and bond returns from the late 1970’s to mid-1990’s and during the Great Recession.
-
We study the effect of the US Affordable Care Act (ACA) on healthcare borrowing costs. The ACA provides insurance subsidies to low-income enrollees. States could accept funding to expand Medicaid, although many declined, citing the cost burden. The ACA significantly reduced healthcare yields after a favorable 2012 Supreme Court ruling. Furthermore, hospital investment spending increased, and investment-cash flow sensitivities decreased. The yield effect was double in Medicaid expansion states, and insignificant in rural areas of non-expansion states. Our results highlight how the municipal market can be used to evaluate the heterogeneous effects of public policy and guide a targeted policy approach.
-
Two intermediary-based factors—a corporate bond dealer inventory measure and a broad intermediary distress measure—explain more than 40 of the puzzling common variation in credit spread changes beyond canonical structural factors. A simple intermediary-based model with partial market segmentation accounts for intermediary factors’ explanatory power and delivers three further implications with empirical support. First, whereas bond sorts on risk-related variables produce monotonic loading patterns on intermediary factors, non-risk-related sorts produce no pattern. Second, dealer inventory comoves with corporate-credit assets only, whereas intermediary distress comoves with both corporate-credit and non-corporate-credit assets. Third, dealers’ inventory responds to (instrumented) bond sales by institutional investors.
-
We study the effects of the Liberty Bond drives of World War I on financial intermediation in the 1920s and beyond. Using panel data on US counties, and an instrument that captures differences in the approaches used to market the bonds, we find that higher Liberty Bond subscription rates led to an increase in investment banks and a contraction in commercial bank assets. We also find that in the late 1930s, individuals residing in states where Liberty Bond subscription rates had been higher were more likely to report owning stocks or bonds. Although they were conducted to support the American effort in World War I, these bond drives reshaped American finance.
-
Open-end corporate bond mutual funds invest in illiquid assets while providing liquid claims to shareholders. Does such liquidity transformation introduce fragility to the corporate bond market? To address this question, we create a novel bond-level latent fragility measure based on asset illiquidity of mutual funds holding the bond. We find that corporate bonds bearing higher fragility subsequently experience higher return volatility and more outflows-induced mutual fund selling over the period of 2006–2019. Using the COVID-19 crisis as a natural experiment, we find that bonds with higher precrisis fragility experienced more negative returns and larger reversals around March 2020.
-
How can fragility be averted in open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor-level transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces outflows during market stress. Swing pricing also reduces concavity in the flow-performance relationship and dilution in fund performance.
-
We find that 30-minute changes in bond yields around scheduled Federal Open Market Committee (FOMC) announcements are predictable with the pre-FOMC Blue Chip professionals’ revisions in GDP growth forecasts. A positive pre-FOMC GDP growth revision predicts a contractionary policy news shock (positive change in bond yields), a negative GDP growth revision predicts an expansionary policy news shock (negative change in bond yields). Failing to account for this predictability biases the estimates of monetary policy effects on the economy. First, the Fed’s information effect dissipates as the truly unpredictable policy news shock does not affect professionals’ beliefs about the economy. Second, net policy shock has a more negative impact on actual future GDP than the raw policy shock.
-
We propose a new measure of private information in decentralized markets—connections—which exploits the time variation in the number of dealers with whom a client trades in a time period. Using trade‐level data for the U.K. government bond market, we show that clients perform better when having more connections as their trades predict future price movements. Time variation in market‐wide connections also helps explain yield dynamics. Given our novel measure, we present two applications suggesting that (i) dealers pass on information, acquired from their informed clients, to their affiliates, and (ii) informed clients better predict the orderflow intermediated by their dealers.
Explore
Journals
- Journal of Finance (325)
- Journal of Financial Economics (237)
- Review of Financial Studies (211)
Topic
- Bond
- Capital Structure (7)
- CEO (5)
- Director (4)
- Mergers and Acquisitions (2)
Resource type
- Journal Article (773)
Publication year
-
Between 1900 and 1999
(268)
-
Between 1940 and 1949
(1)
- 1949 (1)
- Between 1950 and 1959 (10)
- Between 1960 and 1969 (25)
- Between 1970 and 1979 (64)
- Between 1980 and 1989 (63)
- Between 1990 and 1999 (105)
-
Between 1940 and 1949
(1)
-
Between 2000 and 2024
(505)
- Between 2000 and 2009 (133)
- Between 2010 and 2019 (246)
- Between 2020 and 2024 (126)