查看更多>>摘要：Borrowers from the same state as the chairman of the US Senate Banking Committee ("connected borrowers") are able to borrow at spreads 19 bps lower than other borrowers. Banks that provide connected loans enjoy regulatory relief in the form of fewer future investigations. Connected borrowers' contributions toward the chairman are influenced by their cost of loans, but the same is not true for nonconnected borrowers. Findings suggest the chairman is incentivized by re-election to help connected borrowers obtain cheaper loans. Results are largely consistent with the existence of an indirect triangular quid pro quo relationship between firms, banks, and politicians.
查看更多>>摘要：Fund managers tilt towards stocks from the location of their tertiary education (education province). We find that, compared with their peers, fund managers overweight stocks headquartered in their education provinces. This overweighting differs from other biases, such as local bias, hometown bias, and educational ties, and is detrimental to fund performance. Funds with more education-province bias have poorer fund performance and higher idiosyncratic risk than those with less bias. Further analysis shows that education-province bias is more evident during poor market times, among underperforming funds, for stocks with less information asymmetry, in economically depressed provinces, and when fund managers are educated at lower-ranked institutes. Overall, our findings suggest that education-province bias is largely attributed to fund managers' familiarity bias.
查看更多>>摘要：The Basel Committee and the Financial Stability Board require a consensus on the identification of characteristics that make a financial institution more prone than others to be severely hit by systemic shocks. This paper introduces a new tool to achieve this goal: a model for the Conditional Average Systemic Effects (CASE). The CASE quantifies the average effect of a system wide shock or market downturn on the profit and loss account of a bank, a firm or on the return of an asset. We propose a linear model for CASE with heterogeneous effects in observable characteristics. These models complement alternative measures of systemic risk and allow researchers to identify the determinants of the vulnerability of a given financial institution. We develop bootstrap inference that accounts for both estimation risk and model misspecification risk, and show the utility of our results in Monte Carlo simulations and an empirical application to 100 large U.S. financial firms.
Nadia Ben YahiaAmna ChalwatiDorra HmaiedAbdul Mohi Khizer...
107029.1-107029.15页
查看更多>>摘要：We examine the impact of corporate social responsibility (CSR) on the investment decisions of foreign institutional investors. Using institutional investor holdings data domiciled in emerging markets, we find a positive and economically significant impact of firm CSR performance on foreign institutional ownership. We further document that independent foreign investors are affected by firm CSR performance, while gray foreign investors do not consider firm CSR performance when forming portfolios. Cross-sectional tests indicate a more potent positive impact of CSR on foreign institutional investor holdings for firms domiciled in countries with stronger disclosure and better governance. Moreover, investors domiciled in countries with common law consider firm CSR performance when forming portfolios. The results are robust to exogenous shocks, instrumental variable tests, and alternate specifications.
查看更多>>摘要：We investigate how venture capitalists (VCs) serving as directors on corporate boards affect portfolio companies' debt structure after initial public offerings (IPOs). Using hand-collected data, we find that companies with a higher fraction of VC directors on their boards use significantly fewer types of debt. The impact of VC directorships on debt concentration is more pronounced in companies facing greater expected bankruptcy costs or higher degrees of uncertainty. We further explore the benefits of debt concentration and find that a highly concentrated debt structure is associated with better corporate performance in companies with VC directors. Taken together, our evidence suggests that VC directors influence newly listed companies to adopt a concentrated debt structure, thus minimizing the risk of distress and enhancing company value. Our results are robust to accounting for endogeneity and sample selection bias.
查看更多>>摘要：We examine whether the managers of equity mutual funds exhibit reinforcement learning, investing more heavily in firms in which they previously experienced higher returns. The results reliably support this hypothesis. Experienced returns are related to managers' re-balancing decisions in response to flows. Experienced returns do not play a role for index-tracking funds. When new managers come in a fund, their experiences with stocks in their old funds, influence the investments in these stocks by their new funds. Funds managed by managers who rely more on reinforcement learning, earn lower returns. Experienced returns, when aggregated across managers for each stock, predict persistent lower stock returns. Overall, our evidence suggests that reinforcement learning plays a role in the stock-specific return trades of portfolio managers, with important implications for fund performance and asset prices.
查看更多>>摘要：We investigate the impact of a new bank tax in Poland on bank lending behavior. We find that banks respond to the tax by tightening credit supply and increasing the costs of credit to the real sector. However, the responses vary across loan segments. In line with search-for-yield behavior, the tax motivates banks to shift their allocations of household credit from low-margin and relatively safe mortgage loans to higher-margin and riskier consumer loans. We find no evidence that financially weak banks are more incentivized to shift to riskier loan types. Moreover, firms that receive loans from banks more exposed to the tax experience a greater credit contraction.
查看更多>>摘要：Using the universe of business development companies (BDCs), a unique publicly traded segment of U.S. Private Equity (PE), for the period 1998-2017, we provide the first in-depth examination of their performance and risk-adjusted characteristics and compare our results to contrasting evidence derived from recently developed time series proxies for unlisted PE returns. BDCs exhibit zero alpha, beta of one, and significant exposure to SMB, HML, and CMA factors of 0.5, 0.7, and -0.3, respectively. BDC performance and market beta are sensitive to fund size and leverage. We provide evidence that BDC returns capture both the asset selection and PE ownership elements of the unlisted PE investment strategy. Finally, an event study analysis shows that NAV disclosures become informative only after the adoption of the Statement of Financial Accounting Standards 157 (SFAS 157). We posit that BDCs provide a readily available market-based PE benchmark for use by regulators, market participants, and academics.
NETL
NSTL
Elsevier