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Is Cash Negative Debt? A Hedging Perspective on Corporate Financial Policies

Acharya, Viral V; Almeida, Heitor; Campello, Murillo - C.E.P.R. Discussion Papers - 2005

We model the interplay between cash and debt policies in the presence of financial constraints. While saving cash allows constrained firms to hedge against future cash flow shortfalls, reducing current debt – ‘saving borrowing capacity’ – is a more effective way of securing investment in...

Persistent link: https://www.econbiz.de/10005124183

Real Effects of the Sovereign Debt Crisis in Europe: Evidence from Syndicated Loans

Acharya, Viral V; Eisert, Tim; Eufinger, Christian; … - C.E.P.R. Discussion Papers - 2014

This paper shows that the sovereign debt crisis and the resulting credit crunch in the periphery of the Eurozone lead to negative real effects for borrowing firms. Using a hand matched sample of loan information from Dealscan and accounting information from Amadeus, we show that firms with a...

Persistent link: https://www.econbiz.de/10011083702

Financial Innovations and Macroeconomic Volatility

Jermann, Urban; Quadrini, Vincenzo - C.E.P.R. Discussion Papers - 2006

The volatility of US business cycle has declined during the last two decades. During the same period the financial structure of firms has become more volatile. In this paper we develop a model in which financial factors play a key role in generating economic fluctuations. Innovations in...

Persistent link: https://www.econbiz.de/10005791629

A Dynamic Model of Housing Demand: Estimation and Policy Implications

Bajari, Patrick; Chan, Phoebe; Krueger, Dirk; Miller, Daniel - C.E.P.R. Discussion Papers - 2010

Using data from the Panel Study of Income Dynamics (PSID) we specify, estimate and simulate a dynamic structural model of housing demand. Our model generalizes previous applied econometric work by incorporating realistic features of the housing market including non-convex adjustment costs from...

Persistent link: https://www.econbiz.de/10008554234

Understanding Bilateral Exchange Rate Volatility

Devereux, Michael B; Lane, Philip R. - C.E.P.R. Discussion Papers - 2002

This Paper develops an empirical model of bilateral exchange rate volatility. We conjecture that for developing economies, external financial liabilities have an important effect on desired bilateral exchange rate volatility, above and beyond the standard Optimal Currency Area (OCA) factors. By...

Persistent link: https://www.econbiz.de/10005123661

Banking Crises, Financial Dependence and Growth

Klingebiel, Daniela; Kroszner, Randall S; Laeven, Luc - C.E.P.R. Discussion Papers - 2006

This paper investigates the growth impact of banking crises on industries with different levels of dependence on external sources of finance to analyze the mechanisms linking financial shocks and real activity. If the banking system is the key element allowing credit constraints to be relaxed,...

Persistent link: https://www.econbiz.de/10005124067

Asset Pricing Implications of Firms' Financing Constraints

Gomes, Joao F; Yaron, Amir; Zhang, Lu - C.E.P.R. Discussion Papers - 2002

We incorporate costly external finance in a production based asset pricing model and investigate whether financing frictions are quantitatively important for pricing a cross-section of expected returns. We show that the common assumptions about the nature of the financing frictions are captured...

Persistent link: https://www.econbiz.de/10005497817

On the Evolution of the Firm Size Distribution: Facts and Theory

Cabral, Luís M B; Mata, José - C.E.P.R. Discussion Papers - 2001

Using a comprehensive data set of Portuguese manufacturing firms, we show that the firm size distribution is significantly right-skewed, evolving over time toward a log-normal distribution. We also show that selection accounts for very little of this evolution. Instead, we propose a simple...

Persistent link: https://www.econbiz.de/10005504696

Skewness Risk Premium: Theory and Empirical Evidence

Lehnert, Thorsten; Lin, Yuehao; Wolff, Christian C - C.E.P.R. Discussion Papers - 2013

that the aggregated excess market returns can be predicted by the skewness risk premium, which is constructed to be the … difference between the physical and the risk-neutral skewness. In an empirical application of the model using more than 20 years … of data on S&P500 index options, we find that, in line with theory, risk-averse investors demand risk-compensation for …

Persistent link: https://www.econbiz.de/10011084225

Local Bias and Stock Market Conditions

Giannetti, Mariassunta; Laeven, Luc - C.E.P.R. Discussion Papers - 2012

We show that the local bias in U.S. mutual fund portfolios varies significantly over time and is more pronounced at times of heightened market uncertainty, such as during financial crises. Similarly, the local bias is less pronounced in periods when market sentiment is strong. These results do...

Persistent link: https://www.econbiz.de/10011084583

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