Similar Search Results

The role of institutional investors in propagating the crisis of 2007–2008

Manconi, Alberto; Massa, Massimo; Yasuda, Ayako - In: Journal of Financial Economics 104 (2012) 3, pp. 491-518

Using novel data on investors' bond portfolios, we study the contagion of the crisis from securitized bonds to corporate bonds. When securitized bonds became “toxic” in August 2007, mutual funds retained the now illiquid securitized bonds and sold corporate bonds. Funds with negative flows...

Persistent link: https://www.econbiz.de/10011039258

Information effect of entry into credit ratings market: The case of insurers' ratings

Doherty, Neil A.; Kartasheva, Anastasia V.; Phillips, … - In: Journal of Financial Economics 106 (2012) 2, pp. 308-330

standards. We use Standard and Poor's (S&P) entry into the market for insurance ratings previously covered by a monopolist, A …

Persistent link: https://www.econbiz.de/10010593829

Stock market returns and annuitization

Previtero, Alessandro - In: Journal of Financial Economics 113 (2014) 2, pp. 202-214

I investigate the strong negative relation between recent stock returns and the annuitization of retirement savings using a novel data set with over 100,000 actual payout decisions. After controlling for several standard explanations (e.g., wealth effects), I present evidence supporting naïve...

Persistent link: https://www.econbiz.de/10011039200

Supply uncertainty of the bond investor base and the leverage of the firm

Massa, Massimo; Yasuda, Ayako; Zhang, Lei - In: Journal of Financial Economics 110 (2013) 1, pp. 185-214

insurance companies) on the leverage of the firm using a novel data set. Our main finding is that the supply uncertainty of the … investors holding the firm's bonds, or (iii) the prevalence of mutual funds among the firm's bondholders as opposed to insurance …

Persistent link: https://www.econbiz.de/10011039228

Directors' and officers' liability insurance and acquisition outcomes

Lin, Chen; Officer, Micah S.; Zou, Hong - In: Journal of Financial Economics 102 (2011) 3, pp. 507-525

We examine the effect of directors' and officers' liability insurance (D&O insurance) on the outcomes of merger and … acquisition (M&A) decisions. We find that acquirers whose executives have a higher level of D&O insurance coverage experience …&O insurance protection tend to pay higher acquisition premiums and their acquisitions appear to exhibit lower synergies. The …

Persistent link: https://www.econbiz.de/10010571655

Does risk management matter? Evidence from the U.S. agricultural industry

Cornaggia, Jess - In: Journal of Financial Economics 109 (2013) 2, pp. 419-440

This article constructs triple-difference tests around shifts in the supply of risk management instruments available to agricultural producers to reveal a positive relation between risk management and productivity. This relation is more robust when producers adopt instruments with payoffs linked...

Persistent link: https://www.econbiz.de/10010678709

Directors' and officers' liability insurance and loan spreads

Lin, Chen; Officer, Micah S.; Wang, Rui; Zou, Hong - In: Journal of Financial Economics 110 (2013) 1, pp. 37-60

We analyze the effect of directors' and officers' liability insurance (D&O insurance) on the spreads charged on bank … loans. We find that higher levels of D&O insurance coverage are associated with higher loan spreads and that this relation … between loan spreads and D&O insurance coverage is robust to controlling for endogeneity (because both could be related to …

Persistent link: https://www.econbiz.de/10010702369

Expected Returns and Expected Dividend Growth

Lettau, Martin; Ludvigson, Sydney C. - 2004

We investigate a consumption-based present value relation that is a function of future dividend growth. Using data on aggregate consumption and measures of the dividend payments from aggregate wealth, we show that changing forecasts of dividend growth are an important feature of the post-war...

Persistent link: https://www.econbiz.de/10005846982

A five-factor asset pricing model

Fama, Eugene F.; French, Kenneth R. - In: Journal of Financial Economics 116 (2015) 1, pp. 1-22

A five-factor model directed at capturing the size, value, profitability, and investment patterns in average stock returns performs better than the three-factor model of Fama and French (FF, 1993). The five-factor model׳s main problem is its failure to capture the low average returns on small...

Persistent link: https://www.econbiz.de/10011263123

Momentum has its moments

Barroso, Pedro; Santa-Clara, Pedro - In: Journal of Financial Economics 116 (2015) 1, pp. 111-120

Compared with the market, value, or size factors, momentum has offered investors the highest Sharpe ratio. However, momentum has also had the worst crashes, making the strategy unappealing to investors who dislike negative skewness and kurtosis. We find that the risk of momentum is highly...

Persistent link: https://www.econbiz.de/10011263126