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Hundtofte, Sean - 2019

Standard economic theory says that unsecured, high-interest, short-term debt -- such as borrowing via credit cards and … transitory income shock of unemployment. Instead, individuals smooth their credit card debt and overdrafts by adjusting … consumption. We first use detailed longitudinal information on debit and credit card transactions, account balances, and credit …

Persistent link: https://www.econbiz.de/10012480298

Leverage-Induced Fire Sales and Stock Market Crashes

Bian, Jiangze - 2018

We provide direct evidence of leverage-induced fire sales contributing to a market crash using account-level trading data for brokerage- and shadow-financed margin accounts during the Chinese stock market crash of 2015. Margin investors heavily sell their holdings when their account-level...

Persistent link: https://www.econbiz.de/10012480693

Corporate Deleveraging

DeAngelo, Harry - 2016

Proactive deleveraging from all-time peak market leverage (ML) to near-zero ML and negative net debt is the norm among 4,476 nonfinancial firms with five or more years of post-peak data. ML is 0.543 at the historical peak and 0.026 at the later trough for the median firm in this sample, with a...

Persistent link: https://www.econbiz.de/10012455852

Levered Returns

Welch, Ivo - 2016

Do financial markets properly reflect leverage? Unlike Gomes and Schmid (2010) who examine this question with a structural approach (using long-term monthly stock characteristics), my paper examines it with a quasi-experimental approach (using short-term a discrete event). After a firm has...

Persistent link: https://www.econbiz.de/10012456525

How Does Government Borrowing Affect Corporate Financing and Investment?

Graham, John - 2014

greater sensitivity of more highly rated credit to variation in the supply of Treasuries. The channel through which this …

Persistent link: https://www.econbiz.de/10012458084

Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle

Bianchi, Francesco - 2014

This paper estimates a business cycle model with endogenous financial asset supply and ambiguity averse investors. Firms' shareholders choose not only production and investment, but also capital structure and payout policy subject to financial frictions. An increase in uncertainty about profits...

Persistent link: https://www.econbiz.de/10012458583

Financial Entanglement : A Theory of Incomplete Integration, Leverage, Crashes, and Contagion

Gârleanu, Nicolae - 2013

We propose a unified model of limited market integration, asset-price determination, leveraging, and contagion. Investors and firms are located on a circle, and access to markets involves participation costs that increase with distance. Despite the ex-ante symmetry of investors, their strategies...

Persistent link: https://www.econbiz.de/10012459280

Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads

Chen, Hui - 2012

-varying debt maturity choices, as well as its implications for the term structure of credit spreads. Compared to short-term debt … structure of credit spreads, especially for firms with high beta, high leverage, or a lumpy maturity structure. We provide … empirical evidence for the model predictions on both debt maturity and credit spreads …

Persistent link: https://www.econbiz.de/10012460293

The Leverage Effect Puzzle : Disentangling Sources of Bias at High Frequency

Ait-Sahalia, Yacine - 2011

The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility. A natural estimate consists in using the empirical correlation between the daily returns and the changes of daily volatility estimated from high-frequency data. The puzzle lies...

Persistent link: https://www.econbiz.de/10012461065

Hedge Fund Leverage

Ang, Andrew - 2011

We investigate the leverage of hedge funds in the time series and cross section. Hedge fund leverage is counter-cyclical to the leverage of listed financial intermediaries and decreases prior to the start of the financial crisis in mid-2007. Hedge fund leverage is lowest in early 2009 when the...

Persistent link: https://www.econbiz.de/10012461856