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Feverish stock price reactions to COVID-19
Ramelli, Stefano; Wagner, Alexander F. - 2020
Market reactions to the 2019 novel coronavirus disease (COVID-19) provide new insights into how real shocks and financial policies drive firm value. Initially, internationally oriented firms, especially those more exposed to trade with China, underperformed. As the virus spread to Europe and the...
Persistent link: https://www.econbiz.de/10012181338
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The sovereign debt crisis : rebalancing or freezes?
Östberg, Peter; Richter, Thomas - 2018
Using high-frequency data we document that episodes of market turmoil in the European sovereign bond market are on average associated with large decreases in trading volume. The response of trading volume to market stress is conditional on transaction costs. Low transaction cost turmoil episodes...
Persistent link: https://www.econbiz.de/10011865537
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Corporate investment and financing under asymmetric information
Morellec, Erwan; Schürhoff, Norman - 2010 - This version March 2010
We develop a dynamic model of corporate investment and financing decisions in which corporate insiders have superior … asymmetric information induces firms with good prospects to speed up investment, leading to a significant erosion of the option … hierarchy or pecking order over securities. Finally, we generate a rich set of testable implications relating firms' investment …
Persistent link: https://www.econbiz.de/10003970296
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Financing investment: the choice between bonds and bank loans
Morellec, Erwan; Valta, Philip; Zhdanov, Alexei - 2014
We build a model of investment and financing decisions to study the choice between bonds and bank loans in a firm …'s marginal financing decision and its effects on corporate investment. We show that firms with more growth options, higher … investment. We test these predictions using a sample of U.S. firms and present new evidence that supports our theory …
Persistent link: https://www.econbiz.de/10010258730
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Does firm investment respond to peers' investment?
Bustamante, Maria Cecilia; Frésard, Laurent - 2020
We study whether, how, and why the investment of a firm depends on the investment of other firms in the same product … complementarity of investment among product market peers, holding across a large majority of sectors. Peer effects are stronger in … information. Product market peer effects in investment could amplify shocks in production networks …
Persistent link: https://www.econbiz.de/10012219376
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Money and liquidity in financial markets
Nyborg, Kjell G.; Östberg, Per - 2010
We argue that there is a connection between the interbank market for liquidity and the broader financial markets, which has its basis in demand for liquidity by banks. Tightness in the interbank market for liquidity leads banks to engage in what we term “liquidity pull-back,” which involves...
Persistent link: https://www.econbiz.de/10003979994
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Self-fulfilling risk panics
Bacchetta, Philippe; Tille, Cédric; Van Wincoop, Eric - 2010
Recent crises have seen very large spikes in asset price risk without dramatic shifts in fundamentals. We propose an explanation for these risk panics based on self-fulfilling shifts in risk made possible by a negative link between the current asset price and risk about the future asset price....
Persistent link: https://www.econbiz.de/10008797071
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Executive compensation : the view from general equilibrium
Danthine, Jean-Pierre (contributor);  … - 2007
We study the dynamic general equilibrium of an economy where risk averse shareholders delegate the management of the firm to risk averse managers. The optimal contract has two main components: an incentive component corresponding to a non-tradable equity position and a variable 'salary'...
Persistent link: https://www.econbiz.de/10003550864
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Executive compensation and stock options : an inconvenient truth
Danthine, Jean-Pierre; Donaldson, John B. - 2008
adopt near-optimal investment and hiring decisions. To ask this question is essentially to ask if such contracts can …
Persistent link: https://www.econbiz.de/10003961700
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Frailty correlated default
Duffie, Darrell; Eckner, Andreas; Horel, Guillaume; … - 2008
We analyze portfolio credit risk in light of dynamic quot;frailty,quot; by which the credit qualities of different firms depend on common unobservable time-varying default covariates. Frailty is estimated to have a large impact on estimated conditional mean default rates, above and beyond those...
Persistent link: https://www.econbiz.de/10003966209