This paper examines information and incentive problems that can exist in the market for conduit mortgages, which are commercial mortgages placed in pools that are repackaged and sold as CMBS. We find that conduit mortgages that are originated by institutions with negative stock price performance...

I examine the effect of investment frictions on leverage dynamics, using a model of the firm whose investments are 1) indivisible and lumpy, and 2) subject to time-to-build, which is a time lag between when investment expenditures are made and when the investment begins to generate cash. The...

This paper presents a continuous time model of a firm that can dynamically adjust both its capital structure and its investment choices. The model extends the dynamic capital structure literature by endogenizing the investment choice as well as firm value, which are both determined by an...

We use a structural model to examine whether make-whole call provisions - a recent yet surprisingly common innovation in corporate debt markets - are fairly priced at origination. The call provision cost is calculated as the callable bond yield minus the equivalent non-callable bond yield,...

Recent research shows that mood and attention may affect investors' choices. In this paper we examine whether companies can create such mood and attention effects through advertising. We choose a natural experiment by investigating price reactions and trading activity for firms employing TV...

We present and test an infinite-horizon, continuous-time model of a firm that can dynamically adjust the use of risk management instruments whose purpose is to reduce product price uncertainty thereby mitigating financial distress losses and reducing taxes. The dynamic setting relaxes several...

This paper develops a structural model that determines default spreads on risky debt. In contrast to previous research, the value of the debt's collateral is endogenously determined by the borrower's investment choice, as well as by a market demand variable that has permanent as well as...

This paper presents a continuous time model of a firm that can dynamically adjust both its capital structure and its investment choices. In the model we endogenize the investment choice as well as firm value, which are both determined by an exogenous price process that describes the firm's...

"Recent research shows that mood and attention may affect investors' choices. In this paper we examine whether companies can create such mood and attention effects through advertising. We choose a natural experiment by investigating price reactions and trading activity for firms employing TV...

The paper examines the effect of investment frictions on leverage dynamics, using a model of a firm whose investment projects are (1) indivisible and lumpy, and (2) subject to time-to-build. Regressions on the model-simulated data demonstrate that investment frictions can provide alternative...