Francesco D’Acunto, Ryan Liu, Carolin E. Pflueger, Michael Weber
The frequency with which firms adjust output prices helps explain persistent differences in capital structure across firms. Unconditionally, the most exible-price firms have a 19% higher long-term leverage ratio than the most sticky-price firms, controlling for known determinants of capital structure. Sticky-price firms increased leverage more than exible-price firms following the staggered implementation of the Interstate Banking and Branching Efficiency Act across states and over time, which we use in a difference-in-differences strategy. Firms’ frequency of price adjustment did not change around the deregulation.
{"title":"Flexible Prices and Leverage","authors":"Francesco D’Acunto, Ryan Liu, Carolin E. Pflueger, Michael Weber","doi":"10.2139/ssrn.2692893","DOIUrl":"https://doi.org/10.2139/ssrn.2692893","url":null,"abstract":"The frequency with which firms adjust output prices helps explain persistent differences in capital structure across firms. Unconditionally, the most exible-price firms have a 19% higher long-term leverage ratio than the most sticky-price firms, controlling for known determinants of capital structure. Sticky-price firms increased leverage more than exible-price firms following the staggered implementation of the Interstate Banking and Branching Efficiency Act across states and over time, which we use in a difference-in-differences strategy. Firms’ frequency of price adjustment did not change around the deregulation.","PeriodicalId":292256,"journal":{"name":"Chicago Booth GFM: Capital Markets (Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116323283","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Italian Abstract: Il sistema bancario tedesco sta aumentando nuovamente – dopo il picco registrato nel 2009 e la successiva riduzione – la sua esposizione al rischio di credito. Questa ricerca commenta tale processo attraverso l’esame congiunto del saldo netto Target2 e dei flussi di capitale della bilancia dei pagamenti. Emergono diversi elementi di rilievo. Il Programma degli LTRO lanciato alla fine del 2011 e servito a ridurre la leva finanziaria delle banche dell’Eurozona (EZ). Questo risultato e stato raggiunto attraverso la mutualizzazione sull’Eurosistema del rischio di credito cui erano esposte le banche tedesche e il progressivo trasferimento sui vari sistemi bancari nazionali dei rischi dei debiti pubblici dei propri Governi. Inoltre, si rileva come le consistenti erogazioni di prestiti della Germania ai Paesi dell’Eurozona rientrino in un piu generale schema di vendor financing (i.e. di finanziamento della domanda per sostenere l’offerta del proprio sistema produttivo) che in una prima fase e stato strutturato in modo sostanziale all’interno dell’EZ mentre ora si sta muovendo al di fuori dei confini europei. Queste dinamiche sono state considerate dalla Banca Centrale Europea (BCE) nella selezione delle misure non convenzionali di politica monetaria decise lo scorso 4 settembre. Nell’ambito del Quantitative Easing (QE) che riguardera Asset Backed Securities (ABS) “semplici e trasparenti” e di elevata qualita, la BCE ha infatti escluso l’acquisto di cartolarizzazioni strutturate con crediti erogati al di fuori dei confini europei. E stata quindi preclusa alle banche tedesche la possibilita di mutualizzare sull’Eurosistema il rischio a cui si sono esposte erogando crediti al di fuori dei confini europei per supportare un nuovo schema di vendor financing questa volta su scala globale. Considerato pero che il QE si svolgera anche attraverso l’acquisto di covered bonds e, piu in generale, che il possesso di un elevato standing e condizione vincolante di ammissibilita al programma di acquisti, e ragionevole attendersi che una porzione significativa degli attivi che rimpingueranno il bilancio della BCE proverra da banche tedesche. Permane pertanto il problema che invece di muoversi verso la mutualizzazione dei debiti pubblici dei Paesi dell’EZ, ancora una volta gli interventi di politica monetaria si limiteranno a titoli di debito del settore privato, peraltro col rischio di una ulteriore mutualizzazione su tutto l’Eurosistema di una porzione non trascurabile del rischio di credito in carico alle banche tedesche (quello erogato all’interno dei confini europei). Infine, nella prospettiva delle dinamiche economico-finanziarie illustrate nella ricerca, viene illustrata una proposta originale al fine di migliorare l’architettura dell’Euro, ripristinare l’unicita della struttura a termine dei tassi di interesse dell’Eurozona e intraprendere un percorso di uscita dalla crisi e di crescita comune e sostenibile: il Programma di Rifinanziamento del De
意大利摘要:在2009年的峰值和随后的下降之后，德国银行体系的信贷风险敞口再次上升。这项研究通过对Target2净余额和国际收支的资本流动进行联合审查来评论这一过程。出现了几个重要的因素。LTRO计划于2011年底启动，旨在降低欧元区银行的杠杆率。这是通过德国银行所面临的欧洲信贷风险体系的共同化以及其政府公共债务风险逐步转移到各国银行体系来实现的。还指出,大量德国的欧元区国家的贷款属于一个多个厂商融资计划(总供给和需求的资助,以支持其生产系统),在第一阶段分为dell’EZ内部重大而现在正朝着欧洲以外的。欧洲央行(ecb)在选择9月4日决定的非常规货币政策措施时考虑到了这些因素。作为“简单透明”、高质量资产支持证券(ABS)的量化宽松(QE)的一部分，欧洲央行排除了通过欧洲以外的信贷购买结构性证券化的可能性。因此，德国银行不可能通过在欧洲以外发放贷款来支持一项新的全球零售融资计划，从而将它们所面临的风险共同化到欧元体系。也认为,量化宽松政策的通过购买债券和告上法庭,总的来说,拥有高的常设和约束力ammissibilita购买计划的条件,合理预期,欧洲央行资产负债表资产中占相当大的比例,rimpingueranno proverra来自德国银行。因此,问题仍然存在,而不是走向国家的公共债务共同化再次dell’EZ,货币政策所作的发言限于私营部门的债务证券,一份关于整个体系进一步共同化的危险,他的信用风险不小一部分德国银行(与提供欧洲境内)。最后金融研究中,从动态的角度看,一种原始的建议说明了欧元,以改善建筑,恢复l’unicita欧元区利率的期限结构和摆脱危机的走上一个共同和可持续的增长:欧洲公共债务的再融资方案(EPDRP)。英语摘要:德国银行体系的信用风险敞口在2009年的峰值及其下降后又在增长。本节通过与欧洲地区(EZ)支付平衡的资本流动(capital flows)相关的Target2网络平衡来评论。Several aspects升起。2011年底，他们启动了一项计划，要求EZ银行去杠杆化。这是德国银行在欧洲体系中的相互信用风险和他们国家公共债务的风险转移所造成的。德国大规模借贷活动是一项更普遍的融资出售计划的一部分，该计划最初是在目前正在欧洲边境以外流动的时候建立起来的。这些动态被欧洲央行(ECB)视为传统货币政策措施。量化宽松(QE)将由高、中、高质量的央行(Central Bank of high and中、高质量的央行)“简单透明”(simple and transparency)进行收购，但只有在ABS不像欧洲以外的资产那样严重受损的情况下，才会受到影响。这一措施将排除德国银行系统在欧洲系统上相互贷款的可能性。量化宽松还将支持欧洲央行购买对冲债券。顺便说一下，量化宽松提供了中位数-high的特性，这很容易看出，通过这次收购计划分配的资产的一个重要部分将来自德国银行。这一新货币政策措施只包括私人债务。
{"title":"Il Programma di Rifinanziamento del Debito Pubblico Europeo - Perché Il Quantitative Easing della BCE dovrebbe includere i titoli governativi dell’Eurozona (The European Public Debt Refinancing Program - Why the ECB Quantitative Easing should envisage Euro-zone Government Bonds)","authors":"M. Minenna","doi":"10.2139/SSRN.2497396","DOIUrl":"https://doi.org/10.2139/SSRN.2497396","url":null,"abstract":"Italian Abstract: Il sistema bancario tedesco sta aumentando nuovamente – dopo il picco registrato nel 2009 e la successiva riduzione – la sua esposizione al rischio di credito. Questa ricerca commenta tale processo attraverso l’esame congiunto del saldo netto Target2 e dei flussi di capitale della bilancia dei pagamenti. Emergono diversi elementi di rilievo. Il Programma degli LTRO lanciato alla fine del 2011 e servito a ridurre la leva finanziaria delle banche dell’Eurozona (EZ). Questo risultato e stato raggiunto attraverso la mutualizzazione sull’Eurosistema del rischio di credito cui erano esposte le banche tedesche e il progressivo trasferimento sui vari sistemi bancari nazionali dei rischi dei debiti pubblici dei propri Governi. Inoltre, si rileva come le consistenti erogazioni di prestiti della Germania ai Paesi dell’Eurozona rientrino in un piu generale schema di vendor financing (i.e. di finanziamento della domanda per sostenere l’offerta del proprio sistema produttivo) che in una prima fase e stato strutturato in modo sostanziale all’interno dell’EZ mentre ora si sta muovendo al di fuori dei confini europei. Queste dinamiche sono state considerate dalla Banca Centrale Europea (BCE) nella selezione delle misure non convenzionali di politica monetaria decise lo scorso 4 settembre. Nell’ambito del Quantitative Easing (QE) che riguardera Asset Backed Securities (ABS) “semplici e trasparenti” e di elevata qualita, la BCE ha infatti escluso l’acquisto di cartolarizzazioni strutturate con crediti erogati al di fuori dei confini europei. E stata quindi preclusa alle banche tedesche la possibilita di mutualizzare sull’Eurosistema il rischio a cui si sono esposte erogando crediti al di fuori dei confini europei per supportare un nuovo schema di vendor financing questa volta su scala globale. Considerato pero che il QE si svolgera anche attraverso l’acquisto di covered bonds e, piu in generale, che il possesso di un elevato standing e condizione vincolante di ammissibilita al programma di acquisti, e ragionevole attendersi che una porzione significativa degli attivi che rimpingueranno il bilancio della BCE proverra da banche tedesche. Permane pertanto il problema che invece di muoversi verso la mutualizzazione dei debiti pubblici dei Paesi dell’EZ, ancora una volta gli interventi di politica monetaria si limiteranno a titoli di debito del settore privato, peraltro col rischio di una ulteriore mutualizzazione su tutto l’Eurosistema di una porzione non trascurabile del rischio di credito in carico alle banche tedesche (quello erogato all’interno dei confini europei). Infine, nella prospettiva delle dinamiche economico-finanziarie illustrate nella ricerca, viene illustrata una proposta originale al fine di migliorare l’architettura dell’Euro, ripristinare l’unicita della struttura a termine dei tassi di interesse dell’Eurozona e intraprendere un percorso di uscita dalla crisi e di crescita comune e sostenibile: il Programma di Rifinanziamento del De","PeriodicalId":292256,"journal":{"name":"Chicago Booth GFM: Capital Markets (Topic)","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129590442","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
As illustrated in the tale of "the dog that did not bark," the absence of news and the passage of time often contain information. We test whether markets fully incorporate this information using the empirical context of mergers. During the year after merger announcement, the passage of time is informative about the probability that the merger will ultimately complete. We show that the variation in hazard rates of completion after announcement strongly predicts returns. This pattern is consistent with a behavioral model of underreaction to the passage of time and cannot be explained by changes in risk or frictions.
{"title":"No News Is News: Do Markets Underreact to Nothing?","authors":"Stefano Giglio, K. Shue","doi":"10.2139/ssrn.2139564","DOIUrl":"https://doi.org/10.2139/ssrn.2139564","url":null,"abstract":"As illustrated in the tale of \"the dog that did not bark,\" the absence of news and the passage of time often contain information. We test whether markets fully incorporate this information using the empirical context of mergers. During the year after merger announcement, the passage of time is informative about the probability that the merger will ultimately complete. We show that the variation in hazard rates of completion after announcement strongly predicts returns. This pattern is consistent with a behavioral model of underreaction to the passage of time and cannot be explained by changes in risk or frictions.","PeriodicalId":292256,"journal":{"name":"Chicago Booth GFM: Capital Markets (Topic)","volume":"154 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116913972","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Movements in SENSEX are the result of a complex interplay of a host of factors. Hence, it is not easy to make a correct assessment of its movement, and the task becomes all the more difficult when SENSEX witnesses a lot of volatility. Macroeconomic factors do have a lot of influence on the SENSEX movements. The objective of this study is to investigate several key macroeconomic factors and their influence on SENSEX variations. For this purpose, key macroeconomic parameters like Balance of Trade, Index of Industrial Production, Money Supply (M3), MIBOR Rates, FOREX Reserves, Wholesale Price Index based inflation and exchange rates between Rupee-Dollar and Rupee-Euro were considered to investigate the key factors amongst them which are influencing most the SENSEX variations. The study uses monthly data for past ten years (i.e. from 2001 to 2010), analyzed using Vector Autoregressive techniques. The findings of the research identified three macroeconomic indicators, viz. MIBOR, FOREX reserves and INR/USD exchange rates, as having a significant impact on the SENSEX returns. Other macroeconomic indicators considered in our study were found to have no significant impact on the SENSEX returns. These findings are expected to help fundamental analysts and other market players to watch out for these variables while making investment decisions.
{"title":"Impact of Macroeconomic Factors on SENSEX Returns","authors":"Gopi K Prachetas, M. Dash","doi":"10.2139/ssrn.1988810","DOIUrl":"https://doi.org/10.2139/ssrn.1988810","url":null,"abstract":"Movements in SENSEX are the result of a complex interplay of a host of factors. Hence, it is not easy to make a correct assessment of its movement, and the task becomes all the more difficult when SENSEX witnesses a lot of volatility. Macroeconomic factors do have a lot of influence on the SENSEX movements. The objective of this study is to investigate several key macroeconomic factors and their influence on SENSEX variations. For this purpose, key macroeconomic parameters like Balance of Trade, Index of Industrial Production, Money Supply (M3), MIBOR Rates, FOREX Reserves, Wholesale Price Index based inflation and exchange rates between Rupee-Dollar and Rupee-Euro were considered to investigate the key factors amongst them which are influencing most the SENSEX variations. The study uses monthly data for past ten years (i.e. from 2001 to 2010), analyzed using Vector Autoregressive techniques. The findings of the research identified three macroeconomic indicators, viz. MIBOR, FOREX reserves and INR/USD exchange rates, as having a significant impact on the SENSEX returns. Other macroeconomic indicators considered in our study were found to have no significant impact on the SENSEX returns. These findings are expected to help fundamental analysts and other market players to watch out for these variables while making investment decisions.","PeriodicalId":292256,"journal":{"name":"Chicago Booth GFM: Capital Markets (Topic)","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129114561","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We investigate the extent to which hedge fund managers smooth self-reported returns. In contrast to prior research on the "anomalous" properties of hedge fund returns, we observe the mechanisms used to price the fund's investment positions and report the fund's performance to investors, thereby allowing us to differentiate between asset illiquidity and misreporting-based explanations. We find that funds using less verifiable pricing sources and funds that provide managers with greater discretion in pricing investment positions are more likely to have returns consistent with intentional smoothing. Traditional controls, however, such as removing the manager from the setting and reporting of the fund's net asset value and the use of reputable auditors and administrators, are not associated with lower levels of smoothing. With respect to asset illiquidity versus misreporting, investment style and portfolio characteristics explain 14.0--24.3% of the variation in our smoothing measures, and pricing controls explain an additional 4.1--8.8%, suggesting that asset illiquidity is the major factor driving the anomalous properties of self-reported hedge fund returns. The Author 2011. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.
{"title":"Hedge Funds: Pricing Controls and the Smoothing of Self-Reported Returns","authors":"Gavin Cassar, Joseph J. Gerakos","doi":"10.2139/ssrn.1498601","DOIUrl":"https://doi.org/10.2139/ssrn.1498601","url":null,"abstract":"We investigate the extent to which hedge fund managers smooth self-reported returns. In contrast to prior research on the \"anomalous\" properties of hedge fund returns, we observe the mechanisms used to price the fund's investment positions and report the fund's performance to investors, thereby allowing us to differentiate between asset illiquidity and misreporting-based explanations. We find that funds using less verifiable pricing sources and funds that provide managers with greater discretion in pricing investment positions are more likely to have returns consistent with intentional smoothing. Traditional controls, however, such as removing the manager from the setting and reporting of the fund's net asset value and the use of reputable auditors and administrators, are not associated with lower levels of smoothing. With respect to asset illiquidity versus misreporting, investment style and portfolio characteristics explain 14.0--24.3% of the variation in our smoothing measures, and pricing controls explain an additional 4.1--8.8%, suggesting that asset illiquidity is the major factor driving the anomalous properties of self-reported hedge fund returns. The Author 2011. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.","PeriodicalId":292256,"journal":{"name":"Chicago Booth GFM: Capital Markets (Topic)","volume":"76 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121013603","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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