Essays in Financial Economics.

详细信息   

• 作者：Hanson ; Samuel Gregory.
• 学历：Ph.D.
• 年：2011
• 导师：Stein, Jeremy C.,eadvisorGreenwood, Robin,eadvisorScharfstein, David S.,eadvisorShleifer, Andrei,eadvisor
• 毕业院校：Harvard University
• ISBN：9781124747873
• CBH：3462521
• Country：USA
• 语种：English
• FileSize：11890946
• Pages：276

文摘

This dissertation studies securities issuance in imperfect capital markets. The first essay, joint with Robin Greenwood, studies the corporate supply response to time-varying investor demand for specific stock characteristics. We use differences between the attributes of stock issuers and repurchasers to forecast characteristic-related stock returns. For instance, we show that large firms underperform following years when issuing firms are large relative to repurchasing firms. Our approach is useful for forecasting returns to portfolios based on book-to-market, size, dividend policy, profitability, and industry. The results are consistent with the view that firms issue equity to exploit time-varying mispricing. The second essay, joint with Robin Greenwood, examines the response of corporate debt issuance to changes in the pricing of credit risk. Changes in the pricing of credit risk disproportionately affect the debt financing costs faced by high credit risk firms. As a result, time variation in the average credit quality of debt issuers is useful for forecasting excess corporate bond returns. We show that when issuance comes disproportionately from low quality borrowers, subsequent excess returns to both high yield and investment grade bonds are low, and often significantly negative. The degree of predictability is large in both statistical and economic terms. These findings are difficult to explain using risk-based models in which the rational price of risk fluctuates over time. We argue that investor over-extrapolation may play an important role. Specifically, following periods of low default rates, investors may begin to under-estimate the default probabilities of low-grade bonds. The final essay, joint with Adi Sunderam, develops a model that helps explain several past collapses of securitization markets. In our model, individual originators rationally prefer to finance themselves with near-riskless securities in normal times. However, their choices blunt investor incentives to build the infrastructure necessary to analyze asset cash flows. This results in an under-informed investor base that exacerbates market collapses in bad times, when the need for information production rises. The key inefficiency arises because informed investors are a public good from the perspective of originators. The model suggests that directly regulating the capital structure of securitizations may be worthwhile.