Results 1 - 10 of 9,435

Financial Intermediation, Loanable Funds, and the Real Sector

by Bengt Holmstrom, Jean Tirole - Quarterly Journal of Economics , 1997
"... We study an incentive model of ®nancial intermediation in which ®rms as well as intermediaries are capital constrained. We analyze how the distribution of wealth across ®rms, intermediaries, and uninformed investors affects investment, interest rates, and the intensity of monitoring. We show that al ..."
Abstract - Cited by 547 (7 self) - Add to MetaCart
We study an incentive model of ®nancial intermediation in which ®rms as well as intermediaries are capital constrained. We analyze how the distribution of wealth across ®rms, intermediaries, and uninformed investors affects investment, interest rates, and the intensity of monitoring. We show

Do investment-cash flow sensitivities provide useful measures of financing constraints?

by Steven N. Kaplan, Luigi Zingales - QUARTERLY JOURNAL OF ECONOMICS , 1997
"... No. This paper investigates the relationship between financing constraints and investment-cash flow sensitivities by analyzing the firms identified by Fazzari, Hubbard, and Petersen as having unusually high investment-cash flow sensitivities. We find that firms that appear less financially constra ..."
Abstract - Cited by 687 (7 self) - Add to MetaCart
that firms are more financially constrained. These findings call into question the interpretation of most previous research that uses this methodology. “Our financial position is sound... Most of the company’s funds are generated by operations and these funds grew at an average annual rate of 29 % [over

Risk-management: coordinating corporate investment and financing policies

by Kenneth A. Froot, David S. Scharfstein, Jeremy C. Stein , 1993
"... This paper develops a general framework for analyzing corporate risk management policies. We begin by observing that if external sources of finance are more costly to corporations than internally generated funds, there will typically be a benefit to hedging: hedging adds value to the extent that it ..."
Abstract - Cited by 554 (16 self) - Add to MetaCart
This paper develops a general framework for analyzing corporate risk management policies. We begin by observing that if external sources of finance are more costly to corporations than internally generated funds, there will typically be a benefit to hedging: hedging adds value to the extent

Testing for Common Trends

by James H. Stock, Mark W. Watson - Journal of the American Statistical Association , 1988
"... Cointegrated multiple time series share at least one common trend. Two tests are developed for the number of common stochastic trends (i.e., for the order of cointegration) in a multiple time series with and without drift. Both tests involve the roots of the ordinary least squares coefficient matrix ..."
Abstract - Cited by 464 (7 self) - Add to MetaCart
on similar assets of different maturities will be cointegrated. Applying these tests to postwar U.S. data on the federal funds rate and the three- and twelve-month treasury bill rates providesupport for this prediction: The three interest rates appear to be cointegrated.

Predictive regressions

by Robert F. Stambaugh - Journal of Financial Economics , 1999
"... When a rate of return is regressed on a lagged stochastic regressor, such as a dividend yield, the regression disturbance is correlated with the regressor's innovation. The OLS estimator's "nite-sample properties, derived here, can depart substantially from the standard regression set ..."
Abstract - Cited by 466 (20 self) - Add to MetaCart
When a rate of return is regressed on a lagged stochastic regressor, such as a dividend yield, the regression disturbance is correlated with the regressor's innovation. The OLS estimator's "nite-sample properties, derived here, can depart substantially from the standard regression

Monetary Policy Rules Based on Real-Time Data

by Athanasios Orphanides - BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM FINANCE AND ECONOMICS DISCUSSION PAPER SERIES , 1997
"... In recent years, simple policy rules have received attention as a means to a more transparent and effective monetary policy. Often, however, the analysis is based on unrealistic assumptions about the timeliness of data availability. This permits rule specifications that are not operational and ignor ..."
Abstract - Cited by 431 (18 self) - Add to MetaCart
quite large with a standard deviation exceeding that of the quarterly change of the federal funds rate. Further, I show that estimated policy reaction functions obtained using the ex post revised data can yield misleading descriptions of historical policy. Using Federal Reserve sta forecasts I show

The Determinants of Credit Spread Changes.

by Pierre Collin-Dufresne , Robert S Goldstein , J Spencer Martin , Gurdip Bakshi , Greg Bauer , Dave Brown , Francesca Carrieri , Peter Christoffersen , Susan Christoffersen , Greg Duffee , Darrell Duffie , Vihang Errunza , Gifford Fong , Mike Gallmeyer , Laurent Gauthier , Rick Green , John Griffin , Jean Helwege , Kris Jacobs , Chris Jones , Andrew Karolyi , Dilip Madan , David Mauer , Erwan Morellec , Federico Nardari , N R Prabhala , Tony Sanders , Sergei Sarkissian , Bill Schwert , Ken Singleton , Chester Spatt , René Stulz - Journal of Finance , 2001
"... ABSTRACT Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are ..."
Abstract - Cited by 422 (2 self) - Add to MetaCart
like Treasury bonds, and (2) low-grade bonds are more sensitive to stock returns. The implications of these studies may be limited in many situations of interest, however. For example, hedge funds often take highly levered positions in corporate bonds while hedging away interest rate risk by shorting

Open-Economy Inflation Targeting

by Lars E. O. Svensson , 1998
"... The paper extends previous analysis of closed-economy inflation targeting to a small open economy with forward-looking aggregate supply and demand with some microfoundations, and with stylized realistic lags in the different transmission channels for monetary policy. The paper compares targeting of ..."
Abstract - Cited by 370 (7 self) - Add to MetaCart
The paper extends previous analysis of closed-economy inflation targeting to a small open economy with forward-looking aggregate supply and demand with some microfoundations, and with stylized realistic lags in the different transmission channels for monetary policy. The paper compares targeting

A Simple Panel Unit Root Test in the Presence of Cross Section Dependence

by M. Hashem Pesaran - JOURNAL OF APPLIED ECONOMETRICS , 2006
"... A number of panel unit root tests that allow for cross section dependence have been proposed in the literature that use orthogonalization type procedures to asymptotically eliminate the cross dependence of the series before standard panel unit root tests are applied to the transformed series. In thi ..."
Abstract - Cited by 372 (16 self) - Add to MetaCart
. In this paper we propose a simple alternative where the standard ADF regressions are augmented with the cross section averages of lagged levels and first-differences of the individual series. New asymptotic results are obtained both for the individual cross sectionally augmented ADF (CADF) statistics

Mutual Fund Flows and Performance in Rational Markets

by Jonathan B. Berk, Richard C. Green , 2002
"... We develop a simple rational model of active portfolio management that provides a natural benchmark against which to evaluate observed relationship between returns and fund flows. Many effects widely regarded as anomalous are consistent with this simple explanation. In the model, investments with ac ..."
Abstract - Cited by 306 (16 self) - Add to MetaCart
and the flow of funds exists in our model: indeed, this is the market mechanism that ensures that no predictability in performance exists. Choosing parameters to match the flow-performance relationship and survivorship rates, we find these features of the data are consistent with the vast majority (80
Results 1 - 10 of 9,435