We introduce a model-free approach based on {\it excursions} of trading signals for analyzing the risk and return for a broad class of dynamic trading strategies, including pairs trading and other statistical arbitrage strategies. We propose a mathematical framework for the risk analysis of such...

Corporate finance research focuses on C corps (CCs) neglecting pass-throughs (PTs). We answer this neglect by examining PT outputs for the categories of debt choice, valuation, and leverage gain. In the process, we expand on the nongrowth PT research and supplement the recent CC research on the...

A bivariate normal distribution, with the attendant non-analytically integrable p.d.f., lies at the hearts of many financial theories. Its derived Gaussian copula ostensibly does away with the normality assumptions, only to retain the linear (Pearson's) correlation measure implicit to said...

The global economy is in the midst of an unprecedented slump caused by the coronavirus pandemic. This systemic risk like no other at a time of record-breaking debt levels, especially among nonfinancial firms across the world, could exacerbate corporate vulnerabilities, deepen macro-financial...

This study investigates whether fluctuations in credit supply in a macroeconomy and a relational bank's financial condition affect the capital structure adjustment of firms. Using data for Japanese listed firms from 1988 to 2014, we find that firms adjust their capital structure slower during...

We present novel empirical evidence on the use of off-balance sheet financing by publicly traded, U.S. non-financial firms. We find that about 5 percent of non-financial firms reported using a special purpose financing vehicle (SPV) to finance receivables in 2006. At the origination of the...

Using a novel dataset of accounting and market information that spans most publicly traded nonfinancial firms over the last century, we show that U.S. federal government debt issuance significantly affects corporate financial policies and balance sheets through its impact on investors' portfolio...

The paper examines the causal effect of financial constraints on firm exports. We exploit a firm-level proxy of constraints based on credit ratings and available for a large panel of Italian exporting and non exporting firms. Our estimation strategy allows to cure for self-selection into exports...

Firm political contributions are associated with lower credit default swap spreads for contributing firms. To address endogeneity, we employ novel instruments and use a set of exogenous events on campaign contribution restrictions: (a) the passage of the Bipartisan Campaign Reform Act (BCRA)...

The authors employ content analysis to conduct an empirical study on a sample of large European banks. The authors propose a hybrid scoring model for the assessment of derivative disclosure in banking institutions. The methodology employed in this research is able to capture a considerable...