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Leverage over the firm life cycle, firm growth, and aggregate fluctuations

Dinlersoz, Emin Murat; Kalemli-Ozcan, Sebnem; Hyatt, … - 2019

We study the leverage of U.S. firms over their life cycles and the connection between firm leverage, firm growth, and aggregate shocks. We construct a new dataset that combines private and public firms’ balance sheets with firm-level data from U.S. Census Bureau’s Longitudinal Business...

Persistent link: https://www.econbiz.de/10012063843

Dynamic Response of Equity Market Returns to Corporate Profit Growth Shock

Sum, Vichet - 2013

This study investigates how returns on the S&P 500 (SP) dynamically respond to the aggregate corporate profit growth … (CP) shock. The results from running the VAR model using quarterly data from 1951Q4 to 2012Q4 shows that returns on the SP … significantly and positively respond to the CP shock instantly in the first quarter and retreat back to the zero territory …

Persistent link: https://www.econbiz.de/10013078332

The Role of Transitory Shocks in Equity Financing : Evidence from IPOs

Sohn, Sungbin - 2013

I use cointegration techniques to decompose stock market shocks into permanent and transitory shocks, building on the idea that transitory shocks should not have long-run effects on dividends and stock prices. The decomposed shocks improve on existing valuation measures by indicating the extent...

Persistent link: https://www.econbiz.de/10013091956

Firm cyclicality and financial frictions

Clymo, Alex; Rozsypal, Filip - 2023

Firms' sensitivities to business cycles differ by size and age. The differences are large: "young and small firms" are more cyclical than large firms, whereas "old and small" firms are closer to acyclical. A heterogeneous-firm model with heterogeneous returns to scale can replicate these...

Persistent link: https://www.econbiz.de/10014288919

Housing market dynamics : on the contribution of income shocks and credit constraint

Ortalo-Magné, François; Rady, Sven - 2005

We propose a life-cycle model of the housing market with a property ladder and a credit constraint. We focus on equilibria which replicate the facts that credit constraints delay some households' first home purchase and force other households to buy a home smaller than they would like. The model...

Persistent link: https://www.econbiz.de/10010343962

Housing market dynamics : on the contribution of income shocks and credit constraints

Ortalo-Magné, François; Rady, Sven - 2001

This paper presents a dynamic theory of housing market fluctuations. It develops a life-cycle model where households are heterogeneous with respect to income and preferences, and mortgage lending is restricted by a down-payment requirement. The market interaction of young credit-constrained...

Persistent link: https://www.econbiz.de/10011398664

Arbitrage crashes, financial accelerator, and sudden market freezes

Zhang, Ally Quan - 2017 - Last update: November 18, 2017, preliminary draft

We investigate the channel through which fluctuations in the market liquidity of real-sector repo collateral cause arbitrage crashes and failure of systemically important intermediaries during the global financial crisis. Intermediaries pledge productive capital as repo collateral to fund the...

Persistent link: https://www.econbiz.de/10011875637

Housing market dynamics : on the contribution of income shocks and credit constraints (revised version)

Ortalo-Magné, François; Rady, Sven - 2005

Persistent link: https://www.econbiz.de/10010440424

Housing market dynamics : on the contribution of income shocks and credit constraints

Rady, Sven; Ortalo-Magné, François - 2001

Persistent link: https://www.econbiz.de/10010440971

The collateralizability premium

Ai, Hengjie; Li, Jun E.; Li, Kai; Schlag, Christian - 2019

A common prediction of macroeconomic models of credit market frictions is that the tightness of financial constraints is countercyclical. As a result, theory implies a negative collateralizability premium; that is, capital that can be used as collateral to relax financial constraints provides...

Persistent link: https://www.econbiz.de/10012113782