Earticle

초록

영어

We investigate how dual holders who simultaneously hold loans and equity shares of a firm respond to stock mispricing of the firm. Using the fire-sales shock driven by mutual fund outflows as a measure of stock mispricing, we find that dual holders provide loans with lower spreads to the firms under the fire-sales shock. The result is driven by dual holders’ incentive to support the firm as long-term investors. We establish causality by exploiting mergers between financial institutions. In a firm-level analysis, we find that dual holders’ loan provisions offset the negative effects of the fire-sales shock on corporate investments. Overall, our results highlight dual holders’ unique role in mitigating the real effects of stock mispricing events.

목차

Abstract
1. Introduction
2. Hypothesis Development
3. Data and Key Variables
3.1. Sample Construction and Identification of Dual Holders
3.2. Mutual Fund Flow Pressure
3.3. Flow Shock and Dual Holders’ Equity Shares
4. Empirical Results
4.1. Effect of Mutual Fund Flow Pressure on Dual Holders’ Loan Pricing
4.2. Dual Holders’ Incentive Alignment Channel
4.3. Equity Financial Constraints and Dual Holders’ Loan Pricing
4.4. Instrumental Variable Analysis using Financial Institution Mergers
4.5. Robustness Tests
5. Firm-Level Effects of Dual Holders’ Loan Provisions
5.1. Effects on Stock Returns
5.2. Effects on Corporate Investment
6. Conclusion
References
Figure
Table

키워드

저자

• Yun-Soo Kim [ College of Business, Korea Advanced Institute of Science and Technology ]
• Yeonggyu Yun [ Department of Economics, University of Wisconsin-Madison ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330