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作者：Jagannathan, Ravi
作者单位：Northwestern University; Northwestern University; Northwestern University
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作者：van Binsbergen, Jules; Han, Jungsuk; Ruan, Hongxun; Xing, Ran
作者单位：University of Pennsylvania; Seoul National University (SNU); Peking University; Stockholm University; Aarhus University; Stockholm University
摘要：We decompose mutual fund value added by the length of funds' holdings using transaction-level data. We motivate our decomposition with a model featuring horizon-specific investment ideas, where short-term ideas are less scalable because the associated trades cannot be spread over time. Fund turnover correlates negatively with the horizon over which value is added and positively with price impact costs. As predicted, holdings of high-turnover funds add a substantial amount of value in the first...
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作者：Cong, Lin William; Xiao, Yizhou
作者单位：Cornell University; National Bureau of Economic Research; Chinese University of Hong Kong; Cornell University
摘要：Economic interactions often involve sequential actions, observational learning, and contingent project implementation. We incorporate all-or-nothing thresholds in a canonical model of information cascades. Early supporters effectively delegate their decisions to a gatekeeper, resulting in unidirectional cascades without herding on rejections. Project proposers can consequently charge higher prices. Proposal feasibility, project selection, and information aggregation all improve, even when agen...
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作者：Fonseca, Julia; Liu, Lu
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of Pennsylvania
摘要：We study the impact of rising mortgage rates on mobility and labor reallocation. Using individual-level credit record data and variation in the timing of mortgage origination, we show that a 1 percentage point decline in the difference between mortgage rates locked in at origination and current rates reduces moving by 9% overall and 16% between 2022 and 2024, and this relationship is asymmetric. Mortgage lock-in also dampens flows in and out of self-employment and the responsiveness to shocks ...
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作者：Hertzberg, Andrew
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：I present a model of consumption and savings for a multiperson household in which members are imperfectly altruistic, derive utility from both private and shared public goods, and share wealth. I show that, despite having standard exponential time preferences, the household is time-inconsistent: Members save too little and overspend on private consumption goods. The household remains time-inconsistent even when members save separately, because the possibility of voluntary transfers or joint co...
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作者：Jiang, Zhengyang; Lustig, Hanno; Van Nieuwerburgh, Stijn; Xiaolan, Mindy Z.
作者单位：Northwestern University; Stanford University; Columbia University; University of Texas System; University of Texas Austin
摘要：A higher U.S. government debt-to-output (D-O) ratio does not forecast higher surpluses or lower returns on Treasurys in the future. Neither future cash flows nor discount rates account for the variation in the current D-O ratio. The market valuation of Treasurys is surprisingly insensitive to macro fundamentals. Instead, the future D-O ratio accounts for most of the variation because the D-O ratio is highly persistent. Systematic surplus forecast errors may help account for these findings. Sin...
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作者：Chen, Hui; Petukhov, Anton; Wang, Jiang; Xing, Hao
作者单位：National Bureau of Economic Research; Boston University; Massachusetts Institute of Technology (MIT)
摘要：Market-wide circuit breakers are trading halts aimed at stabilizing the market during dramatic price declines. Using an intertemporal equilibrium model, we show that a circuit breaker significantly alters market dynamics and affects investor welfare. As the market approaches the circuit breaker, price volatility rises drastically, accelerating the chance of triggering the circuit breaker-the so-called magnet effect, returns exhibit increasing negative skewness, and trading activity spikes up. ...
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作者：Subrahmanyam, Avanidhar; Tang, Ke; Wang, Jingyuan; Yang, Xuewei
作者单位：University of California System; University of California Los Angeles; Tsinghua University; Tsinghua University; Beihang University; Beihang University; Nanjing University; Nanjing University
摘要：We use proprietary data on intraday transactions at a futures brokerage to analyze how implied leverage influences trading performance. Across all investors, leverage is negatively related to performance, due partly to increased trading costs and partly to forced liquidations resulting from margin calls. Defining skill out-of-sample, we find that relative performance differentials across unskilled and skilled investors persist. Unskilled investors' leverage amplifies losses from lottery prefer...
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作者：Lucca, David O.; Wright, Jonathan H.
作者单位：Johns Hopkins University; Johns Hopkins University
摘要：We study the recent Australian experience with yield curve control (YCC) as perhaps the best evidence of how this policy might work in other developed economies. YCC seemingly worked well in 2020, when the market expected short rates to stay at zero for a long period of time. As the global recovery and inflation gained momentum in 2021, liftoff expectations moved up, the Reserve Bank of Australia purchased most of the targeted government bond outstanding, and the target bond's yield dislocated...
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作者：Shen, Lin; Zou, Junyuan
作者单位：INSEAD Business School; INSEAD Business School
摘要：Policymakers frequently use guarantees to mitigate panic-based runs in the financial system. We analyze a binary-action coordination game under the global games framework and propose a novel intervention program that screens investors based on their heterogeneous beliefs about the system's stability. The program only attracts investors who are at the margin of running, and their participation boosts all investors' confidence in the financial system. Compared with government guarantee programs,...
