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作者：Costain, James; Nuno, Galo; Thomas, Carlos
作者单位：Banco de Espana
摘要：We build an arbitrage-based model of the yield curves in a heterogeneous monetary union with sovereign default risk, which accounts for the asymmetric shifts in euro-area yields during the Covid-19 pandemic. We derive an affine term structure solution, and decompose yields into expectations, term premium, expected default loss, and credit risk premium components. In an extension, we endogenize the peripheral default probability, showing that it decreases with central bank bond holdings. Calibr...
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作者：Flanagan, Thomas
作者单位：University System of Ohio; Ohio State University
摘要：Using a novel data set of realized syndicated loan cash flows and a risk-adjustment methodology adapted from the private equity literature, I provide a measure of risk-adjusted returns for bank loan cash flows. Banks, on average, generate 180 basis points in gross risk-adjusted returns and add $75 million of value annually to their loan portfolios. Banks earn higher returns when they lend to financially constrained borrowers, and the risk-adjusted performance of bank loan portfolios exhibits p...
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作者：Di Maggio, Marco; Ma, Angela; Williams, Emily
作者单位：Imperial College London; Boston College; Harvard University
摘要：The reordering of transactions from high-to-low is a controversial bank practice thought to maximize fees paid by low-income customers on overdrawn accounts. We exploit a series of class-action lawsuits that mandated that some banks cease the practice. Using alternative credit bureau data, we find that after banks cease high-to-low reordering, low-income individuals reduce payday borrowing, increase consumption, realize long-term improvements in financial health, and gain access to lower-cost ...
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作者：Schoar, Antoinette
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作者：Custodio, Claudia; Mendes, Diogo; Metzger, Daniel
作者单位：Imperial College London; Centre for Economic Policy Research - UK; European Corporate Governance Institute; Stockholm School of Economics; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We study the impact of an MBA-style executive education course in finance on corporate policies and firm performance targeting top managers of medium and large Mozambican enterprises. Using a randomized controlled trial, we find that the educational treatment induces changes in financial policies that improve firm performance. Specifically, a reduction in working capital (0.4 to 0.5 standard deviations) increases cash flow, and in turn long-term investments. This effect operates primarily thro...
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作者：Francke, Marc; Korevaar, Matthijs
作者单位：University of Amsterdam; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：Based on centuries of data, we demonstrate that demographics have been a major, predictable driver of house prices. High birth rates 25 to 29 (60 to 64) years ago predict declining (rising) rent-price ratios today. This pattern arises from age-concentrated entry into and exit from homeownership affecting house prices, rather than changes in housing consumption that could also impact rents. We provide evidence for possible mechanisms: slow responses of other market participants to shifts in hom...
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作者：Chemla, Gilles; Rivera, Alejandro; Shi, Liyan
作者单位：Imperial College London; Centre National de la Recherche Scientifique (CNRS); Centre for Economic Policy Research - UK; University of Texas System; University of Texas Dallas; Carnegie Mellon University
摘要：We examine executive compensation in a general equilibrium model with dynamic moral hazard, where executives' outside options are endogenously determined by equilibrium market compensation. Firms provide incentives through compensation packages featuring deferred payments as carrots and termination as sticks. Crucially, the effectiveness of termination as an incentive device is undermined by the outside options available to executives. As individual firms fail to internalize the effect of thei...
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作者：Kalmenovitz, Joseph; Lowry, Michelle; Volkova, Ekaterina
作者单位：University of Rochester; Drexel University; University of Melbourne
摘要：Regulatory fragmentation occurs when multiple federal agencies oversee a single issue. Using the full text of the Federal Register, the government's official daily publication, we provide the first systematic evidence on the extent and costs of regulatory fragmentation. Fragmentation increases the firm's costs while lowering its productivity, profitability, and growth. Moreover, it deters entry into an industry and increases the propensity of small firms to exit. These effects arise from redun...
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作者：Khorrami, Paymon; Mendo, Fernando
作者单位：Duke University; Pontificia Universidade Catolica do Rio de Janeiro
摘要：Why do fire sales occur if many risks are hedgeable? We study a version of Brunnermeier and Sannikov (2014, American Economic Review 104, 379-421) in which all fundamental risks can be hedged frictionlessly. Our analysis shows that fire sales are inherently self-fulfilling. Fundamental shocks can never cause fire sales, and an efficient, safe equilibrium exists. On the other hand, there exists an equilibrium in which agents coordinate fire sales on nonfundamental shocks. A simple refinement ba...
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作者：Barardehi, Yashar H.; Dixon, Peter; Liu, Qiyu
作者单位：Virginia Polytechnic Institute & State University; U.S. Securities & Exchange Commission (SEC)
摘要：We introduce a simple measure of informed trading risk, , the residual to liquidity quote-improvement-to-deterioration ratio times . When facing with increased informed trading risk, liquidity providers compete less to provide liquidity, reducing their undercutting activity. Reductions in undercutting leave footprints in trade and quote data that are captured by . Unlike prior measures, is easy to construct, can be computed intraday, and is orthogonal to liquidity. The measure outperforms prom...
