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作者：Hartzmark, Samuel M.; Shue, Kelly
作者单位：University of Chicago; Yale University; National Bureau of Economic Research
摘要：A contrast effect occurs when the value of a previously observed signal inversely biases perception of the next signal. We present the first evidence that contrast effects can distort prices in sophisticated and liquid markets. Investors mistakenly perceive earnings news today as more impressive if yesterday's earnings surprise was bad and less impressive if yesterday's surprise was good. A unique advantage of our financial setting is that we can identify contrast effects as an error in percep...
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作者：Fecht, Falko; Hackethal, Andreas; Karabulut, Yigitcan
作者单位：Frankfurt School Finance & Management; Goethe University Frankfurt; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Center for Economic & Policy Research (CEPR)
摘要：We study the conflict of interest that arises when a universal bank conducts proprietary trading alongside its retail banking services. Our data set contains the stock holdings of every German bank and those of their corresponding retail clients. We investigate (i) whether banks sell stocks from their proprietary portfolios to their retail customers, (ii) whether those stocks subsequently underperform, and (iii) whether retail customers of banks engaging in proprietary trading earn lower portf...
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作者：Perignon, Christophe; Thesmar, David; Vuillemey, Guillaume
作者单位：Hautes Etudes Commerciales (HEC) Paris; Massachusetts Institute of Technology (MIT); Center for Economic & Policy Research (CEPR)
摘要：We empirically explore the fragility of wholesale funding of banks, using transaction-level data on short-term, unsecured certificates of deposit in the European market. We do not observe a market-wide freeze during the 2008 to 2014 period. Yet, many banks suddenly experience funding dry-ups. Dry-ups predict, but do not cause, future deterioration in bank performance. Furthermore, during periods of market stress, banks with high future performance tend to increase reliance on wholesale funding...
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作者：Bai, John (Jianqiu); Carvalho, Daniel; Phillips, Gordon M.
作者单位：Northeastern University; Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Dartmouth College
摘要：We provide evidence that the deregulation of U.S. state banking markets leads to a significant increase in the relative employment and capital growth of local firms with higher productivity, and that this effect is concentrated among young firms. Using financial data for a broad range of firms, our analysis suggests that this effect is driven by a shift in the composition of local bank credit supply toward more productive firms. We estimate that this effect translates into economically importa...
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作者：Kuhnen, Camelia M.; Melzer, Brian T.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; National Bureau of Economic Research; Dartmouth College; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：We investigate a novel determinant of financial distress, namely, individuals' self-efficacy, or belief that their actions can influence the future. Individuals with high self-efficacy are more likely to take precautions that mitigate adverse financial shocks. They are subsequently less likely to default on their debt and bill payments, especially after experiencing negative shocks such as job loss or illness. Thus, noncognitive abilities are an important determinant of financial fragility and...
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作者：Cipriani, Marco; Fostel, Ana; Houser, Daniel
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of Virginia; National Bureau of Economic Research; George Mason University
摘要：We test the asset pricing implications of collateralized borrowing (that is, of using assets as collateral to borrow money) in the laboratory. To this purpose, we develop a general equilibrium model with collateral constraints amenable to laboratory implementation and gather experimental data. In the laboratory, assets that can be leveraged fetch higher prices than assets that cannot, even though assets' payoffs are identical in all states of the world. Collateral value, therefore, creates dev...
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作者：Wong, Maisy
作者单位：University of Pennsylvania
摘要：Self-dealing is potentially important but difficult to measure. In this paper, I study special servicers in commercial mortgage-backed securities (CMBS), which sell distressed assets on behalf of bondholders. Around 2010, ownership changes of four major servicers raised concerns that they may direct benefits to new owners' affiliates (buyers and service providers). Loans liquidated after ownership changes have greater loss rates than before (8 percentage points (p.p.), $2.3 billion in losses),...
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作者：Kurlat, Pablo
作者单位：Stanford University
摘要：This paper proposes a theory of liquidity dynamics. Illiquidity results from asymmetric information. Observing the historical track record teaches agents how to interpret public information and helps overcome information asymmetry. However, an illiquidity trap can arise: too much asymmetric information leads to the breakdown of trade, which interrupts learning and perpetuates illiquidity. Liquidity falls in response to unexpected events that lead agents to question their valuation models (espe...
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作者：Verdelhan, Adrien
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：Sorting countries by their dollar currency betas produces a novel cross section of average currency excess returns. A slope factor (long in high beta currencies and short in low beta currencies) accounts for this cross section of currency risk premia. This slope factor is orthogonal to the high-minus-low carry trade factor built from portfolios of countries sorted by their interest rates. The two high-minus-low risk factors account for 18% to 80% of the monthly exchange rate movements. The two...
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作者：Brown, Stephen; Lu, Yan; Ray, Sugata; Teo, Melvyn
作者单位：New York University; State University System of Florida; University of Central Florida; University of Alabama System; University of Alabama Tuscaloosa; Singapore Management University
摘要：We show that, motivated by sensation seeking, hedge fund managers who own powerful sports cars take on more investment risk but do not deliver higher returns, resulting in lower Sharpe ratios, information ratios, and alphas. Moreover, sensation-seeking managers trade more frequently, actively, and unconventionally, and prefer lottery-like stocks. We show further that some investors are themselves susceptible to sensation seeking and that sensation-seeking investors fuel the demand for sensatio...
