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作者：Easley, David; O'Hara, Maureen; Basu, Soumya
作者单位：Cornell University; Cornell University; University of Technology Sydney; Cornell University; Cornell University; Cornell University
摘要：We investigate the role that transaction fees play in the bitcoin blockchain's evolution from a mining-based structure to a market-based ecology. We develop a game-theoretic model to explain the factors leading to the emergence of transactions fees, as well as to explain the strategic behavior of miners and users. Our model highlights the role played by mining rewards, transaction fees, price, and waiting time, discusses welfare issues, and examines how microstructure features such as exogenou...
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作者：Grosse-Rueschkamp, Benjamin; Steffen, Sascha; Streitz, Daniel
作者单位：European School of Management & Technology; Frankfurt School Finance & Management; Copenhagen Business School; Danish Finance Institute
摘要：We study the transmission channels from central banks' quantitative easing programs via the banking sector when central banks start purchasing corporate bonds. We find evidence consistent with a capital structure channel of monetary policy. The announcement of central bank purchases reduces the bond yields of firms whose bonds are eligible for central bank purchases. These firms substitute bank term loans with bond debt, thereby relaxing banks' lending constraints: banks with low tier-1 ratios...
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作者：Jensen, Christian Skov; Lando, David; Pedersen, Lasse Heje
作者单位：Bocconi University; Copenhagen Business School; New York University; Centre for Economic Policy Research - UK
摘要：We characterize when physical probabilities, marginal utilities, and the discount rate can be recovered from observed state prices for several future time periods. We make no assumptions of the probability distribution, thus generalizing the time-homogeneous stationary model of Ross (2015). Recovery is feasible when the number of maturities with observable prices is higher than the number of states of the economy (or the number of parameters characterizing the pricing kernel). When recovery is...
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作者：Cai, Fang; Han, Song; Li, Dan; Li, Yi
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We examine the extent to which institutional investors herd in the U.S. corporate bond market and the price impact of their herding behavior. We find that the level of institutional herding in corporate bonds is substantially higher than what is documented for equities, and that sell herding is much stronger and more persistent than buy herding. The price impact of herding is also highly asymmetric. While buy herding facilitates price discovery, sell herding causes transitory yet large price d...
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作者：Li, Di; Taylor, Lucian A.; Wang, Wenyu
作者单位：Peking University Shenzhen Graduate School (PKU Shenzhen); Peking University; University of Pennsylvania; Indiana University System; Indiana University Bloomington
摘要：If opportunistic acquirers can buy targets using overvalued shares, then there is an inefficiency in the merger and acquisition (M&A) market: the most overvalued rather than the highest-synergy bidder may buy the target. We quantify this inefficiency using a structural estimation approach. We find that the M&A market allocates resources efficiently on average. Opportunistic bidders crowd out high-synergy bidders in only 7% of transactions, resulting in an average synergy loss equal to 9% of th...
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作者：Joslin, Scott; Konchitchki, Yaniv
作者单位：University of Southern California; University of California System; University of California Berkeley
摘要：This paper provides theory and evidence that a low-dimensional term structure model can simultaneously price bonds and related options. It shows that a component of volatility risk largely unrelated to the shape of the yield curve is a determinant of expected excess returns for holding long maturity bonds. It also finds evidence for this return relationship both in the model and directly in the data through regression analysis. The paper also identifies a link between corporate earnings perfor...
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作者：Wang, Wenyu
作者单位：Indiana University System; Indiana University Bloomington
摘要：Because firms' takeover motives are unobservable to investors, mergers are only partially anticipated and often appear as mixed blessings for acquirers. I construct and estimate a model to study the causes and consequences of bid anticipation and information revelation in mergers. Controlling for the market's reassessment of the acquirer's stand-alone value, I estimate that acquirers gain 4% from a typical merger. The total value of an active merger market averages 13% for acquirers, part of w...
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作者：Phua, Kenny; Tham, T. Mandy; Wei, Chishen
作者单位：Nanyang Technological University; Singapore Management University
摘要：We find evidence that the leadership of overconfident chief executive officers (CEOs) induces stakeholders to take actions that contribute to the leader's vision. By being intentionally overexposed to the idiosyncratic risk of their firms, overconfident CEOs exhibit a strong belief in their firms' prospects. This belief attracts suppliers beyond the firm's observable expansionary corporate activities. Overconfident CEOs induce more supplier commitments including greater relationship-specific i...
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作者：Boguth, Oliver; Simutin, Mikhail
作者单位：Arizona State University; Arizona State University-Tempe; University of Toronto
摘要：Prior theory suggests that time variation in the degree to which leverage constraints bind affects the pricing kernel. We propose a measure for this leverage constraint tightness by inverting the argument that constrained investors tilt their portfolios to riskier assets. We show that the average market beta of actively managed mutual funds intermediaries facing leverage restrictions captures their desire for leverage and thus the tightness of constraints. Consistent with theory, it strongly p...
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作者：Beck, Thorsten; Degryse, Hans; De Haas, Ralph; van Horen, Neeltje
作者单位：City St Georges, University of London; KU Leuven; European Bank of Reconstructon & Development; European Central Bank; De Nederlandsche Bank NV; Tilburg University; Centre for Economic Policy Research - UK; Bank of England
摘要：We conduct face-to-face interviews with bank chief executive officers to classify 397 banks across 21 countries as relationship or transaction lenders. We then use the geographic coordinates of these banks' branches and of 14,100 businesses to analyze how the lending techniques of banks near firms are related to credit constraints at two contrasting points of the credit cycle. We find that while relationship lending is not associated with credit constraints during a credit boom, it alleviates ...
