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作者：Baldauf, Markus; Mollner, Joshua; Yueshen, Bart Zhou
作者单位：University of British Columbia; Northwestern University; Singapore Management University
摘要：We study liquidity supply in fragmented markets. Market makers intermediate heterogeneous order flows, trading off spread revenue against inventory costs. Applying our model to payment for order flow (PFOF), we demonstrate that portfolio -based considerations of inventory management incentivize market makers to segment retail orders by siphoning them off -exchange. Banning order flow segmentation reduces total welfare, can make trading more costly for all investors, and can resolve a prisoner'...
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作者：Abis, Simona; Lines, Anton
作者单位：University of Colorado System; University of Colorado Boulder; Copenhagen Business School
摘要：What characteristics of mutual funds do investors care about? In addition to performance and fees, we show that investors exhibit a clear preference for managers who adhere to the strategies they describe in their prospectuses. Capital flows respond negatively when funds diverge from the average holdings of their text- based strategy peer groups, but positively when they outperform those peer averages. We identify this effect using a novel instrumental variables approach, and show that funds f...
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作者：Campello, Murillo; Kankanhalli, Gaurav; Kim, Hyunseob
作者单位：Cornell University; National Bureau of Economic Research; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：We show how uncertainty shapes corporate asset allocation, composition, and productivity using data from the shipping industry. Firms curtail both ship acquisitions and disposals when uncertainty increases, primarily through cuts in new ship orders and ship demolitions - decisions that are costlier to reverse vis-a-vis secondary market transactions. Uncertainty also prompts firms to concentrate their fleets into narrower, less productive portfolios. We corroborate our findings using the 2009-2...
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作者：Haslag, Peter; Srinivasan, Kandarp; Thakor, Anjan, V
作者单位：Vanderbilt University; Northeastern University; Washington University (WUSTL); Massachusetts Institute of Technology (MIT)
摘要：RMBS sponsors contributed to the rise of new product features in securitized mortgages prior to the 2008 financial crisis. Using a regulatory shock to sponsor competition , we show securitization influences the design of mortgage contracts, empirically demonstrating a unique, feedback loop of product differentiation from the derived security (MBS) to the underlying asset (loans). Product differentiation in Prime MBS collateral rises faster than that of non-prime in the early boom period (2000-...
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作者：Goldstein, Itay; Kopytov, Alexandr; Shen, Lin; Xiang, Haotian
作者单位：University of Pennsylvania; National Bureau of Economic Research; University of Rochester; INSEAD Business School; Peking University
摘要：We propose a model of the financial system in which banks are individually prone to runs and connected through fire sales. Strategic complementarities within and across banks amplify each other, making heterogeneity in bank risks a key factor shaping the fragility of each bank and the entire system. As long as different banks are interconnected, an increase in heterogeneity stabilizes all banks. Reductions in asset commonality, bank-specific disclosures, and even broad-based policies such as a...
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作者：Peress, Joel; Schmidt, Daniel
作者单位：INSEAD Business School; Hautes Etudes Commerciales (HEC) Paris
摘要：A critical question facing speculators contemplating to trade on private information is whether their signal has already been priced in by the market. In our model, speculators assess the novelty of their information based on recent price movements, and market makers are aware that speculators might be trading on stale news. An asymmetric response to past price movements ensues: after price increases, buy volume - because it may result from stale news trading - has a lower price impact than se...
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作者：Fonseca, Julia; Matray, Adrien
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Centre for Economic Policy Research - UK
摘要：We study a financial inclusion policy targeting Brazilian cities with low bank branch coverage using data on the universe of employees from 2000-2014. The policy leads to bank entry and to similar increases in both deposits and lending. It also fosters entrepreneurship, employment, and wage growth, especially for cities initially in banking deserts. These gains are not shared equally and instead increase with workers' education, implying a substantial increase in wage inequality. The changes i...
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作者：Faria-e-Castro, Miguel; Paul, Pascal; Sanchez, Juan M.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Goethe University Frankfurt
摘要：We develop a simple model of concentrated lending where lenders have incentives for evergreening loans by offering better terms to firms that are close to default. We detect such lending behavior using loan -level supervisory data for the United States. Banks that own a larger share of a firm's debt provide distressed firms with relatively more credit at lower interest rates. Building on this empirical validation, we incorporate theoretical mechanism into a dynamic heterogeneous -firm model to...
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作者：Doshi, Hitesh; Jacobs, Kris; Liu, Rui
作者单位：University of Houston System; University of Houston; Duquesne University
摘要：We propose no-arbitrage term structure models with volatility factors that follow GARCH processes. The models' tractability is similar to canonical affine term structure models, but they fit yield volatility much better, especially for long-maturity yields. This improvement does not come at the expense of a deterioration in yield fit. Because of the improved volatility fit, the model performs substantially better in pricing Treasury futures options. We conclude that the specification of the vo...
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作者：Do, Quoc-Anh; Galbiati, Roberto; Marx, Benjamin; Serrano, Miguel A. Ortiz
作者单位：Monash University; Centre National de la Recherche Scientifique (CNRS); Boston University; CUNEF Universidad
摘要：We study the stock market performance of firms with Jewish board members during the Dreyfus Affair in 19th century France. In a context of widespread latent antisemitism, initial accusations made against the Jewish officer Alfred Dreyfus led to short-lived abnormal negative returns for Jewish-connected firms. However, investors betting on these firms earned higher returns during the period corresponding to Dreyfus' rehabilitation, starting with the publication of the famous op-ed J'Accuse! in ...
