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作者：Geelen, Thomas; Hajda, Jakub; Morellec, Erwan; Winegar, Adam
作者单位：Copenhagen Business School; Danish Finance Institute; Universite de Montreal; HEC Montreal; Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Centre for Economic Policy Research - UK; BI Norwegian Business School
摘要：Capital ages and must eventually be replaced. We propose a theory of financing in which firms borrow to finance investment and deleverage as capital ages to have enough financial slack to finance replacement investments. To achieve these dynamics, firms issue debt with a maturity that matches the useful life of assets and a repayment schedule that reflects the need to free up debt capacity as capital ages. In the model, leverage and debt maturity are negatively related to capital age while deb...
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作者：Jeffers, Jessica; Lyu, Tianshu; Posenau, Kelly
作者单位：Hautes Etudes Commerciales (HEC) Paris; Yale University; Cornell University
摘要：We provide the first analysis of the risk exposure and risk-adjusted performance of impact investing funds, private market funds with dual financial and social goals. We introduce a dataset of impact fund cash flows and exploit distortions in VC performance measures to characterize risk profiles. Impact funds have a lower market /i than comparable private market strategies. Accounting for /i , impact funds underperform the public market, though not necessarily more so than comparable strategie...
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作者：Chernenko, Sergey; Scharfstein, David
作者单位：Purdue University System; Purdue University; Harvard University
摘要：Consistent with contemporaneous research, we document that minority-owned firms were more likely than observationally similar white-owned firms to receive PPP loans from nonbank lenders than from banks. However, we show that this substitution to nonbanks was only partial, resulting in significantly lower PPP take-up by minority-owned firms, particularly Black-owned ones. Location and firm characteristics explain about two-thirds of the 25 percentage point disparity in PPP take-up by Black-owne...
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作者：D'Acunto, Francesco; Rossi, Alberto G.; Weber, Michael
作者单位：Georgetown University; University of Chicago; National Bureau of Economic Research
摘要：We isolate the information channel of peer effects in consumption in a setting that excludes a role for common shocks or social pressure-a spending panel paired with crowdsourced information about anonymous peerselicited at different times. Consumers converge to peers' spending, and more so when peer signals are more informative. Convergence is asymmetric: within 12 months of information provision, overspenders close 17% and underspenders 5% of their gap relative to peers. We exploit the quasi...
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作者：Rhee, Keeyoung; Dogra, Keshav
作者单位：Sungkyunkwan University (SKKU); Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We study whether regulators should reveal stress test results that contain imperfect information about banks' financial health. Although disclosure restores market confidence in banks, it misclassifies some healthy banks as risky. This encourages banks to choose portfolios deemed safe by regulators, leading to model monoculture and making the financial system less diversified. Under the ex-ante optimal disclosure policy, the regulator addresses this tradeoff by fully revealing stress test resu...
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作者：Gormsen, Niels Joachim; Jensen, Christian Skov
作者单位：University of Chicago; National Bureau of Economic Research; Bocconi University
摘要：We study the extent to which time-variation in market betas influence estimates of CAPM alphas. Given the observed variation in conditional market betas, market risk premia, and market variance, the required compensation for conditional market risk can, in theory, be as large as the unconditional equity premium. We implement the conditional CAPM using state-of-the-art methods in a broad global sample. We find that accounting for conditional risk helps explain the return on all the major anomal...
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作者：Diamond, William; Jiang, Zhengyang; Ma, Yiming
作者单位：University of Pennsylvania; Northwestern University; National Bureau of Economic Research; Columbia University
摘要：We find that central bank reserves injected by QE crowd out bank lending. We estimate a structural model with cross-sectional instrumental variables for deposit and loan demand. Our results are determined by the elasticity of loan demand and the impact of reserve holdings on the cost of supplying loans. The reserves injected by QE raise loan rates by 7.4 basis points, and each dollar of reserves reduces bank lending by 7.7 cents. Our results imply that a large injection of central bank reserve...
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作者：Neuhann, Daniel; Sockin, Michael
作者单位：University of Texas System; University of Texas Austin
摘要：How does financial market concentration affect capital allocation? We propose a complete -markets model in which real investment and financial price impact are jointly determined in general equilibrium. We identify a two-way feedback mechanism whereby price impact induces misallocation and misallocation raises price impact. The mechanism is stronger if productivity is low or productivity dispersion is high. Given rising dispersion, the model can rationalize trends in corporate discount rates, ...
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作者：Hanson, Samuel G.; Malkhozov, Aytek; Venter, Gyuri
作者单位：Harvard University; University of London; Queen Mary University London; University of Warwick
摘要：We develop and test a model in which swap spreads are determined by end users' demand for and constrained intermediaries' supply of long-term interest rate swaps. Swap spreads reflect compensation both for using scarce intermediary capital and for bearing convergence risk-i.e., the risk spreads will widen due to a future demandand -supply imbalance. We show that a proxy for the intermediated quantity of swaps-dealers' net position in Treasuries-flipped sign during the Global Financial Crisis w...
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作者：Barrot, Jean -Noel; Bonelli, Maxime; Grassic, Basile; Sauvagnatc, Julien
作者单位：Hautes Etudes Commerciales (HEC) Paris; University of London; London Business School; Bocconi University; Bocconi University
摘要：We study whether state -level mandatory business closures implemented in response to the outbreak of the Covid19 causally affect economic and health outcomes. Using plausibly exogenous variations in exposure to these restrictions, we find that they impose substantial losses to firms and workers, the former bearing approximately two thirds of the cost, consistent with firms partially insuring their workers. We show that mandatory business closures have a significant negative causal effect on mo...
