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作者：Pelizzon, Loriana; Riedel, Max; Simon, Zorka; Subrahmanyam, G.
作者单位：Universita Ca Foscari Venezia; New York University
摘要：We study the many implications of the Eurosystem collateral framework for corporate bonds. Using data on the evolving collateral eligibility list, we identify the first inclusion dates of bonds and issuers and use these events to find that the increased supply and demand for pledgeable collateral following eligibility (a) increases activity in the corporate securities lending market, (b) lowers eligible bond yields, and (c) affects bond liquidity. Thus, corporate bond lending relaxes the const...
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作者：Feldhutter, Peter; Halskov, Kristoffer; Krebbers, Arthur
作者单位：Copenhagen Business School; Copenhagen Business School; University of Strathclyde
摘要：We examine the pricing of sustainability-linked bonds (SLBs), where the cash flows depend on the bond issuer achieving one or more Environmental, Social and Governance (ESG) goals. Investors are willing to accept a 1-2bps lower yield due to the bond's ESG label, providing evidence of investors caring about environmental impact. Furthermore, we find the average probability of missing the target is 14%-39% so firms set ESG targets that are easy to reach. We find that the SLB market is efficient:...
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作者：Jiang, Erica Xuewei; Matvos, Gregor; Piskorski, Tomasz; Seru, Amit
作者单位：University of Southern California; Northwestern University; National Bureau of Economic Research; Columbia University; Stanford University
摘要：We develop a conceptual framework and an empirical methodology to analyze the effect of rising interest rates on the value of U.S. bank assets and bank stability. We mark-to-market the value of banks' assets due to interest rate increases from Q1 2022 to Q1 2023, revealing an average decline of 10 %, totaling about $2 trillion in aggregate. We present a model illustrating how asset value declines due to higher rates can lead to self-fulfilling solvency runs even when banks' assets are fully li...
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作者：Garber, Gabriel; Mian, Atif; Ponticelli, Jacopo; Sufi, Amir
作者单位：Central Bank of Brazil; Princeton University; Northwestern University; University of Chicago; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：Brazil initiated a major credit expansion program through government banks in 2011. The program primarily targeted public sector workers with offers of payroll -backed loans. Using individual -level administrative data we find that the program led to a 15 percentage point rise in debt to initial income for public sector workers. We develop a new method for estimating workers' expected income growth, and show that consumption smoothing cannot explain the rise in consumer borrowing. Instead, the...
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作者：Azevedo, Alcino; Colak, Gonul; El Kalak, Izidin; Tunaru, Radu
作者单位：Aston University; University of Sussex; Hanken School of Economics; Cardiff University
摘要：For many firms, voluntarily delisting from a stock exchange can be optimal. We model an entrepreneur's incentives to voluntarily delist the firm as a trade-off between consumption of private benefits when listed and expected improvements in the firm's performance after delisting. Our model allows for heterogeneity across firms and countries, and various micro and macro shocks affect the delisting decision. Such a model makes novel predictions regarding the delisting patterns around the world. ...
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作者：He, Wei; Su, Zhiwei; Yu, Jianfeng
作者单位：Southwestern University of Finance & Economics - China; Lingnan University; Tsinghua University; Hong Kong University of Science & Technology
摘要：This paper studies the heterogeneous effects of subjective macroeconomic expectations on the cross-section of equity returns. We argue that an upward revision in expectations of macroeconomic productivity might be accompanied by an excessive increase in investment and external financing, inflated current equity prices, and thus lowered subsequent returns, particularly for financially constrained firms. Thus, following upward revisions in expectations of macroeconomic productivity, subsequent r...
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作者：Kim, You Suk; Lee, Donghoon; Scharlemann, Tess; Vickery, James
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We study how intermediaries - mortgage servicers - shaped the implementation of mortgage forbearance during the COVID-19 pandemic and use servicer-level variation to trace out the causal effects of forbearance on borrowers. Forbearance provision varied widely across servicers. Small servicers, nonbanks, and especially nonbanks with small liquidity buffers, facilitated fewer forbearances and saw a higher incidence of forbearance related complaints. Easier access to forbearance substantially inc...
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作者：Enke, Benjamin; Schwerter, Frederik; Zimmermann, Florian
作者单位：Harvard University; National Bureau of Economic Research; Frankfurt School Finance & Management; University of Cologne; University of Bonn; IZA Institute Labor Economics
摘要：Recent theories and narratives highlight the potential role of associative recall in driving overreaction in expectations and market behavior. Based on a simple model, we test this idea through a series of experiments in which news are communicated with memorable contexts. Because the experimental participants predominantly remember those past news that get cued by new information, their beliefs about fundamentals strongly overreact. In a betting market experiment, associative recall translate...
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作者：Happel, Jonas; Karabulut, Yigitcan; Schaefer, Larissa; Tuzel, Selale
作者单位：Frankfurt School Finance & Management; Centre for Economic Policy Research - UK; University of Southern California
摘要：Do negative housing shocks lead to persistent changes in household attitudes toward housing and homeownership? We use the residential destruction of Germany during World War II (WWII) as a quasi -experiment and exploit the reasonably exogenous region -by -cohort variation in destruction exposure. We find that WWIIexperiencing cohorts from high destruction regions are significantly less likely to be homeowners decades later, controlling for regional differences and household characteristics. Un...
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作者：Chen, Andrew Y.; McCoy, Jack
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Columbia University
摘要：We characterize the structure and origins of missingness for 159 cross-sectional return predictors and study missing value handling for portfolios constructed using machine learning. Simply imputing with cross-sectional means performs well compared to rigorous expectation -maximization methods. This stems from three facts about predictor data: (1) missingness occurs in large blocks organized by time, (2) cross-sectional correlations are small, and (3) missingness tends to occur in blocks organ...
