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作者：Baldauf, Markus; Frei, Christoph; Mollner, Joshua
作者单位：University of British Columbia; University of Alberta; Northwestern University
摘要：We study the optimal execution problem in a principal-agent setting. A client contracts to purchase from a dealer. The dealer hedges, buying from the market, creating temporary and permanent price impact. The client chooses a contract, which specifies payment as a function of market prices; hidden action precludes conditioning on the dealer's hedging trades. We show the first-best benchmark is theoretically achievable with an unrestricted contract set. We then consider weighted-average-price c...
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作者：Meyer, Steffen; Uhr, Charline
作者单位：Aarhus University; Danish Finance Institute
摘要：We investigate individual investors' decisions under time-varying ambiguity (VVIX) using plausibly exogenous forced mutual fund liquidations at a German brokerage. Investors reinvest 87% of forced liquidations when the refund occurs on a day of low ambiguity and 0% when it occurs on a day of high ambiguity. Instead of reinvesting, investors become inert and keep the refund in their cash holdings. The effect reverses approximately six months after the liquidation. If investors reinvest, they de...
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作者：Ersahin, Nuri; Giannetti, Mariassunta; Huang, Ruidi
作者单位：Southern Methodist University; Stockholm School of Economics; Swedish House of Finance
摘要：We show that trade credit flows increase when a firm in a production network becomes a less reliable supplier due to an operating shock. Affected firms extend more trade credit when their customers have lower switching costs or expect more disruption. Suppliers that are more dependent on the affected firms facilitate the trade credit extension. However, when financial constraints at the affected firms and their suppliers prevent the increase in trade credit, customers sever their relationships...
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作者：Pellegrino, Bruno; Zheng, Geoffery
作者单位：Columbia University; New York University; NYU Shanghai
摘要：An important strand of research in macro-finance investigates which factors impede enterprise investment, and what is their aggregate economic cost. In this paper, we make two contributions to this literature. The first contribution is methodological: we introduce a novel framework to calibrate macroeconomic models with firm -level distortions using enterprise survey micro-data. The core of our innovation is to explicitly model the firms' decisions to report in the survey the distortions they ...
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作者：Kuong, John Chi-Fong; O'Donovan, James; Zhang, Jinyuan
作者单位：Chinese University of Hong Kong; City University of Hong Kong; University of California System; University of California Los Angeles
摘要：We document aggregate outflows from corporate bond mutual funds days before and after the announcement of increases in the Federal Funds Target rate (FFTar). To rationalize this phenomenon, we build a model in which funds' net-asset-values (NAVs) are stale and investors strategically redeem to profit from the mispricing when they learn about the increases of FFTar. Consistent with the model's predictions, we find that stale NAVs and loose monetary policy environments weaken (strengthen) outflo...
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作者：Hartley, Jonathan S.; Jermann, Urban J.
作者单位：Stanford University; University of Pennsylvania; National Bureau of Economic Research
摘要：Since January 2014, the U.S. Treasury has been issuing floating rate notes (FRNs). These notes pay quarterly interest based on an average of the constant maturity rates of newly issued three-month T -bills during the quarter. We show how to price such FRNs. We estimate that they have been paying excess interest between 3 and 42 basis points above the implied interest of other Treasury securities. We interpret this fact through the lens of a model where money -like assets differ in their degree...
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作者：Fang, Lily; Huang, Sterling
作者单位：INSEAD Business School; Singapore Management University
摘要：The average total compensation of directors in U.S.-listed companies was $342,030 in 2020, 5.06 times the median household income. Directors set their own pay, giving rise to potential self -dealing. We argue and document that in the presence of self -dealing, external mechanisms such as legal standards act as effective means of governance. Following a landmark Delaware court ruling that subjected director pay to a more stringent legal standard, Delaware -incorporated firms reduced director co...
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作者：Abadi, Joseph; Brunnermeier, Markus
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; Princeton University
摘要：We develop a model to compare the governance of traditional shareholder-owned platforms to that of platforms that issue tokens. A traditional shareholder governance structure leads a platform to extract rents from its users. A platform that issues tokens for its services can mitigate this rent extraction, as rent extraction lowers the platform owners' token seigniorage revenues. However, this mitigation from issuing service tokensis effective only if the platform can commit itself not to dilut...
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作者：Bartlett, Robert P.; Mccrary, Justin; O'Hara, Maureen
作者单位：Stanford University; Columbia University; Cornell University
摘要：This paper investigates fractional share trading. We develop a latency -based method for identifying a large sample of fractional share trades. We find that high-priced stocks, meme stocks, IPOs, SPACs, and popular retail stocks exhibit considerable numbers of these tiny trades. We surmise that this reflects dollar -based order entry, with many tiny trades being fractional components of larger orders. We show that our fractional trade measure is predictive of future liquidity and volatility, s...
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作者：Hendershott, Terrence; Li, Dan; Livdan, Dmitry; Schurhoff, Norman
作者单位：University of California System; University of California Berkeley; Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Lausanne; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK
摘要：Markets can give false impressions of liquidity and stability if failed attempts to trade are ignored. For collateralized loan obligations, we quantify this bias by estimating the total cost of immediacy (TCI) which incorporates failure rates and failure costs. TCI is substantially higher than the observed cost, 0.3-3.8% versus 0.04-0.12% across credit-quality tranches because trade failures are frequent, failure costs are large, and failure costs and rates are correlated. TCI is almost double...
