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作者：Lewis, Brittany Almquist
作者单位：Washington University (WUSTL)
摘要：Securities dealers receive mortgages as collateral for credit lines provided to mortgage companies and reuse the same collateral to borrow money. Exploiting the 2005 BAPCPA rule change, which granted mortgage collateral preferred bankruptcy treatment, I find that strengthening creditor rights increases dealers' collateral reuse. Increasing collateral reuse creates a money multiplier that increases credit supply. Using a novel dataset linking deal-ers to the mortgage companies they fund reveals...
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作者：Wang, Chaojun
作者单位：University of Pennsylvania
摘要：On many important multi-dealer platforms, customers mostly request quotes from very few dealers. I build a model of multi-dealer platforms, where dealers strategically choose to respond to or ignore a request. If the customer contacts more dealers, each dealer re-sponds with a lower probability and offers a stochastically worse price when responding. Dealers' strategic avoidance of competition overturns the customer's benefit from poten-tially receiving more quotes, worsening her best-overall ...
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作者：An, Yu; Benetton, Matteo; Song, Yang
作者单位：Johns Hopkins University; University of California System; University of California Berkeley; University of Washington; University of Washington Seattle
摘要：Most ETFs replicate indexes licensed by index providers. We show that index providers wield strong market power and charge large markups to ETFs that are passed on to in-vestors. We document three stylized facts: (i) the index provider market is highly con-centrated; (ii ) investors care about the identities of index providers, although they explain little variation in ETF returns; and (iii ) over one-third of ETF expense ratios are paid as licensing fees to index providers. A structural decom...
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作者：Bakshi, Gurdip; Crosby, John; Gao, Xiaohui; Hansen, Jorge W.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; Old Dominion University; Aarhus University
摘要：We document the phenomenon that average excess returns of out-of-the-money puts and calls on bond futures are negative, both unconditionally and conditionally on economic states. To explain these findings, we develop economically motivated restrictions in the context of a theory in which the pricing kernel is a general diffusion process with spanned and unspanned components. Our reconciliation is a framework that introduces market incompleteness and priced unspanned volatility risks, allowing ...
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作者：Bao, Jack; Hou, Kewei; Zhang, Shaojun
作者单位：University of Delaware; University System of Ohio; Ohio State University
摘要：We construct a measure of systematic default defined as the probability that many firms default at the same time. We account for correlations in defaults between firms through exposures to common shocks. Systematic default spikes during recessions, is correlated with macroeconomic indicators, and predicts future realized defaults. More importantly, it predicts future equity and corporate bond index returns both in-and out-of-sample. Finally, we find that the cross-section of average stock retu...
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作者：Yannelis, Constantine; Zhang, Anthony Lee
作者单位：University of Chicago
摘要：Screening in consumer credit markets is often associated with large fixed costs. We present both theory and evidence that, when lenders use fixed-cost technologies to screen borrowers, increased competition may increase rather than decrease interest rates in subprime consumer credit markets. In more competitive markets, lenders have lower market shares, and thus lower incentives to invest in screening. Thus, when markets are competitive, all lenders face a riskier pool of borrowers, which can ...
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作者：Garcia, Diego; Hu, Xiaowen; Rohrer, Maximilian
作者单位：University of Colorado System; University of Colorado Boulder; Southern Methodist University; Norwegian School of Economics (NHH)
摘要：Our paper relies on stock price reactions to colour words, in order to provide new dic-tionaries of positive and negative words in a finance context. We extend the machine learning algorithm of Taddy (2013), adding a cross-validation layer to avoid over-fitting. In head-to-head comparisons, our dictionaries outperform the standard bag-of-words ap-proach (Loughran and McDonald, 2011) when predicting stock price movements out-of -sample. By comparing their composition, word-by-word, our method r...
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作者：Bandi, Federico M.; Bretscher, Lorenzo; Tamoni, Andrea
作者单位：Johns Hopkins University; University of Lausanne; Swiss Finance Institute (SFI); Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark
摘要：The component of the volatility of total factor productivity (TFP) that is orthogonal to the dividend price ratio is shown to have long-run predictive ability for excess market returns. This finding implies that TFP volatility should also predict real cash flows and/or real interest rates: it is found to mainly predict real cash flows through inflation. A model with endogenous growth, Epstein-Zin preferences and price rigidities reconciles both TFP volatility-driven long-run predictability and...
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作者：Goulding, Christian L.; Harvey, Campbell R.; Mazzoleni, Michele G.
作者单位：Auburn University System; Auburn University; Duke University; National Bureau of Economic Research
摘要：We use slow and fast time-series momentum to characterize four stock market cycles- Bull, Correction, Bear, and Rebound. The steep market declines of Bears concentrate in high-risk states, yet predict negative expected returns, which is difficult to rationalize by most models of time-varying risk premia. Using a model to analyze slow and fast momentum strategies, we estimate both relatively high mean persistence and realization noise in U.S. stock market returns. Intermediate-speed momentum po...
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作者：Carletti, Elena; Leonello, Agnese; Marquez, Robert
作者单位：Bocconi University; European Central Bank; University of California System; University of California Davis
摘要：Loan guarantees represent a form of government intervention to support bank lending. However, their use raises concerns as to their effect on bank risk-taking incentives. In a model of financial fragility that incorporates bank capital and a bank incentive problem, we show that loan guarantees reduce depositor runs and improve bank underwriting standards, except for the most poorly capitalized banks. We highlight a novel feedback effect between banks' underwriting choices and depositors' run d...
