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作者：Schroth, Josef
作者单位：Bank of Canada
摘要：Are banks safer when they hold more safe assets? This paper builds a model in which banks supply liquidity services through uninsured deposits. Define a safe asset as an asset with both low payoff risk and high pledgeability. Banks consider equity costly and because of safe assets' low payoff risk prefer to fund them largely with deposits. High pledgeability makes this feasible. The rise in banks' deposit supply increases deposit rates and forces banks to deviate from socially desirable levels...
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作者：Sikorskaya, Taisiya
作者单位：University of Chicago
摘要：Institutions facilitate short-selling by lending from their holdings, but what they hold is endogenous. This paper examines how institutional demand, driven by investment mandates (benchmarking), affects short-selling. In a model where benchmarked managers lend from their holdings, both lending supply and equilibrium price are higher for the benchmark asset, and so is shorting demand (due to inflated price). A quasi-experiment using Russell index reconstitution shows that stocks with more benc...
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作者：Cohn, Jonathan B.; Johnson, Travis L.; Liu, Zack; Wardlaw, Malcolm I.
作者单位：University of Texas System; University of Texas Austin; University of Houston System; University of Houston; University System of Georgia; University of Georgia
摘要：Confounding events can cause false positives when testing the relationship between short-term returns around a quasi-experimental event and firm characteristics. We show that this risk is severe in practice - return characteristic relationships are often statistically significant at the 1% level on over 30% of all trading days. Benchmarking a relationship against the distribution of the same relationship on pre-event days is effective at addressing the problem. We introduce a novel GLS variati...
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作者：Avramov, Doron; Ge, Shuyi; Li, Shaoran; Linton, Oliver
作者单位：Reichman University; Nankai University; Peking University; University of Cambridge
摘要：This paper introduces a Peer Index (PI) constructed from economically motivated peer networks that summarizes (i) the strength of a firm's peers and (ii) the firm's position within its peer group. PI predicts stock returns and earnings surprises over short and long horizons. Machine-learning models based solely on firm-level characteristics do not subsume PI's predictive power, supporting the interpretation that it captures genuine cross-stock information. Lag-augmented local projections show ...
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作者：Conklin, James N.; Gerardi, Kristopher; Lambie-Hanson, Lauren
作者单位：University System of Georgia; University of Georgia; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：We document large racial disparities in the ability of homeowners to access their accumulated housing wealth. Minority homeowners are significantly more likely to have their mortgage equity withdrawal (MEW) product applications rejected than White homeowners, and the unconditional disparities are significantly larger than those found in prior studies that focused on purchase and rate/term refinance loans. Had Black homeowners faced the same MEW denial rate as White homeowners in our sample per...
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作者：Albertus, James F.; Glover, Brent; Levine, Oliver
作者单位：Carnegie Mellon University; University of Wisconsin System; University of Wisconsin Madison
摘要：The Tax Cuts and Jobs Act unlocked as much as $1.7 trillion of U.S. multinationals' foreign cash. We examine the real and financial response to this liquidity shock and find that firms did not increase capital expenditures, employment, R&D, or M&A, regardless of financial constraints. On the financial side, firms paid out only about one-third of the new liquidity to shareholders and retained half as cash. This high retention was not associated with poor governance. The high propensity to retai...
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作者：Carpenter, Jennifer N.; Lu, Fangzhou; Whitelaw, Robert F.
作者单位：New York University; University of Hong Kong; National Bureau of Economic Research
摘要：We propose a new approach to modeling bond risk and risk premia, inspired by the equity risk-return literature, which does not impose the tight restrictions found in models that generate closed-form bond prices. We estimate the joint dynamics of the volatility and Sharpe ratio of principal-component bond-factor portfolios for the US and China. Predictors include yield curve variables and, for the US, VIX. We document complex time-varying relations between the price and quantity of interest rat...
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作者：Fuchs, Maximilian; Stroebel, Johannes; Terstegge, Julian
作者单位：Copenhagen Business School; New York University; National Bureau of Economic Research; University of Michigan System; University of Michigan
摘要：We study the effects of carbon price uncertainty on firms' decisions to decarbonize their operations. We first use information on the pricing of options on emission allowances in the European Emissions Trading System to create the Carbon VIX, a market-based high-frequency measure of carbon price uncertainty. Carbon price uncertainty is high, varies substantially over time, and experiences persistent shocks around major climate policy events. To explore the effects of carbon price uncertainty o...
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作者：Kaviani, Mahsa; Maleki, Hosein; Savor, Pavel
作者单位：University of Delaware; Rutgers University System; Rutgers University New Brunswick; DePaul University
摘要：Using close elections as an empirical setting, this paper examines the drivers and consequences of politically motivated lending by U.S. banks, with a special focus on resulting benefits. We first show that firms with ties to members of Congress receive more favorable loan terms, despite no observable improvements in performance or default risk. The effect is especially pronounced among banks facing regulatory challenges - such as FDIC enforcement actions, corporate misconduct investigations, ...
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作者：Frame, W. Scott; Gerardi, Kristopher; Mayer, Erik J.; Xu, Billy Y.; Zhao, Lawrence Chengzhi
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; University of Wisconsin System; University of Wisconsin Madison; University of Rochester; Texas Tech University System; Texas Tech University
摘要：This study examines the effect of Department of Justice lawsuits in the 2010s against large lenders for alleged fraud in the Federal Housing Administration (FHA) mortgage insurance program. The suits led to over $5 billion in settlements and caused targeted banks and their peers to precipitously exit the FHA market. Difference-in-differences and triple-differences tests exploiting geographic variation in exposure to exiting banks show an 18% reduction in FHA lending in heavily exposed areas. T...
