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作者：Boutros, Michael
作者单位：University of Toronto
摘要：I study how the cognitive demands of financial planning shape household decisionmaking with respect to consumption out of windfall income shocks. I build a quantitative model of bounded rationality in which reoptimization is costly. Households respond to windfall income shocks by choosing a finite planning horizon over which to reoptimize, and the optimal planning horizon is increasing in wealth and the magnitude of the income shock. Calibrated to U.S. data, the model's distribution of consump...
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作者：Granja, Joao; Paixao, Nuno
作者单位：University of Chicago; Bank of Canada
摘要：We evaluate how bank mergers affect consumer welfare when banks set deposit rates with a high degree of uniformity across their branch networks. First, we document that merger-induced changes to local market concentration are only weakly correlated with pricing decisions. Second, we develop a structural model of the banking sector to simulate equilibrium post-merger deposit rates with and without uniform pricing. The simulated deposit rates from the model with uniform pricing best match the ob...
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作者：Cong, Lin William; Mayer, Simon
作者单位：Cornell University; National Bureau of Economic Research; Carnegie Mellon University
摘要：We model the competition between digital forms of fiat money and private digital money. Countries digitize their currencies-by upgrading existing or launching new payment systems (including CBDCs)-to compete with foreign fiat currencies and private digital money. A pecking order emerges: less dominant currencies digitize earlier, reflecting a first-mover advantage; dominant currencies delay digitization until they face competition; the weakest currencies forgo digitization. However, delayed di...
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作者：Huang, Wenqian; Ranaldo, Angelo; Schrimpf, Andreas; Somogyi, Fabricius
作者单位：Bank for International Settlements (BIS); University of Basel; Centre for Economic Policy Research - UK; Northeastern University
摘要：We devise a simple model of liquidity demand and supply to study dealers' liquidity provision in currency markets. Drawing on a globally representative data set of currency trading volumes, we show that at times when dealers' intermediation capacity is constrained the cost of liquidity provision increases disproportionately relative to dealer-intermediated volume. Consequently, the otherwise strong and positive relation between liquidity costs and trading volume diminishes significantly when d...
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作者：Han, Bing; Sui, Pengfei; Yang, Wenhao
作者单位：University of Toronto; The Chinese University of Hong Kong, Shenzhen; University of North Carolina; University of North Carolina Charlotte
摘要：Using mutual fund flows, we evaluate prospect theory with choice outcomes in the market. We provide strong support for prospect theory: under a standard set of parameters, funds whose past returns generate higher prospect theory value attract significantly larger future flows; we also find corroborative evidence using account-level data. Taking a revealed preference approach, we estimate the prospect theory parameters through a discrete choice model and find that our field-based estimates alig...
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作者：Favilukis, Jack; Giammarino, Ron; Pizarro, Jose; Simutin, Mikhail
作者单位：University of British Columbia; University of Toronto
摘要：Tax loss carryforwards (TLCF) - accumulated losses that reduce taxable income - are an important and risky corporate asset. We show theoretically how TLCF affect equity risk: If TLCF are low and used with certainty, equity risk decreases in TLCF because TLCF represent a safe cash flow; if TLCF are high, equity risk increases in TLCF because TLCF increase after-tax cash flows in good times but may expire unused or be deferred in bad times. In a calibrated model the latter effect dominates and r...
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作者：Gopalan, Radhakrishnan; Li, Renping; Zaldokas, Alminas
作者单位：Washington University (WUSTL); Tulane University; National University of Singapore
摘要：A firm's gross margin increases by 0.8 p.p. after forming a new direct board connection to a product market peer. Gross margin also rises by 0.4 p.p. after a connection is formed to a peer indirectly through a third intermediate firm. Further, using barcode-level data of 2.7 million products, we show that new board connections are related to higher consumer good prices, a greater tendency for market allocation, and slower new product introductions. The effects are stronger when the newly conne...
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作者：Cao, Charles; Liang, Bing; Yao, Tong; Zhang, Andrew
作者单位：Chinese University of Hong Kong; Tsinghua University; University of Massachusetts System; University of Massachusetts Amherst; University of Iowa; Nevada System of Higher Education (NSHE); University of Nevada Las Vegas
摘要：We find that market anomalies exhibit heterogeneous liquidity characteristics - long-short portfolios based on long-horizon (short-horizon) anomalies have liquidity-provision (liquidity-demanding) characteristics. Consistent with such liquidity characteristics, institutional investors tend to trade in the wrong (right) direction of long-horizon (short-horizon) anomalies. Further analysis shows that exogenous liquidity factors and institutional liquidity preferences have causal effects on the o...
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作者：Allen, Jason; Carmichael, Kyra; Clark, Robert; Li, Shaoteng; Vincent, Nicolas
作者单位：University of Wisconsin System; University of Wisconsin Madison; Northwestern University; University of Toronto; Bank of Canada; Universite de Montreal; HEC Montreal
摘要：In many countries, the cost of housing has greatly outpaced income growth, leading to an affordability crisis. Leveraging Canadian loan-level data, we document an increasing reliance of first-time home-buyers on financial help from their parents through mortgage co-signing. We show that parental support can effectively relax the borrowing constraints of their adult children, and allow them to enter the housing market early. However, we also identify a novel channel through which parental suppo...
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作者：Mclean, R. David; Pontiff, Jeffrey; Reilly, Christopher
作者单位：Boston College; University of Texas System; University of Texas Dallas
摘要：We assess how nine different categories of market participants trade relative to a comprehensive forecastedreturn variable based on 193 predictors. Firms and short sellers tend to be the smart money-both sell stocks with low-forecasted returns, and their trades predict returns in the intended direction. Retail investors trade against forecasted returns. Retail investors' and institutions' trades predict returns opposite to the intended direction. This poor trading performance is driven by trad...
