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作者：Brugler, James; Khomyn, Marta; Putnins, Talis
作者单位：University of Melbourne; Adelaide University; University of Adelaide; University of Technology Sydney
摘要：Financial benchmarks such as LIBOR underpin the pricing of trillions of dollars of contracts around the world. We evaluate the quality of benchmark prices using a state-space model to separate information from noise. Applying the method to LIBOR benchmarks and their replacements, we find that alternative reference rates (ARRs) are less noisy in four of the five currencies. However, the USD ARR is considerably more noisy, resulting in billions of dollars of noise-related wealth transfers betwee...
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作者：Auer, Raphael; Monnet, Cyril; Shin, Hyun Song
作者单位：University of Bern; Study Center Gerzensee
摘要：Distributed ledgers promise to enable the classical vision of money as a universal transaction record. But is it ever optimal to update a ledger through decentralized consensus? Analyzing an exchange economy with credit, we show that centralized updating is optimal when long-term rewards are more valued, minimizing redundant validation costs and maximizing economic surplus. Decentralization becomes preferable under weaker intertemporal incentives and when validators are drawn from market parti...
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作者：Nurisso, George C.
作者单位：State University System of Florida; University of Florida
摘要：Short sellers convey negative information to securities lenders when borrowing shares. I model how this information generates novel interactions between institutional investors' lending and trading decisions. Lower lending fees improve information quality by facilitating more shorting, but also make it less costly for lenders to strategically recall shares to enhance their trading profits. Lenders may then need to raise fees to commit not to recall shares and thereby attract short sellers. Con...
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作者：Randl, Otto; Simion, Giorgia; Zechner, Josef
作者单位：Vienna University of Economics & Business
摘要：This paper derives a stochastic discount factor for currency-hedged government bonds of developed markets by projecting returns onto the unconditional mean-variance efficient (UMVE) portfolio. Priced risks of international bonds differ fundamentally from those of currencies. The UMVE portfolio achieves a Sharpe ratio over twice the average of individual markets, with the market price of risk peaking during crises and periods with high inflation dispersion. While bond returns exhibit a strong f...
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作者：Honigsberg, Colleen; Hu, Edwin; Jackson Jr, Robert J.
作者单位：University of Virginia; New York University
摘要：The regulatory framework for financial advisors is fragmented, with multiple state and federal regulators. Prior empirical literature on financial advisors has largely focused on a single subset of financial advisors, but we create a database containing brokers regulated primarily by FINRA, investment advisers regulated by the SEC or state securities regulators, and insurance producers regulated by state insurance regulators. There is significant overlap across the regimes; more than 40% of th...
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作者：Kulkarni, Sheisha; Truffa, Santiago; Iberti, Gonzalo
作者单位：University of Virginia; Universidad Adolfo Ibanez; University Diego Portales
摘要：Hidden fees can distort consumer decision-making. In response, regulators historically have (a) improved disclosure to make fees more salient or (b) standardized products to restrict what fees can be charged. We use Chilean administrative data and a multi-stage natural experiment to separately identify the effects of disclosure and standardization on repayment. We find that disclosure reduces delinquencies by 13.7 percentage points (40%) and default by 1.68 percentage points (98%), whereas sta...
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作者：Griffin, John M.; Kruger, Samuel; Mahajan, Prateek
作者单位：University of Texas System; University of Texas Austin
摘要：Pandemic fraud is geographically concentrated and stimulated local purchases, with effects on prices. Recipients of fraudulent Paycheck Protection Program (PPP) funds significantly increased their home purchasing rate compared to recipients of non-fraudulent PPP funds, and house prices in high-fraud ZIP codes increased 5.8 percentage points more than in low-fraud ZIP codes within the same county. In a horse race, pandemic fraud is one of the largest and most robust factors explaining house pri...
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作者：Tham, Wing Wah; Baslandze, Salome; Sojli, Elvira; Liu, Leo
作者单位：University of New South Wales Sydney; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; University of Technology Sydney
摘要：This paper studies the interaction between process and product innovations and their distinct role in firm growth dynamics. We differentiate empirically and theoretically two types of process innovations: foundational processes that advance production technology and cost-reducing processes that enhance existing production efficiency. We develop an innovation model of product varieties with quality heterogeneity to illustrate how these innovations impact firm growth differently and highlight ho...
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作者：Ammann, Manuel; Cochardt, Alexander; Cohen, Lauren; Heller, Stephan
作者单位：University of St Gallen; Harvard University; National Bureau of Economic Research
摘要：We provide novel evidence suggestive of insider trading through concealed relationships identified using information from over 100,000 Facebook profiles and their 35 million friends. Focusing on connections between fund managers and firm officers, we demonstrate that hidden ties are linked to substantial abnormal returns averaging 135 basis points per month (exceeding 16% alpha annually, t-stat = 3.54) across the universe of mutual funds and public firms. These hidden ties emerge as the most p...
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作者：Seegmiller, Bryan
作者单位：Northwestern University
摘要：Stocks with similar characteristics but different levels of ownership by financial institutions have returns and risk premia that comove very differently with shocks to the risk-bearing capacity of dealer banks. After observable stock characteristics are accounted for, excess returns on more intermediated stocks have higher betas on contemporaneous shocks to intermediary willingness to take risk and are more predictable by state variables that proxy for intermediary health. Intermediary risk-b...
