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作者：Eren, Egemen; Malamud, Semyon; Zhou, Haonan
作者单位：Bank for International Settlements (BIS); Swiss Federal Institutes of Technology Domain; Swiss Finance Institute (SFI); Ecole Polytechnique Federale de Lausanne; University of Hong Kong
摘要：Firms often expose themselves to currency risk by borrowing in foreign currencies, even when the local currency actually provides a better hedge in downturns. Motivated by this novel fact, we develop an international corporate finance model in which firms facing adverse selection choose the foreign currency share of their debt. In the unique separating equilibrium, good firms optimally expose themselves to currency risk to signal their type. Crucially, the nature of this equilibrium depends on...
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作者：Clara, Nuno; Cocco, Joao F.; Naaraayanan, S. Lakshmi; Sharma, Varun
作者单位：Duke University; University of London; London Business School; Pennsylvania State System of Higher Education (PASSHE); Indiana University of Pennsylvania; Centre for Economic Policy Research - UK
摘要：Operation of residential buildings is responsible for roughly 22% of global energy consumption and 17% of CO2 emissions. We study the investments triggered by a regulatory intervention requiring rented properties to satisfy minimum energy efficiency standards. The analysis shows significant investments in low capital expenditure retrofits. Using an instrumented difference-in-differences methodology, we show that the investments do not have an economically significant impact on rents, so that l...
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作者：Benmelech, Efraim; Zator, Michal
作者单位：Northwestern University; National Bureau of Economic Research; University of Notre Dame
摘要：Using cross-country and German administrative data on robotization, we show that the impact of robots on firms and labor markets is limited. First, investment in robots is small and highly concentrated in a few industries, representing less than 0.3% of aggregate expenditures on equipment. Second, robotization does not grow as rapidly as Information Technology did in the past, and current growth is driven by gains in developing countries. Third, firms invest in robots when they face difficulti...
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作者：DeAngelo, Harry; Kahle, Kathleen; Skinner, Douglas J.
作者单位：University of Southern California; University of Arizona; University of Chicago
摘要：Jensen's (1986) analysis of the agency costs of free cash flow radically transformed our understanding of corporate payout policy. This paper details the main pre-Jensen advances in the payout literature, explains how his analysis profoundly altered the way financial economists view payout policy, and discusses prominent regularities that provide real-world texture for understanding the importance of his insights about payout policy. These regularities include: (i) the dominance (measured as a...
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作者：Golez, Benjamin; Koudijs, Peter
作者单位：University of Notre Dame; New York University; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：After 1945, expected returns have started to dominate the variation in equity price movements, leaving little room for expected dividend growth. An increase in equity duration can help explain this change. Expected returns vary more for payouts further into the future. Furthermore, because expected returns are more persistent than growth rates, they are more important for longer-duration assets. We provide empirical support for this explanation across three datasets: dividend strips, the long ...
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作者：Jacobsen, Stacey; Venkataraman, Kumar
作者单位：Southern Methodist University
摘要：We study block trades in the corporate bond market, where dealers buy or sell blocks from initiating customers and offset their positions with receiving investors. Our findings indicate that while receivers benefit from trading cost savings, they primarily bear adverse selection costs and experience worse outcomes when informed trading is prevalent. Mandatory trade reporting improves receiver outcomes by revealing dealers' private information, but the benefits are reduced when reporting is del...
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作者：Kruttli, Mathias S.; Monin, Phillip J.; Petrasek, Lubomir; Watugala, Sumudu W.
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We exploit the 2020 Treasury market shock to analyze how external and internal constraints impact arbitrageurs. Using regulatory filings, we find that hedge funds reduced arbitrage activities and increased cash holdings, despite stable credit and low contemporaneous redemptions. Creditors' regulatory and liquidity constraints were not propagated to hedge funds through repo-Treasury arbitrageurs' predominant financing source. Fund-creditor borrowing data reveal more regulated dealers provided, ...
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作者：Lou, Dong; Pinter, Gabor; Uslu, Semih; Walker, Danny
作者单位：Hong Kong University of Science & Technology; University of London; London School Economics & Political Science; Bank for International Settlements (BIS); Johns Hopkins University; Bank of England
摘要：UK government bond yields tend to drift upwards before scheduled news such as monetary policy announcements and labour market data releases. This effect is particularly pronounced during periods of UK bond issuance and is linked to higher term premia. Financial intermediary constraints playa role as dealers avoid accumulating inventory in pre-news windows following issuance. The composition of liquidity providers also shifts: hedge funds buy a large share of the bond issuance outside pre-news ...
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作者：Schmid, Lukas; Valaitis, Vytautas; Villa, Alessandro T.
作者单位：University of Southern California; Center for Economic & Policy Research (CEPR); University of Surrey; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：Can governments use real bonds such as Treasury Inflation-Protected Securities (TIPS) to tame inflation? We propose a novel framework of optimal debt management with sticky prices and a government issuing nominal and real state-uncontingent bonds. A government debt portfolio with both nominal and real bonds helps completing markets unless the monetary policy stance renders them perfect substitutes. Under Full Commitment, the government borrows with nominal debt and accumulates real assets, to ...
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作者：Li, Wenhao; Ma, Yiming; Zhao, Yang
作者单位：University of Southern California; Columbia University; National Bureau of Economic Research
摘要：We demonstrate the passthrough of Treasury supply to bank deposits through bank market power. We show that a larger Treasury supply crowds out deposits with disproportionate effects in more competitive deposit markets. A larger Treasury supply further curtails bank lending and affects bank funding structure. The explanatory power of Treasury supply is not driven by other shocks to deposit demand and supply. In comparison, monetary policy rate hikes have a larger impact on deposit funding in mo...
