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作者：Buchner, Matthias; Kelly, Bryan
作者单位：University of Cambridge; Yale University; National Bureau of Economic Research
摘要：Due to their short lifespans and migrating moneyness, options are notoriously difficult to study with the factor models commonly used to analyze the risk-return trade-off in other asset classes. Instrumented principal components analysis solves this problem by tracking contracts in terms of their pricing-relevant characteristics via time-varying latent factor loadings. We find that a model with three latent factors prices the cross-section of option returns and explains more than 85% of the va...
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作者：Billings, Stephen B.; Gallagher, Emily A.; Ricketts, Lowell
作者单位：University of Colorado System; University of Colorado Boulder; Federal Reserve System - USA; Federal Reserve Bank - St. Louis
摘要：Outside of flood hazard zones, households must decide whether to insure or rely on disaster assistance to manage flood risk. We use the quasi-random flooding generated by Hurricane Harvey, which hit Houston in August 2017, to understand the implications of flood losses for households with differing access to insurance and credit. Outside the floodplain, credit-constrained homeowners experience a 20% increase in bankruptcies and a 13% increase in the share of debt in severe delinquency in flood...
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作者：Baker, Andrew C.; Larcker, David F.; Wang, Charles C. Y.
作者单位：Stanford University; Stanford University; Harvard University
摘要：We explain when and how staggered difference-in-differences regression estimators, commonly applied to assess the impact of policy changes, are biased. These biases are likely to be relevant for a large portion of research settings in finance, accounting, and law that rely on staggered treatment timing, and can result in Type-I and Type-II errors. We summarize three alternative estimators developed in the econometrics and applied literature for addressing these biases, including their differen...
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作者：Hinzen, Franz J.; John, Kose; Saleh, Fahad
作者单位：New York University; Wake Forest University
摘要：We demonstrate theoretically that Bitcoin's limited adoption arises as an equilibrium out -come rather than as a short-lived property. Our results are driven by negative network effects which arise due to Bitcoin's need for consensus and the existence of network de-lay. As the Bitcoin network expands, network delay grows thereby prolonging the time needed for generating consensus. In turn, transaction settlement becomes prolonged, and users abandon the system, yielding limited adoption. Increa...
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作者：Anarkulova, Aizhan; Cederburg, Scott; O'Doherty, Michael S.
作者单位：University of Arizona; University of Missouri System; University of Missouri Columbia
摘要：We characterize the distribution of long-term equity returns based on the historical record of stock market performance in a broad cross section of 39 developed countries over the period from 1841 to 2019. Our comprehensive sample mitigates concerns over survivor and easy data biases that plague other work in this area. A bootstrap simulation analysis im-plies substantial uncertainty about long-horizon stock market outcomes, and we estimate a 12% chance that a diversified investor with a 30-ye...
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作者：Gofman, Michael; Wu, Youchang
作者单位：University of Rochester; University of Oregon
摘要：We construct a sample of over 20 0,0 0 0 supply chains between 2003 and 2018 to conduct a chain-based analysis of trade credit. Our study uncovers novel stylized facts about trade credit both within and across supply chains. More upstream firms borrow more from suppliers, lend more to customers, and hold more net trade credit. This upstreamness effect in trade credit is weaker for more profitable firms and for longer chains. Firms in more central or more profitable chains provide more net trad...
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作者：Cipriani, Marco; Guarino, Antonio; Uthemann, Andreas
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of London; University College London; Bank of Canada; University of London; London School Economics & Political Science
摘要：We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on financial market outcomes. In our sequential trading model, there are price-elastic noise and informed traders. We estimate the model through maximum likelihood for a sample of 60 NYSE stocks in 2017. We quantify the effect of introducing an FTT given the param-eter estimates. An FTT increases the proportion of informed trading, improves information aggregation, but lowers trading volume and welfare. Fo...
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作者：Martynova, Natalya; Perotti, Enrico; Suarez, Javier
作者单位：Deutsche Bundesbank; University of Amsterdam
摘要：We analyze the strategic interaction between undercapitalized banks and a supervisor in a recovery and resolution framework in which early recapitalizations can prevent later dis-orderly failures. Capital forbearance emerges because reputational, political, economic and fiscal costs undermine supervisors' commitment to publicly resolve the banks that miss the request to privately recover. Under a weaker resolution threat, banks' incentives to re-cover are lower and supervisors may end up havin...
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作者：Ma, Song; Murfin, Justin; Pratt, Ryan
作者单位：Yale University; National Bureau of Economic Research; Cornell University; Brigham Young University
摘要：Across a broad range of equipment types and industries, we document a pattern of local capital reallocation from older firms to younger firms. Start-ups purchase a disproportionate share of old physical capital previously owned by more mature firms. The evidence is consistent with financial constraints driving differential demand for vintage capital. The local supply of used capital influences start-up entry, job creation, investment choices, and growth, particularly when capital is immobile. ...
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作者：Liberti, Jose; Sturgess, Jason; Sutherland, Andrew
作者单位：DePaul University; Northwestern University; University of London; Queen Mary University London; Massachusetts Institute of Technology (MIT)
摘要：We use the introduction of a U.S. commercial credit bureau to study when lenders adopt voluntary information sharing technology and the resulting consequences for competition and credit access. Our results suggest that lenders trade off access to new markets against heightened competition for their own borrowers. Lenders that initially do not adopt lose borrowers to competitors that do, which ultimately compels them to adopt and leads to the formation of an information sharing system. Access t...
