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作者：Maingi, Quinn
作者单位：University of Southern California
摘要：I develop and estimate a quantitative spatial model featuring banks' spatial lending networks to study the real effects of bank funding shocks. I apply the model to the 2023 regional bank panic. I show that, during the panic, deposits were reallocated towards regional banks with better marginal lending opportunities, which offered higher deposit rates. This reallocation substantially mitigated the otherwise negative aggregate output effects of the remaining, panic-related deposit flows. This p...
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作者：Andersen, Steffen; Dimmock, Stephen G.; Nielsen, Kasper Meisner; Peijnenburg, Kim
作者单位：Copenhagen Business School; Centre for Economic Policy Research - UK; National University of Singapore; Tilburg University
摘要：We test whether forecast bias affects individual investors' stock trading by combining bias measures from laboratory experiments with administrative trade data. Forecast bias is positively associated with past excess returns of purchased stocks: Compared to contrarians, extrapolators purchase stocks with higher past returns. Forecast bias is negatively associated with capital gains of sold stocks. Forecast bias also explains investor heterogeneity in the relation between market returns and net...
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作者：Li, Dan; Petrasek, Lubomir; Tian, Mary
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We show that self-imposed risk limits significantly constrain dealers' risk-taking and Treasury market intermediation, especially during market stress. Dealers near value-at-risk (VaR) limits reduce positions and demand higher compensation for risk. During March 2020, constrained dealers sold more Treasuries to the Fed at lower prices and provided less liquidity to clients. An aggregate measure of dealer VaR constraints closely tracks Treasury market illiquidity. Our findings offer a micro-fou...
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作者：Cassella, Stefano; Rizzo, A. Emanuele; Spalt, Oliver G.; Zimmerer, Leah
作者单位：Tilburg University; Universitat Ramon Llull; Escuela Superior de Administracion y Direccion de Empresas (ESADE); University of Mannheim
摘要：We study the equity market implications of a reform in the fiduciary laws that govern trust investments (prudent man laws), implemented in a staggered fashion across U.S. states from 1985 to 2006. As trusts account for a substantial fraction of institutional equity holdings in our sample period, and since the reform does not pertain to other investors, our empirical setting provides a rare opportunity to study the impact of a regulatory change on institutional investor holdings and relative pr...
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作者：D'amico, Stefania; Klausmann, Johannes; Pancost, N. Aaron
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of Houston System; University of Houston; University of Texas System; University of Texas Austin
摘要：Exploiting the twin structure of German government green and conventional securities, we use a dynamic term structure model to estimate a time-varying greenium stemming solely from investors' green values and not their cash flow expectations. This greenium is distinct from the yield spread between the twin securities (the green spread), as the model purifies it from pecuniary and non-pecuniary factors unrelated to environmental concerns. While the green spread correlates with stock market pric...
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作者：Baker, Scott R.; Bloom, Nicholas; Davis, Steven J.; Kost, Kyle
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：We use newspapers to create Equity Market Volatility (EMV) trackers at daily and monthly frequencies. Our headline EMV tracker moves closely with the VIX and the S&P500 returns volatility in and out of sample. We exploit the volume of newspaper text to construct forty category-specific EMV trackers. News about commodity markets, interest rates, real estate markets, aggregate activity, and inflation figure prominently in EMV articles. Policy news is another major source of market volatility: 30...
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作者：Sambalaibat, Batchimeg
作者单位：Princeton University
摘要：This paper studies a search-based model of OTC markets in which clients with heterogeneous trading needs direct their trades to one of ex-ante identical dealers. The main insight of the paper is that the way clients sort across dealers shapes dealer-to-dealer trading patterns and, in turn, generates a core-periphery interdealer network structure. Dealers in the model become heterogeneous because they attract different clients in equilibrium. Some dealers attract clients who trade frequently (e...
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作者：Fehder, Daniel C.; Hausman, Naomi; Hochberg, Yael, V
作者单位：University of Southern California; Hebrew University of Jerusalem; Rice University; National Bureau of Economic Research
摘要：Using a regime change in the commercialization of university innovation in 1980 that strongly increased university incentives to patent and license discoveries, we document that an increase in the supply of commercializable innovation attracts venture capital investment to the region. The Bayh-Dole Act shifted ownership of intellectual property stemming from federally-funded research from the federal government to universities, spurring technology transfer into the local area. Because universi...
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作者：Banerjee, Snehal; Breon-Drish, Bradyn; Smith, Kevin
作者单位：University of Michigan System; University of Michigan; University of California System; University of California San Diego; Stanford University
摘要：We study debt and equity valuation when investors have private information and may exhibit differences of opinion. Our model generates several predictions that are consistent with empirical evidence but difficult to reconcile with traditional models. Belief dispersion relates to expected equity and debt returns in opposite directions. Similarly, expected debt (equity) returns typically increase (decrease) with default risk, though these relationships reverse for firms close to bankruptcy. Firm...
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作者：Bordalo, Pedro; Gennaioli, Nicola; La Porta, Rafael; Shleifer, Andrei
作者单位：Bocconi University; Brown University; Harvard University
摘要：We address the joint hypothesis problem in cross-sectional asset pricing by using measured analyst expectations of earnings growth. We construct a firm-level measure of Expectations Based Returns (EBRs) that uses analyst forecast errors and revisions and shuts down any cross-sectional differences in required returns. We obtain three results. First, variation in EBRs accounts for a large chunk of cross-sectional return spreads in value, investment, size, and momentum factors. Second, time varia...
