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作者：Fama, Eugene F.; French, Kenneth R.
作者单位：University of Chicago; Dartmouth College
摘要：Much of Mike Jensen's research is foundational, including his early publications, which focus on empirical asset pricing. For example, Jensen's alpha, which he developss in Jensen (1968 and 1969) to evaluate mutual fund managers, is the foundation for most measures of investment performance. Similarly, in Fama et al (1969), Jensen and coauthors present the first event study, Thereafter, event studies play a major role in finance, accounting, and legal research. Finally, Black, Jensen, and Scho...
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作者：Laarits, Toomas; Sammon, Marco
作者单位：New York University; Harvard University
摘要：Retail investors trade hard-to-value stocks. We document a large and persistent spread in the stock-level intensity of retail trading, even allowing for known biases in the attribution of retail trades. Stocks with a high share of retail-initiated trades exhibit higher shares of intangible capital, longer duration cash flows, and a higher likelihood of being mispriced. Consistent with retail-favored stocks being harder to value, we document that these stocks are less sensitive to earnings news...
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作者：Diamond, William; Landvoigt, Tim; Sanchez, German Sanchez
作者单位：University of Pennsylvania; National Bureau of Economic Research; University of Pennsylvania
摘要：We analyze interactions between fiscal and monetary stimulus in a new Keynesian model with nominal mortgage debt that can be inflated away. Redistributive transfers are most impactful when followed by a temporary deviation from inflation-targeting monetary policy. Unlike other fiscal policies, redistribution causes inflation even in the absence of long-run debt sustainability problems, and inflating away mortgages results in additional redistribution. In a quantitative model with mortgage refi...
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作者：Fontanier, Paul
作者单位：Yale University
摘要：Should policymakers adapt their macroprudential and monetary policies when the financial sector is vulnerable to belief-driven boom-bust cycles? I develop a model in which financial intermediaries are subject to collateral constraints, and that features a general class of deviations from rational expectations. I show that distinguishing between the drivers of behavioral biases matters for the precise calibration of policy: when biases area function of equilibrium asset prices, as in return ext...
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作者：Lu, Xu; Wu, Lingxuan
作者单位：University of Washington; University of Washington Seattle; New York University
摘要：We show that institutional portfolio rebalancing across asset classes plays a key role in transmitting monetary shocks to the stock market. Around FOMC announcements, ceteris paribus, a stock with 10-percentage-point higher ownership by rebalancing institutions experiences an additional 3.7-basis-point loss following a 10-basis-point surprise rate hike. We corroborate our mechanism by exploiting within-firm variations for dual shares, showing stronger price reactions at quarter-and month-ends ...
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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...
