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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...
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作者：Bittner, Christian; Fecht, Falko; Pala, Melissa; Saidi, Farzad
作者单位：Deutsche Bundesbank; Goethe University Frankfurt; Frankfurt School Finance & Management; University of Bonn
摘要：How do bank networks facilitate information flows that shape market outcomes? Using international banks' advisory activities in corporate takeovers as their source of private information, we show in supervisory data that banks with closer ties to the target, but not the acquirer, advisor trade profitably in the target's stock prior to the deal announcement. This trading behavior is associated with a higher premium paid without compromising deal success. As connected banks' incentives are align...
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作者：Colacito, Riccardo; Qian, Yan; Stathopoulos, Andreas
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Central University of Finance & Economics; National Bureau of Economic Research
摘要：We document that the currency denomination of the debt of large firms in developed countries is strongly associated with the geographical distribution of their sales. Furthermore, those firms exhibit significant home currency bias and international currency bias in borrowing: controlling for the geography of sales, they borrow more in their home currency and the two most traded currencies, the US dollar and the euro. We also show that the firms' debt currency denomination choices are associate...
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作者：Goyal, Amit; Reed, Adam, V; Smajlbegovic, Esad; Soebhag, Amar
作者单位：University of Lausanne; Swiss Finance Institute (SFI); University of North Carolina; University of North Carolina Chapel Hill; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：Short sellers are widely known to be informed, which would typically suggest that they demand liquidity. We obtain comprehensive transaction-level data to decompose daily short volume into liquidity-demanding and liquidity-supplying components. Contrary to conventional wisdom, we show that the most informed short sellers are actually liquidity suppliers, not liquidity demanders. They are particularly informative about future returns on news days and trade on prominent cross-sectional return an...
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作者：Berg, Tobias; Burgb, Valentin; Keil, Jan; Puri, Manju
作者单位：Goethe University Frankfurt; Humboldt University of Berlin; Indian School of Business (ISB); Duke University; National Bureau of Economic Research
摘要：Buy Now, Pay Later (BNPL) is a key innovation in consumer payments. It bundles the sale of a product with a subsidized loan, effectively offering lower prices to low-creditworthiness customers. BNPL thereby allows merchants to price-discriminate among customers with different willingness-to-pay. Consistent with a price-discrimination mechanism, we show that BNPL increases sales by 20%, driven by low-creditworthiness customers and products where market power is larger. We find that the benefits...
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作者：Chaudhry, Aditya
作者单位：University System of Ohio; Ohio State University
摘要：I show that prices impact analyst cash flow expectations and argue this impact can partially reconcile subjective beliefs data with asset pricing models in which investors have rational expectations and discount rate variation drives prices. Previous work argues that correlations of biased analyst cash flow expectations with prices and future returns contradict rational models and imply biased investor expectations distort prices. However, using two instrumental variables for price, I find inc...
