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作者：Hilt, Eric; Jaremski, Matthew; Rahn, Wendy
作者单位：Wellesley College; University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; National Bureau of Economic Research
摘要：We study the effects of the Liberty Bond drives of World War I on financial intermediation in the 1920s and beyond. Using panel data on US counties, and an instrument that captures differences in the approaches used to market the bonds, we find that higher Liberty Bond subscription rates led to an increase in investment banks and a contraction in commercial bank assets. We also find that in the late 1930s, individuals residing in states where Liberty Bond subscription rates had been higher wer...
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作者：Chaderina, Maria; Weiss, Patrick; Zechner, Josef
作者单位：University of Oregon; Vienna University of Economics & Business
摘要：We show that firms with longer debt maturities earn risk premia not explained by unconditional factors. Embedding dynamic capital structure choices in an asset-pricing framework where the market price of risk evolves with the business cycle, we find that firms with long-term debt exhibit more countercyclical leverage. The induced covariance between betas and the market price of risk generates a maturity premium similar in size to our empirical estimate of 0.21% per month. We also provide direc...
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作者：Bartlett, Robert; Morse, Adair; Stanton, Richard; Wallace, Nancy
作者单位：University of California System; University of California Berkeley; University of California System; University of California Berkeley
摘要：U.S. fair-lending law prohibits lenders from making credit determinations that disparately affect minority borrowers if those determinations are based on characteristics unrelated to creditworthiness. Using an identification under this rule, we show risk-equivalent Lat-inx/Black borrowers pay significantly higher interest rates on GSE-securitized and FHA-insured loans, particularly in high-minority-share neighborhoods. We estimate these rate differences cost minority borrowers over $450 millio...
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作者：Meirowitz, Adam; Pi, Shaoting
作者单位：Yale University; Iowa State University
摘要：We study governance when shareholders vote and can also buy or sell shares. We find that voting for the policy that one believes is better for the firm maximizes portfolio value only when pivotal; otherwise, it is better to vote against one's information, distort the market, and then trade at the distorted price. Equilibrium voting informativeness balances these forces and is demonstrably low. As the number of shareholders grows, the proba-bility of making the correct decision becomes lower th...
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作者：Moench, Emanuel; Soofi-Siavash, Soroosh
作者单位：Deutsche Bundesbank; Goethe University Frankfurt; Centre for Economic Policy Research - UK; Bank of Lithuania; Vilnius University; Frankfurt School Finance & Management
摘要：We identify a yield news shock as an innovation that does not move Treasury yields con-temporaneously but explains a maximum share of their future variation. Yields do not immediately respond to the news shock as the initial reaction of term premiums and ex-pected short rates offset each other. While the impact on term premiums fades quickly, expected short rates and thus yields decline persistently. As a result, the shock explains a staggering 50% of Treasury yield variation several years out...
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作者：Armstrong, Christopher; Nicoletti, Allison; Zhou, Frank S.
作者单位：University of Pennsylvania
摘要：Employing a novel control function regression method that accounts for the endogenous matching of banks and executives, we find that equity portfolio vega, the sensitivity of ex-ecutives' equity portfolio value to their firms' stock return volatility, leads to systemic risk that manifests during subsequent economic contractions but not expansions. We further find that vega encourages systemically risky policies, including maintaining lower com-mon equity Tier 1 capital ratios, relying on more ...
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作者：Moon, Terry; Schoenherr, David
作者单位：University of British Columbia; Princeton University
摘要：We document that networks that gain access to political power and use it for patronage appointments also gain control over resource allocation in the private sector. Specifically, following a presidential election in Korea, the president appoints members of his network into important positions in government, and private banks respond by appointing execu-tives from the same network to establish links to the administration. Consequently, firms linked to the network obtain more credit at a lower ...
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作者：Cortes, Gustavo S.; Taylor, Bryan; Weidenmier, Marc D.
作者单位：State University System of Florida; University of Florida; Chapman University System; Chapman University; National Bureau of Economic Research
摘要：We investigate the role of forward-looking financial factors in propagating the Great Depression. We find that a new hand-collected bank stock index is better at predicting the onset of the Great Depression than the aggregate stock market or failed bank deposits. The bank stock index explains almost one-third of the fluctuations in industrial production after five years. Analysis disaggregated at each Federal Reserve district shows that bank stocks capture forward-looking information about deb...
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作者：Edmans, Alex; Fernandez-Perez, Adrian; Garel, Alexandre; Indriawan, Ivan
作者单位：University of London; London Business School; Auckland University of Technology; Audencia
摘要：This paper introduces a real-time, continuous measure of national sentiment that is language-free and thus comparable globally: the positivity of songs that individuals choose to listen to. This is a direct measure of mood that does not pre-specify certain mood-affecting events nor assume the extent of their impact on investors. We validate our music-based sentiment measure by correlating it with mood swings induced by seasonal factors, weather conditions, and COVID-related restrictions. We fi...
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作者：Ermolov, Andrey
作者单位：Fordham University
摘要：I study the sufficiency of macroeconomic information to explain the time-variation in sec -ond moments of stock and bond returns, with a particular attention to stock-bond correla-tions. I propose an external habit model supplemented with realistic non-Gaussian funda-mentals estimated solely from macroeconomic data. Intertemporal smoothing and precau-tionary savings effects - driven by consumption shocks - combine with a time-varying co-variance between consumption and inflation to generate la...
