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作者：Zambrana, Rafael; Zapatero, Fernando
作者单位：University of Notre Dame; Boston University
摘要：Management companies assign some portfolio managers to run funds within a single in-vestment objective (i.e., specialists), and others to run funds across several investment ob-jectives (i.e., generalists). Our results show that funds achieve higher performance when they appoint superior pickers as specialists and market timers as generalists. We argue that these decisions are the result of a better match of manager mandates with the way information is collected and processed in each investmen...
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作者：Degryse, Hans; Karapetyan, Artashes; Karmakar, Sudipto
作者单位：KU Leuven; ESSEC Business School; Bank of England
摘要：We exploit the 2011 EBA Capital exercise, a quasi-natural experiment that required a number of banks to increase their regulatory capital. This experiment makes secured lending for the affected banks more attractive vis-a-vis unsecured lending, because secured loans require less regulatory capital. Using loan-level data covering the universe of bank loans in Portugal, we identify how banks require collateral on new loans when facing higher capital requirements: relative to the control group, t...
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作者：Maurer, Thomas; Tran, Ngoc-Khanh
作者单位：University of Hong Kong; Virginia Polytechnic Institute & State University
摘要：We introduce the concept of risk entanglement in a preference-free setting to jointly explain the exchange rate volatility, cyclicality, and currency risk premia in the data. Risk entanglement specifies a subset of incomplete market models, in which nondiffusive or nonlog-normal shocks to exchange rates are not fully spanned by asset returns. When risks are entangled, there exist multiple pricing-consistent exchange rates, but none of them are equal to the ratio of the stochastic discount fact...
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作者：Borisov, Alexander; Ellul, Andrew; Sevilir, Merih
作者单位：University System of Ohio; University of Cincinnati; Pennsylvania State System of Higher Education (PASSHE); Indiana University of Pennsylvania; Indiana University System; Indiana University Bloomington
摘要：This paper examines the effect of going public on firm-level employment. To establish a causal effect, we employ a novel data set of private firms to investigate employment growth in IPO firms relative to a group of firms that file for an IPO but subsequently withdraw their offering. We find that employment increases significantly after going public, and the increase is more pronounced in industries with requirements for highly skilled labor and greater dependence on external finance. Improved...
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作者：Barattieri, Alessandro; Moretti, Laura; Quadrini, Vincenzo
作者单位：University of Quebec; University of Quebec Montreal; European Central Bank; University of Southern California; Peking University; Center for Economic & Policy Research (CEPR); European Central Bank; Central Bank of Ireland
摘要：Banks' funding sources have changed significantly during the last two decades. The share of non-core funding (NCF) was high before the 2008 crisis but declined substantially after the crisis. We propose a general equilibrium model where NCF provides insurance against idiosyncratic risks faced by banks. Insurance makes leverage and investment more attractive, but it also increases the vulnerability of the banking sector to crises. We show that learning about the likelihood of a crisis could hav...
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作者：Bogousslavsky, Vincent
作者单位：Boston College
摘要：I investigate cross-sectional variation in stock returns over the trading day and overnight to shed light on what drives asset pricing anomalies. Margin requirements are higher overnight, and lending fees are typically charged only on positions held overnight. Such institutional constraints and overnight risk incentivize arbitrageurs who trade on mispric-ing to reduce their positions before the end of the day. Consistent with this intuition, a mispricing factor earns positive returns throughou...
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作者：Bongaerts, Dion; Van Achter, Mark
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; KU Leuven
摘要：We model endogenous technology adoption and competition among liquidity providers with access to High-Frequency Trading (HFT) technology. HFT technology provides speed and information advantages. Information advantages may restore excessively toxic markets. Speed advantages may reduce resource costs for liquidity provision. Both effects increase liquidity and welfare. However, informationally advantaged HFTs may impose a winner's curse on traditional market makers, who in response reduce their...
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作者：Bai, Jennie; Bali, Turan G.; Wen, Quan
作者单位：Georgetown University
摘要：We provide time-series and cross-sectional evidence on the significance of a risk-return tradeoff in the bond and equity markets. We find a significantly positive intertemporal relation between expected return and risk in the bond market. We also propose novel measures of systematic and idiosyncratic risk for individual corporate bonds and find a significantly positive cross-sectional relation between systematic risk and expected bond returns, whereas there is no significant link between idios...
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作者：Li, Sida; Wang, Xin; Ye, Mao
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Nanyang Technological University; National Bureau of Economic Research
摘要：We model competition for liquidity provision between high-frequency traders (HFTs) and slower execution algorithms (EAs) designed to minimize investors' transaction costs. Under continuous pricing, EAs dominate liquidity provision by using aggressive limit orders to stimulate HFTs' market orders. Under discrete pricing, HFTs dominate liquidity provision if the bid-ask spread is binding at one tick. If the tick size (minimum price variation) is not binding, EAs choose between stimulating HFTs a...
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作者：Lin, Chen; Ma, Chicheng; Sun, Yuchen; Xu, Yuchen
作者单位：University of Hong Kong; University of International Business & Economics; Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen)
摘要：The telegraph was introduced to China in the late 19th century, a time when China also saw the rise of modern banks. Based on this historical context, this paper documents the importance of information technology in banking development. We construct a data set on the distributions of telegraph stations and banks across 287 prefectures between 1881 and 1936. The results show that the telegraph significantly expanded banks' branch networks in terms of both number and geographic scope. The effect...
