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作者：Eisele, Alexander; Nefedova, Tamara; Parise, Gianpaolo; Peijnenburg, Kim
作者单位：Universite PSL; Universite Paris-Dauphine; Universite Catholique de Lille; EDHEC Business School; Center for Economic & Policy Research (CEPR)
摘要：This paper explores how mutual fund groups set the price of in-house transactions among affiliated funds. We collect a data set of four million equity transactions and compare the pricing of trades crossed internally (cross-trades) with that of twin trades executed with external counterparties. While cross-trades should reduce transaction costs for both trading parties, we find that the price of cross-trades is set strategically to reallocate performance among sibling funds. Furthermore, we pr...
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作者：Banerjee, Snehal; Breon-Drish, Bradyn
作者单位：University of California System; University of California San Diego
摘要：We allow a strategic trader to choose when to acquire information about an asset's payoff, instead of endowing her with it. When the trader dynamically controls the precision of a flow of information, the optimal precision evolves stochastically and increases with market liquidity. Because the trader exploits her information gradually, the equilibrium price impact and market uncertainty are unaffected by her rate of acquisition. If she pays a fixed cost to acquire lumpy information at a time o...
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作者：Breach, Tomas; D'Amico, Stefania; Orphanides, Athanasios
作者单位：University of California System; University of California Berkeley; Federal Reserve System - USA; Federal Reserve Bank - Chicago; Massachusetts Institute of Technology (MIT)
摘要：To assess the importance of inflation risk for nominal Treasury yields, a novel quadratic term structure model with time-varying inflation risk is estimated using survey-based inflation uncertainty. The resulting yield decomposition captures very diverse macroeconomic dynamics of inflation and real risk premiums (large and positive during the 1980s but small and negative post-2008) and generates sensible high-frequency estimates of expected inflation and real short rates over a long sample. Th...
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作者：Edwards, Alexander; Todtenhaupt, Maximilian
作者单位：University of Toronto; Norwegian School of Economics (NHH)
摘要：We examine how capital gains taxes affect investment in private start-up (i.e., pre-IPO) firms. Using data on capital raised in individual funding rounds, we estimate the effect of the 2010 SBJA, which implemented a full exemption from federal capital gains tax on the sale of qualified shares. Because of the resulting higher expected after-tax returns, we hypothesize and find evidence consistent with this capital gains tax reduction increasing the amount of investment in start-up firms per fun...
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作者：Branikas, Ioannis; Hong, Harrison; Xu, Jiangmin
作者单位：University of Oregon; Columbia University; Peking University
摘要：Households hold undiversified stock portfolios of firms headquartered near their city of residence. Leading explanations assign a causal role for proximity. The literature neglects that distance is endogenous. Households may locate based on unobservables such as optimism about a city's economic prospects, which can be correlated with latent local-stock demand. We use location-choice models to account for this selection. We propose as instruments that older households prefer to locate in recrea...
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作者：Delis, Manthos D.; Hasan, Iftekhar; Ongena, Steven
作者单位：Montpellier Business School; Fordham University; Bank of Finland; University of Sydney; University of Zurich; Swiss Finance Institute (SFI); KU Leuven; Centre for Economic Policy Research - UK
摘要：Does democratization reduce the cost of credit? Using global syndicated loan data from 1984 to 2014, we find that democratization has a sizable negative effect on loan spreads: a 1-point increase in the zero-to-ten Polity IV index of democracy shaves at least 19 basis points off spreads, but likely more. Reversals to autocracy hike spreads more strongly. Our findings are robust to the comprehensive inclusion of relevant controls, to the instrumentation with regional waves of democratization, a...
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作者：Pitkajarvi, Aleksi; Suominen, Matti; Vaittinen, Lauri
作者单位：Aalto University
摘要：We document a new phenomenon in bond and equity markets that we call cross-asset time series momentum. Using data from 20 countries, we show that past bond market returns are positive predictors of future equity market returns and past equity market returns are negative predictors of future bond market returns. We use this predictability to construct a diversified cross-asset time series momentum portfolio that yields a Sharpe ratio 45% higher than a standard time series momentum portfolio. We...
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作者：Acharya, Viral V.; Imbierowicz, Bjorn; Steffen, Sascha; Teichmann, Daniel
作者单位：New York University; Deutsche Bundesbank; Frankfurt School Finance & Management; Goethe University Frankfurt
摘要：We investigate the transmission of central bank liquidity to bank deposits and loan spreads in Europe over the period from January 2006 to June 2010. We find evidence consistent with an impaired transmission channel due to bank risk. Central bank liquidity does not translate into lower loan spreads for high-risk banks for maturities beyond one year, even as it lowers deposit spreads for both highand low-risk banks. This adversely affects the balance sheets of high-risk bank borrowers, leading ...
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作者：Kozak, Serhiy; Santosh, Shrihari
作者单位：University System of Maryland; University of Maryland College Park; University of Colorado System; University of Colorado Boulder
摘要：The price of discount rate risk reveals whether increases in equity risk premia represent good or bad news to rational investors. Employing a new empirical methodology, we find that the price is negative, which suggests that discount rates are high during times of high marginal utility of wealth. Our approach relies on using future realized market returns to consistently estimate covariances of asset returns with the market risk premium. Covariances drive observed patterns in a broad cross sec...
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作者：Berlin, Mitchell; Nini, Greg; Yu, Edison G.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; Drexel University
摘要：We find that corporate loan contracts frequently concentrate control rights with a subset of lenders. Despite the rise in term loans without financial covenants-so-called covenant-lite loans-borrowing firms' revolving lines of credit almost always retain traditional financial covenants. This split structure gives revolving lenders the exclusive right and ability to monitor and to renegotiate the financial covenants, and we confirm that loans with split control rights are still subject to the d...
