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作者：Fleckenstein, Matthias; Longstaff, Francis A.
作者单位：University of Delaware; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：We find that Treasury floating rate notes (FRNs) trade at a significant premium relative to the prices of Treasury bills and notes. This premium is directly related to the near-constant nature of FRN prices and is correlated with measures reflecting investor demand for safe assets. Money market funds are often the primary investors in FRNs, and the FRN premium is related to flows into funds with fixed net asset values, but not to flows into funds with variable net asset values. These results p...
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作者：Riggs, Lynn; Onur, Esen; Reiffen, David; Zhu, Haoxiang
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：The Dodd-Frank Act mandates that certain standard over-the-counter (OTC) derivatives must be traded on swap execution facilities (SEFs). Using message-level data, we provide a granular analysis of dealers' and customers' trading behavior on the two largest dealer-to-customer SEFs for index credit default swaps (CDS). On average, a typical customer contacts few dealers when seeking liquidity. A theoretical model shows that the benefit of competition through wider order exposure is mitigated by ...
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作者：Corradin, Stefano; Maddaloni, Angela
作者单位：European Central Bank
摘要：We study how the Italian sovereign bond scarcity premia, specialness, in the repo market were affected by the European Central Bank (ECB)'s purchases during the euro area sovereign debt crisis. We propose and calibrate a search-based dynamic model with a central bank acting as a buy-and-hold investor. Consistent with model predictions, ECB purchases drive specialness of targeted securities in combination with short-selling. Special benchmark bonds entail a positive cash premium, but their mark...
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作者：Ali, Usman; Hirshleifer, David
作者单位：University of California System; University of California Irvine
摘要：Identifying firm connections by shared analyst coverage, we find that a connected-firm (CF) momentum factor generates a monthly alpha of 1.68% (t=9.67). In spanning regressions, the alphas of industry, geographic, customer, customer/supplier industry, single- to multi-segment, and technology momentum factors are insignificant/negative after controlling for CF momentum. Similar results hold in cross-sectional regressions and in developed international markets. Sell-side analysts incorporate new...
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作者：Carapella, Francesca; Monnet, Cyril
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Study Center Gerzensee; Bank for International Settlements (BIS); University of Bern
摘要：We develop a parsimonious model to study the effect of regulations aimed at reducing counterparty risk on the structure of over-the-counter securities markets. We find that such regulations promote entry of dealers, thus fostering competition and lowering spreads. Greater competition, however, has an indirect negative effect on market-making profitability. General equilibrium effects imply that more competition can distort incentives of all dealers to invest in efficient technologies ex ante a...
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作者：Chabakauri, Georgy; Han, Brandon Yueyang
作者单位：University of London; London School Economics & Political Science; University System of Maryland; University of Maryland College Park
摘要：We study the effects of collateral constraints in an economy populated by investors with nonpledgeable labor incomes and heterogeneous preferences and beliefs. We show that these constraints inflate stock prices and generate spikes and crashes in price-dividend ratios and volatilities, clustering of volatilities, and leverage cycles. They also lead to substantial decreases in interest rates and increases in Sharpe ratios when investors are anxious about hitting constraints due to production cr...
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作者：Chen, Huaizhi; Cohen, Lauren; Gurun, Umit; Lou, Dong; Malloy, Christopher
作者单位：University of Notre Dame; Harvard University; National Bureau of Economic Research; University of Texas System; University of Texas Dallas; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK
摘要：Using a novel database that tracks web traffic on the Security Exchange Commission's EDGAR server between 2004 and 2015, we show that institutional investors gather information on a very particular subset of firms and insiders, and their surveillance is very persistent over time. This tracking behavior has powerful implications for their portfolio choice and its information content. An institution that downloaded an insider trading filing by a given firm last quarter increases its likelihood o...
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作者：Carlson, Mark; Macchiavelli, Marco
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：During the 2008 financial crisis, the Federal Reserve established two emergency facilities for broker-dealers: one provided collateralized loans; the other, collateral upgrades. These facilities alleviated dealers' funding pressures when access to repos backed by illiquid collateral deteriorated. The ability to upgrade collateral allowed dealers to continue funding their own illiquid inventories (avoiding potential firesales) and to provide better bond market liquidity. It also helped sustain ...
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作者：Na, Ke
作者单位：University of Hong Kong
摘要：This paper examines the effect of CEOs' outside opportunities on the use of relative performance evaluation (RPE) in CEO compensation. My tests exploit the staggered rejection of the Inevitable Disclosure Doctrine (IDD) by US state courts as an exogenous increase in CEOs' outside opportunities. I find that the rejection of the IDD leads to a significant increase in the sensitivity of CEO pay to systematic performance (less RPE). This increase is more pronounced for CEOs with greater labor mark...
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作者：Crego, Julio A.
作者单位：Tilburg University
摘要：The arrival of a public signal worsens the adverse selection problem if informed investors are risk averse. Precisely, the public signal reduces uncertainty which boosts informed investors' participation leading to a more toxic order flow. I confirm the model's empirical predictions by estimating the effect of the publication of the weekly change in oil inventories on liquidity via a difference-in-differences strategy. The bid-ask spread of stocks related to oil doubles after the release and t...
