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作者：Hollifield, Burton; Neklyudov, Artem; Spatt, Chester
作者单位：Carnegie Mellon University; University of Lausanne
摘要：The Financial Industry Regulatory Authority began collecting transaction data from broker-dealers in 2011 as a step toward enhancing its understanding of securitization markets. We use transaction data to document the importance of the interdealer network structure to market quality. Some dealers are relatively central in the network and trade with many dealers, while others are peripheral. Core dealers receive relatively lower and less dispersed spreads than peripheral dealers. We develop a m...
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作者：Rosch, Dominik M.; Subrahmanyam, Avanidhar; van Dijk, Mathijs A.
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY; University of California System; University of California Los Angeles; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：We study the dynamics of high-frequency market efficiency measures. We provide evidence that these measures comove across stocks and with each other, suggesting the existence of a systematic market efficiency component. In vector autoregressions, we show that shocks to funding liquidity (the TED spread), hedge fund assets under management, and a proxy for algorithmic trading are significantly associated with systematic market efficiency. Thus, stock market efficiency is prone to systematic flu...
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作者：Dahlquist, Magnus; Martinez, Jose Vicente; Soderlind, Paul
作者单位：Stockholm School of Economics; Centre for Economic Policy Research - UK; University of Connecticut; University of St Gallen
摘要：We examine the daily activity and performance of a large panel of individual investors from Sweden's Premium Pension System. We find that active investors earn higher returns and risk-adjusted returns than do inactive investors. A performance decomposition analysis reveals that most outperformance by active investors is the result of active investors successfully timing mutual funds and asset classes. While activity is beneficial for some investors, extreme flows out of mutual funds affect fun...
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作者：Bond, Philip; Elul, Ronel; Garyn-Tal, Sharon; Musto, David K.
作者单位：University of Washington; University of Washington Seattle; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; Max Stern Yezreel Valley College; University of Pennsylvania
摘要：In most U.S. states, mortgage seniority follows time priority: older mortgages are paid first. This potentially impedes refinancing of senior mortgages because replacement mortgages are junior unless the existing junior lienholders consent to resubordination. We exploit legal variation across states to provide evidence that time priority reduces refinancing, especially of smaller mortgages (suggesting a significant fixed cost of obtaining resubordination) and of mortgages close to the conformi...
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作者：Hombert, Johan; Matray, Adrien
作者单位：Hautes Etudes Commerciales (HEC) Paris; Center for Economic & Policy Research (CEPR); Princeton University
摘要：We study how relationship lending determines the financing of innovation. Exploiting a negative shock to relationships, we show that it reduces the number of innovative firms, especially those that depend more on relationship lending such as small, opaque firms. This credit supply shock leads to reallocation of inventors whereby young and productive inventors leave small firms and move out of geographical areas where lending relationships are hurt. Overall, our results show that credit markets...
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作者：Zeume, Stefan
作者单位：University of Michigan System; University of Michigan
摘要：I exploit the passage of the U.K. Bribery Act 2010 as a shock to U.K. firms' cost of doing business. Around the Act's passage, U.K. firms operating in high-corruption countries experience a drop in firm value, while their non-U.K. competitors in these countries encounter an increase. U.K. firms respond to the Act by reducing the expansion of their subsidiary network into perceptively corrupt countries. Moreover, their sales and merger and acquisition (M&A) activity in such countries declines. ...
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作者：Bongaerts, Dion; de Jong, Frank; Driessen, Joost
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Tilburg University
摘要：We use an asset pricing approach to compare the effects of the liquidity level and liquidity risk on expected U.S. corporate bond returns. Using signed transaction data, we estimate effective transaction costs for bond portfolios by a repeat-sales method. We find that the liquidity level and exposure to equity market liquidity risk affect expected bond returns. In contrast, exposure to corporate bond liquidity shocks carries an economically negligible risk premium. A simulation study shows tha...
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作者：Brown, James R.; Cookson, J. Anthony; Heimer, Rawley Z.
作者单位：Iowa State University; University of Colorado System; University of Colorado Boulder; Federal Reserve System - USA; Federal Reserve Bank - Cleveland
摘要：This paper provides novel evidence on the real and financial market effects of legal institutions. Our analysis exploits persistent and externally imposed differences in court enforcement that arose when the U.S. Congress assigned state courts to adjudicate contracts on a subset of Native American reservations. Using area-specific data on small business lending, we find that reservations assigned to state courts, which enforce contracts more predictably than tribal courts, have stronger credit...
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作者：Dew-Becker, Ian
作者单位：Northwestern University
摘要：The long-run standard deviation (LRSD) of consumption growth is a key moment in determining risk premiums under Epstein-Zin preferences. Standard estimators of the LRSD are biased downward and have poor confidence interval coverage, making them overreject the long-run risk model. This paper studies a new estimator with smaller bias and accurate confidence intervals. Standard long-run risk calibrations are still rejected in the data. The LRSD of consumption growth in the postwar sample is estim...
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作者：Braggion, Fabio; Dwarkasing, Narly; Moore, Lyndon
作者单位：Tilburg University; Tilburg University; University of Bonn; University of Melbourne
摘要：We investigate the impact of increasing bank concentration on bank loan contracts in a lightly regulated environment that allows us to abstract from possible confounding effects of regulation and focus on the pure effects of competition on bank lending. We study over 30,000 British bank loans over the period 1885 to 1925. Borrowers in counties with high bank concentration received smaller loans and posted more collateral than borrowers in other counties. In high concentration counties, the qua...
