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作者：Keys, Benjamin J.; Seru, Amit; Vig, Vikrant
作者单位：University of Chicago; University of Chicago; University of London; London Business School
摘要：This article examines the link between mortgage securitization and lender screening during the boom and bust of the U.S. housing market. Using comprehensive data on both prime and subprime securitized and bank-held loans, we provide evidence that securitization affected lenders' screening decisions in the subprime market for low-documentation loans through two channels: the securitization rate and the time it takes to securitize a loan. The change in decision-making by subprime lenders occurs ...
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作者：Zhu, Haoxiang
作者单位：Stanford University
摘要：This article offers a dynamic model of opaque over-the-counter markets. A seller searches for an attractive price by visiting multiple buyers, one at a time. The buyers do not observe contacts, quotes, or trades elsewhere in the market. A repeat contact with a buyer reveals the seller's reduced outside options and worsens the price offered by the revisited buyer. When the asset value is uncertain and common to all buyers, a visit by the seller suggests that other buyers could have quoted unatt...
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作者：Miller, Darius P.; Reisel, Natalia
作者单位：Southern Methodist University
摘要：This article studies the ability of security-level contracts to substitute for poor country-level investor protections. Using a cross-country sample of restrictive covenants, we find that bond contacts are more likely to include covenants when creditor protection laws are weak. Further, the use of restrictive covenants in weak creditor protection countries is associated with a lower cost of debt. We also find that strong country-level shareholder rights are not necessarily harmful to bondholde...
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作者：Wermers, Russ; Yao, Tong; Zhao, Jane
作者单位：University System of Maryland; University of Maryland College Park; University of Iowa
摘要：We develop a stock return-predictive measure based on an efficient aggregation of the portfolio holdings of all actively managed U.S. domestic equity mutual funds, and use this model to study the source of fund managers' stock selection abilities. This generalized inverse alpha (GIA) approach reveals differences in the ability of managers to predict firms' future earnings from fundamental research. Notably, the GIA's return-forecasting power is not subsumed by publicly available quantitative p...
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作者：Chalmers, John; Reuter, Jonathan
作者单位：Boston College; National Bureau of Economic Research; University of Oregon
摘要：Because life annuities can increase the level and decrease the volatility of lifetime consumption, economists have long been puzzled by the low demand for life annuities. One potential rational explanation is that adverse selection drives up life annuity prices, which drives down demand. We study the choice between life annuities and lump sums made by 32,000 retiring public employees. These unique data allow us to extend the existing literature by exploiting economically significant cross-sect...
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作者：Chen, Hui; Joslin, Scott
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：Nonlinearity is an important consideration in many problems of finance and economics, such as pricing securities and solving equilibrium models. This article provides analytical treatment of a general class of nonlinear transforms for processes with tractable conditional characteristic functions. We extend existing results on characteristic function-based transforms to a substantially wider class of nonlinear functions while maintaining low dimensionality by avoiding the need to compute the de...
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作者：Easley, David; de Prado, Marcos M. Lopez; O'Hara, Maureen
作者单位：Cornell University; Cornell University; Harvard University
摘要：Order flow is toxic when it adversely selects market makers, who may be unaware they are providing liquidity at a loss. We present a new procedure to estimate flow toxicity based on volume imbalance and trade intensity (the VPIN toxicity metric). VPIN is updated in volume time, making it applicable to the high-frequency world, and it does not require the intermediate estimation of non-observable parameters or the application of numerical methods. It does require trades classified as buys or se...
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作者：Dougal, Casey; Engelberg, Joseph; Garcia, Diego; Parsons, Christopher A.
作者单位：University of California System; University of California San Diego; University of North Carolina; University of North Carolina Chapel Hill; University of California System; University of California San Diego
摘要：We use exogenous scheduling of Wall Street Journal columnists to identify a causal relation between financial reporting and stock market performance. To measure the media's unconditional effect, we add columnist fixed effects to a daily regression of excess Dow Jones Industrial Average returns. Relative to standard control variables, these fixed effects increase the R-2 by about 35%, indicating each columnist's average persistent bullishness or bearishness. To measure the media's conditional e...
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作者：Feldhuetter, Peter
作者单位：University of London; London Business School
摘要：I propose a new measure that identifies when the market price of an over-the-counter traded asset is below its fundamental value due to selling pressure. The measure is the difference between prices paid by small traders and those paid by large traders. In a model for over-the-counter trading with search frictions and periods with selling pressures, I show that this measure identifies liquidity crises (i.e., high number of forced sellers). Using a structural estimation, the model is able to id...
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作者：Lee, Suzanne S.
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：This article investigates the predictability of jump arrivals in U.S. stock markets. Using a new test that identifies jump predictors up to the intraday level, I find that jumps are likely to occur shortly after macroeconomic information releases, such as the Federal Reserve announcements, nonfarm payroll reports, and jobless claims, as well as market index jumps. I also find firm-specific jump predictors related to earnings releases, analyst recommendations, past stock jumps, and dividend dat...
