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作者：Atmaz, Adem; Basak, Suleyman; Ruan, Fangcheng
作者单位：Purdue University System; Purdue University; University of London; London Business School; Centre for Economic Policy Research - UK
摘要：We develop a dynamic model of costly stock short-selling and lending market and obtain implications that simultaneously support many empirical regularities related to short-selling. In our model, investors' belief disagreement leads to shorting demand, whereby short-sellers pay shorting fees to borrow stocks from lenders. Our main novel results are as follows. Short interest is positively related to shorting fee and predicts stock returns negatively. Higher short-selling risk can be associated...
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作者：Jermann, Urban J.
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：This paper presents an approach for pricing gold from investors' perspective. The model is based on no-arbitrage principles with minimal structural assumptions. There is no need to specify investor preferences. When fitted to match 10-year real U.S. Treasury rates, the model can replicate the salient fluctuations in the time series of gold prices since 2007. The model is also able to capture key patterns of CME Comex gold futures prices. The model implies that the majority of the value of gold...
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作者：Hirshleifer, David; Peng, Lin; Wang, Qiguang
作者单位：University of Southern California; City University of New York (CUNY) System; Baruch College (CUNY); Hong Kong Baptist University
摘要：We study how the social transmission of public news influences investors' beliefs and the securities markets. Using data on social networks, we find that earnings announcements from firms in higher-centrality counties generate a stronger immediate price, volatility, and trading volume reactions. Post-announcement, such firms experience weaker price drift and faster volatility decay but higher and more persistent volume. These findings suggest greater social connectedness facilitates the timely...
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作者：Han, Munhee; Kim, Sanghyun (Hugh); Nanda, Vikram K.
作者单位：Texas Tech University System; Texas Tech University; Wilfrid Laurier University; University of Texas System; University of Texas Dallas
摘要：We argue that institutional brokerage networks facilitate liquidity provision and mitigate the price impact of large non-information-motivated trades. Using commissions, we map trading networks of mutual funds (institutions) and their brokers. Central funds (institutions) tend to outperform their peripheral counterparts in terms of return gap (execution shortfall). This outperformance is more pronounced when funds experience large outflows and for large trades in less liquid stocks. Central br...
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作者：Jackson, Matthew O.; Pernoud, Agathe
作者单位：Stanford University; University of Chicago
摘要：We analyze how interdependencies in financial networks can lead to self-fulfilling insolvencies and multiple possible equilibrium outcomes. Multiplicity arises if a certain type of dependency cycle exists in the network. We show that finding the cheapest bailout policy that prevents self-fulfilling insolvencies is computationally hard, but that the optimal policy has intuitive features in some typical network structures. Leveraging indirect benefits ensures systemic solvency at a cost that nev...
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作者：Tong, Joy Tianjiao
作者单位：Western University (University of Western Ontario)
摘要：Health care costs for U.S. employers have tripled over the past 20 years. Using firm-specific health expense data, I show that firms negatively adjust capital expenditures and R&D expenses in response to increases in health care costs. The effects are more pronounced for firms that are financially constrained, employ more high-skilled workers, and have less bargaining power relative to insurers. Furthermore, policy uncertainty surrounding health care costs is substantial and discourages capita...
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作者：Accominotti, Olivier; Albers, Thilo N. H.; Oosterlinck, Kim
作者单位：University of London; London School Economics & Political Science; Center for Economic & Policy Research (CEPR); Humboldt University of Berlin; Universite Libre de Bruxelles
摘要：This paper explores how selective default expectations affect the pricing of sovereign bonds in a historical laboratory: the German default of the 1930s. We analyze yield differentials between identical government bonds traded across various creditor countries before and after bond market segmentation. We show that, when secondary debt markets are segmented, a large selective default probability can be priced in bond yield spreads. Selective default risk accounted for one-third of the yield sp...
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作者：Li, Zhimin; Shen, Leslie Sheng; Zhang, Calvin
作者单位：Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen); Federal Reserve System - USA; Federal Reserve Bank - Boston; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：This paper studies the real effects of foreign real estate capital inflows. Using transaction-level data, we document (i) a China shock in the U.S. housing market characterized by surging foreign Chinese housing purchases after 2008, and (ii) home bias in these purchases, as they concentrate in neighborhoods historically populated by ethnic Chinese. Exploiting their temporal and spatial variation, we find that these capital inflows raise local employment, with the effect transmitted through a ...
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作者：Tate, Geoffrey; Yang, Liu
作者单位：University System of Maryland; University of Maryland College Park; National Bureau of Economic Research
摘要：The benefits of internal labor markets are largest when they include industries that utilize similar worker skills, thereby facilitating cross-industry worker reallocation and collaboration. We show that diversifying acquisitions occur more frequently among industry pairs with higher human capital transferability. Such acquisitions result in larger labor productivity gains and are less often undone in subsequent divestitures. Moreover, acquirers retain more high-skill workers and more often tr...
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作者：Antill, Samuel
作者单位：Harvard University
摘要：Chapter 7 is the most popular bankruptcy system for U.S. firms and individuals. Chapter 7 professional fees are substantial. Theoretically, high fees might be an unavoidable cost of incentivizing professionals. I test this empirically. I study trustees, the most important professionals in chapter 7, who liquidate assets in exchange for legally mandated commissions. Exploiting kinks in the commission function, I estimate a structural model of moral hazard by trustees. I show that a policy chang...
