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作者：Glebkin, Sergei; Malamud, Semyon; Teguia, Alberto
作者单位：INSEAD Business School; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); University of British Columbia
摘要：We characterize the unique equilibrium in an economy populated by strategic CARA investors who trade multiple risky assets with arbitrarily distributed payoffs. We use our explicit solution to study the joint behavior of illiquidity of option contracts. Option bid-ask spreads are proportional to risk aversion and risk-neutral variances of option payoffs. Spreads may decrease in risk aversion, physical variance, open interest, and increase after earnings announcements in a result contrary to co...
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作者：Kargar, Mahyar; Mann, William
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Emory University
摘要：How much do students benefit from student loan subsidies? We investigate this question, exploiting a natural experiment: a demand shock due to the 2011 tightening of credit standards in the PLUS program. We first establish that the Bennett hypothesis is best explained by colleges charging large markups over their marginal costs, rather than by advantageous selection. Then we use our results to estimate that students plausibly capture less than 60 cents of each dollar of resources expended on l...
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作者：Jiang, Erica Xuewei
作者单位：University of Southern California
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作者：Chava, Sudheer; Ganduri, Rohan; Paradkar, Nikhil; Zeng, Linghang
作者单位：University System of Georgia; Georgia Institute of Technology; Emory University; University System of Georgia; University of Georgia; Babson College
摘要：Using the near universe of U.S. consumer credit cards, we show that banks transmit their wholesale funding shocks to consumers by reducing their credit card limits. Credit-constrained consumers who are unable to hedge against the transmitted shock by accessing other credit cards experience a stronger and more persistent reduction in aggregate credit card limits at the consumer level. Consequently, these credit-constrained consumers reduce their aggregate credit card borrowing. Our results docu...
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作者：Saar, Gideon; Sun, Jian; Yang, Ron; Zhu, Haoxiang
作者单位：Cornell University; Singapore Management University; Stanford University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：Postcrisis bank regulations raised market-making costs for bank-affiliated dealers. We show that this can, somewhat surprisingly, improve overall investor welfare and reduce average transaction costs despite the increased cost of immediacy. Bank dealers in OTC markets optimize between two parallel trading mechanisms: market making and matchmaking. Bank regulations that increase market-making costs change the market structure by intensifying competitive pressure from nonbank dealers and incenti...
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作者：Suh, Paula
作者单位：University System of Georgia; University of Georgia
摘要：I examine how the investment and financing of innovation are affected by the contractual allocation of intellectual property rights using a Federal Circuit ruling that strengthened firms' property rights to employee patents. I find that treatment firms' total debt-to-assets ratio and R&D spending increase by 18% and 9%, respectively, as the residual control over patents increases firms' incentives to innovate. These effects are more pronounced when ex ante holdup exposure is high. Furthermore,...
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作者：Ai, Hengjie; Kiku, Dana; Li, Rui
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Illinois System; University of Illinois Urbana-Champaign; University of Massachusetts System; University of Massachusetts Boston
摘要：We develop an equilibrium model with moral hazard, which arises because some productivity shocks are privately observed by firm managers only. We characterize the optimal contract and its implications for firm size, growth, and managerial pay-performance sensitivity and exploit them to quantify the severity of the moral hazard problem. Our estimation suggests that unobservable shocks are relatively modest and account for about 10% of the total variation of firm output. Nonetheless, moral-hazar...
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作者：Bhamra, Harjoat S.; Dorion, Christian; Jeanneret, Alexandre; Weber, Michael
作者单位：Imperial College London; Centre for Economic Policy Research - UK; Universite de Montreal; HEC Montreal; Center for Economic & Policy Research (CEPR); University of Chicago; National Bureau of Economic Research
摘要：We develop an asset pricing model with endogenous corporate policies that explains how inflation jointly affects real asset prices and corporate default risk. Our model includes two empirically founded nominal rigidities: fixed nominal debt coupons (sticky leverage) and sticky cash flows. These two frictions result in lower real equity prices and credit spreads when expected inflation rises. A decrease in expected inflation has opposite effects, with even larger magnitudes. In the cross-sectio...
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作者：Grigoris, Fotis; Hu, Yunzhi; Segal, Gill
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：We study the relation between trade credit, asset prices, and production-network linkages. Empirically, firms extending more trade credit earn 7.6% p.a. lower risk premiums and maintain longer relationships with customers. Using a production-based model, we quantitatively explain these novel facts. Trade credit reduces the departure probability of high-quality customers, thereby reducing firms' exposures to systematic costs incurred in finding new customers. The mechanism predicts that the agg...
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作者：Basten, Christoph; Juelsrud, Ragnar
作者单位：University of Zurich; Norges Bank
摘要：We show that banks cross-sell future deposits and loans to existing household depositors. A bank is 20-percentage-points more likely to sell a loan to an existing depositor than to an otherwise comparable household. Existing depositors pay a premium when borrowing, and we find no indication that banks obtain an informational advantage on such borrowers, suggesting that the cross-selling is driven more by demand than by supply complementarities. These demand complementarities are in turn driven...
