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作者：Seleznev, Sergei; Selezneva, Veronika
作者单位：University of Cyprus; Universite PSL; Universite Paris-Dauphine
摘要：Debt matters for oil supply elasticities. We document the resiliency of oil production to the COVID-19-related collapse in demand due to indebtedness. We use exogenous variation in the timing of debt-related payments to identify financially constrained operators. We show that more financially constrained firms cut production by less than less-constrained firms and were less likely to complete new wells. To explore the mechanisms, we use borrowing-limit cuts and credit-line drawdowns to measure...
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作者：Koont, Naz; Ma, Yiming; Pastor, Lubos; Zeng, Yao
作者单位：Stanford University; National Bureau of Economic Research; Columbia University; National Bureau of Economic Research; University of Chicago; Center for Economic & Policy Research (CEPR); University of Pennsylvania; National Bureau of Economic Research
摘要：Exchange-traded funds (ETFs) are typically viewed as passive index trackers. In contrast, we show that corporate bond ETFs actively manage their portfolios, trading off index tracking against liquidity transformation. In our model, ETFs optimally choose creation and redemption baskets that include cash and only a subset of index assets, especially if those assets are illiquid. Our evidence supports the model. We find that ETFs dynamically adjust their baskets to correct portfolio imbalances wh...
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作者：Delao, Ricardo; Myers, Sean
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作者：Schmidt-Engelbertz, Paul; Vasudevan, Kaushik
作者单位：Yale University; Purdue University System; Purdue University
摘要：Higher-order beliefs-beliefs about others' beliefs-may be important for trading behavior and asset prices but have received little systematic empirical examination. Examining more than 20 years of evidence from the Robert Shiller Investor Confidence surveys, we find that investors' higher-order beliefs provide substantial motivations for nonfundamental speculation-taking a stock market position that conflicts with one's valuation of the market. To explore the equilibrium implications, we const...
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作者：Jha, Manish; Liu, Hongyi; Manela, Asaf
作者单位：University System of Georgia; Georgia State University; Washington University (WUSTL)
摘要：We measure popular sentiment toward finance by applying a large language model to millions of books published in eight countries over hundreds of years. We extensively validate this measure both internally and externally. We document persistent differences in finance sentiment across countries despite ample time-series variation. Books written in the languages of more capitalist countries discuss finance in a more positive context. Finance sentiment is correlated with survey-based measures of ...
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作者：Ma, Yiming; Xiao, Kairong; Zeng, Yao
作者单位：Columbia University; National Bureau of Economic Research; University of Pennsylvania
摘要：Liquidity provision is often attributed to debt-issuing intermediaries like banks. We develop a unified theoretical framework and empirically show that mutual funds issuing demandable equity also provide an economically significant amount of liquidity by insuring against idiosyncratic liquidity shocks. Quantitatively, bond funds provide 12.5% of the liquidity that banks provide per dollar. Our model further shows that when equity values incorporate the liquidation cost from redemptions, as in ...
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作者：Infante, Sebastian; Saravay, Zack
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We theoretically and empirically show how the reuse of Treasury securities as collateral alleviates safe asset scarcity. Our model characterizes how reuse allows intermediaries to efficiently reallocate the safety benefits of long-term Treasury securities to a broader investor base. By reusing Treasury securities, intermediaries can access more collateral to create safe assets without interest rate risk. When the demand for safe assets is high, intermediaries increase reuse, distributing safe ...
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作者：Ait-Sahalia, Yacine; Jacod, Jean; Xiu, Dacheng
作者单位：Princeton University; National Bureau of Economic Research; Sorbonne Universite; University of Chicago
摘要：We develop an asymptotic framework for conducting inference on continuous-time asset pricing models using high-frequency returns over an increasing time horizon. Our study focuses on the identification and estimation of risk premiums associated with the continuous component and jumps of various size brackets. We extend the classical Fama-MacBeth regression from the discrete-time setting to a continuous-time factor model, incorporating general dynamics for factors, idiosyncratic components, and...
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作者：Rehbein, Oliver; Rother, Simon
作者单位：Vienna University of Economics & Business; University of Mannheim
摘要：We present evidence that loan allocations and loan terms are closely linked to the strength of social connections between bank and borrower regions. Lending increases with social connectedness, particularly in the presence of strong screening incentives. If connectedness is high, banks discriminate between borrowers more, the terms of originated loans are more borrower friendly, and loan performance is better. Furthermore, social connectedness is associated with higher bank profitability and w...
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作者：Goedker, Katrin; Jiao, Peiran; Smeets, Paul
作者单位：Bocconi University; Leibniz Association; Ifo Institut; Maastricht University; University of Amsterdam
摘要：We provide experimental evidence of a positive memory bias that affects individuals' beliefs, decisions to reinvest, and overconfidence in the stock market. Individuals overremember positive investment outcomes of chosen assets and underremember negative ones. Based on their memories, subjects form overly optimistic beliefs about their investment, reinvest too much, and become overconfident about their investment ability relative to others. We further provide evidence on motivation driving the...
