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作者：Siani, Kerry Y.
摘要：The difference between corporate bond yields at issuance and in secondary markets, the issuance premium, spikes in bad times, raising firms' capital costs. Using new bond-level data and high-frequency variation in bond supply and demand, I estimate a model of primary markets with imperfectly elastic investors, endogenous bond supply, and underwriter frictions that quantifies drivers of issuance premiums. I find underwriters' favoritism toward investors increases issuance premiums' levels and c...
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作者：O'Hara, Maureen; Rapp, Andreas C.; Zhou, Xing (Alex)
作者单位：Cornell University; Federal Reserve System - USA; Southern Methodist University
摘要：We examine the role of insurance companies in supporting resiliency in the corporate bond market. We show that during the COVID-19 liquidity crisis, insurers increased their corporate bond positions, particularly in bonds facing fire sales by mutual funds. Insurers with more stable funding were more likely to buy, and they bought more from dealers with whom they had prior trading relationships. Dealers improved their bond liquidity provision when they had trading relationships with insurers wi...
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作者：Boutros, Michael; Ben-David, Itzhak; Graham, John R.; Harvey, Campbell R.; Payne, John W.
作者单位：University of Toronto; University System of Ohio; Ohio State University; National Bureau of Economic Research; Duke University
摘要：We analyze a panel of over 28,400 S&P 500 return forecasts by CFOs to examine whether the extent of CFOs' miscalibration-providing forecast confidence intervals that are too narrow-decreases over time. We find no improvement with task repetition nor evidence of learning, that is, no improvement in response to past performance. Across CFOs, miscalibration appears to be a persistent personal trait. We find some evidence that the degree of miscalibration is related to birth cohort and stock marke...
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作者：Guo, Hongye
作者单位：University of Hong Kong
摘要：The U.S. stock market's return during the first month of a quarter correlates strongly with returns in future months, but the correlation is negative if the future month is the first month of a quarter, and positive if it isn't. These correlations offset, consistent with the well-known near-zero unconditional autocorrelation, yet they are pervasive, present across industries and countries. The pattern accords with a model in which investors extrapolate announced earnings to predict future earn...
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作者：Wang, Jiang
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：Government intervention in the financial market through its own trading fundamentally changes the market's structure, function, and outcome. I develop a general equilibrium framework to study the impact of government trading on investor welfare. I show that with incompleteness and information asymmetry, the market equilibrium is in general suboptimal, and government intervention can potentially improve investor welfare even with no additional information. However, the actual welfare impact of ...
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作者：Bastianello, Francesca; Fontanier, Paul
作者单位：University of Chicago; Yale University
摘要：We develop a dynamic theory of Partial Equilibrium Thinking (PET), which micro-founds time-varying return extrapolation: extrapolative beliefs are present at all times, but only sometimes manifest themselves in explosive ways. We formalize the distinction between normal times shocks and displacement shocks, and study their interaction with extrapolative beliefs. In normal times, PET generates constant extrapolation and momentum. After a displacement shock that increases uncertainty, PET leads ...
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作者：Efing, Matthias; Kampkotter, Patrick; Maurin, Vincent
作者单位：Hautes Etudes Commerciales (HEC) Paris; Eberhard Karls University of Tubingen
摘要：Some bank regulators require that performance bonuses for risk managers (RMs) and for employees in front offices (FOs) be linked to distinct performance metrics, as correlated pay incentives could lead RMs to rubber-stamp risky investments. We theoretically show that a positive correlation between FOs and RMs is optimal for banks, but can be socially excessive in leveraged institutions. Using data from German bank employees, we show empirically that incentive pay is indeed positively correlate...
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作者：Bisetti, Emilio; She, Guoman; Zaldokas, Alminas
作者单位：Hong Kong University of Science & Technology; National University of Singapore
摘要：We show that U.S. firms cut imports by 31.8% when their international suppliers experience environmental and social (E&S) incidents. These trade cuts are larger for publicly listed U.S. importers facing high E&S investor pressure and lead to cross-country supplier reallocation, suggesting that E&S preferences in capital markets can be privately costly but have real effects for foreign suppliers. Larger trade cuts around the incident result in better supplier E&S performance in subsequent years...
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作者：Diebold, Lukas; Richter, Bjorn
作者单位：Universidad Carlos III de Madrid; Universidade Nova de Lisboa
摘要：Rapid credit expansions predict lower output growth and banking crises, but does it matter who finances them? We identify the ultimate counterparties financing credit expansions in a panel of 33 advanced economies and find that foreign-financed household credit expansions predict lower GDP growth and higher crisis risk, but domestically financed credit expansions do not. Studying the mechanisms, we find that foreign-financed household credit expansions are accompanied by higher supply of forei...
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作者：Cai, Zhifeng
作者单位：Rutgers University System; Rutgers University New Brunswick
摘要：Generative artificial intelligence (AI) is increasingly consuming and producing huge amounts of data. We propose a social learning model of AI, emphasizing a data-AI feedback loop: data quality affects AI productivity, which influences AI adoption and, consequently, the composition (AI versus human-generated) and quality of future data. Calibrated to evidence on synthetic training loops, the model predicts hump-shaped labor dynamics-short-term displacement that partially reverses as data quali...
