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作者：Santos, Joao A. C.; Winton, Andrew
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Universidade Nova de Lisboa; University of Minnesota System; University of Minnesota Twin Cities; Shanghai Jiao Tong University
摘要：We examine how bank capital and borrower bargaining power affect loan spreads. Consistent with previous studies, higher bank capital has a negative impact on loan rates, but borrower cash flow has a significant effect on this impact: compared with high-capital banks, low-capital banks charge more for borrowers with low cash flow, but offer greater marginal discounts as these borrowers' cash flow rises. These effects are largely focused on more bank-dependent borrowers. We find some evidence th...
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作者：Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Manchester
摘要：We use the Bayesian method introduced by Gallant and McCulloch (2009) to estimate consumption-based asset pricing models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our structural estimation. Based on the market and aggregate consumption data, our estimation provides statistical support for asset pricing models with smooth ambiguity. Statistical model comparison shows that models with ambiguity, learning, and time-varying vo...
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作者：Breugem, Matthijs; Buss, Adrian
作者单位：Collegio Carlo Alberto; INSEAD Business School; Centre for Economic Policy Research - UK
摘要：We study the joint portfolio and information choice problem of institutional investors who are concerned about their performance relative to a benchmark. Benchmarking influences information choices through two distinct economic mechanisms. First, benchmarking reduces the number of shares in investors' portfolios that are sensitive to information. Hence, the value of private information declines. Second, benchmarking limits investors' willingness to speculate. This not only reduces the value of...
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作者：Biais, Bruno; Bisiere, Christophe; Bouvard, Matthieu; Casamatta, Catherine
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Centre National de la Recherche Scientifique (CNRS); Hautes Etudes Commerciales (HEC) Paris; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; McGill University
摘要：Blockchains are distributed ledgers, operated within peer-to-peer networks. We model the proof-of-work blockchain protocol as a stochastic game and analyze the equilibrium strategies of rational, strategic miners. Mining the longest chain is a Markov perfect equilibrium, without forking, in line with Nakamoto (2008). The blockchain protocol, however, is a coordination game, with multiple equilibria. There exist equilibria with forks, leading to orphaned blocks and persistent divergence between...
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作者：Lenkey, Stephen L.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Rule 10b5-1 enables insiders to preplan future trades before becoming informed. Within a strategic rational expectations equilibrium framework, I characterize an insider's unique optimal trading plan, which balances portfolio diversification against exploitation of the rule's selective termination option. Because the rule reduces adverse selection and provides insurance against bad outcomes, the rule generally improves welfare for both the insider, who later becomes informed, and uninformed ou...
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作者：Agarwal, Sumit; Choi, Hyun-Soo; He, Jia; Sing, Tien Foo
作者单位：National University of Singapore; Korea Advanced Institute of Science & Technology (KAIST); Nankai University
摘要：This paper investigates the role of ethnic matching between buyers and sellers in Singapore's public housing market. We find that sellers sell homes in blocks with a high concentration of their own (other) ethnic group(s) at significant premiums (discounts). Chinese sellers earn 1.7% higher premiums when selling homes to Chinese buyers in high Chinese concentrations housing blocks, but Malay sellers accept 1.6% discounts from Malay buyers in the same blocks. We find that the high volume of wit...
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作者：Bernstein, Shai; Lerner, Josh; Mezzanotti, Filippo
作者单位：Stanford University; National Bureau of Economic Research; Harvard University; Northwestern University
摘要：Does private equity (PE) contribute to financial fragility during economic crises? The proliferation of poorly structured transactions during booms may increase the vulnerability of the economy to downturns. During the 2008 crisis, PE-backed companies decreased investments less than did their peers and experienced greater equity and debt inflows, higher asset growth, and increased market share. These effects are especially strong among financially constrained companies and those whose PE inves...
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作者：Lucca, David O.; Nadauld, Taylor; Shen, Karen
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Brigham Young University; Harvard University
摘要：We study the link between the student credit expansion of the past 15 years and the contemporaneous rise in college tuition. To disentangle simultaneity issues, we analyze the effects of increases in federal student loan caps using detailed student-level financial data. We find a pass-through effect on tuition of changes in subsidized loan maximums of about 60 cents on the dollar and of about 20 cents on the dollar for unsubsidized federal loans. The effect is most pronounced for more expensiv...
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作者：Jayaraman, Sudarshan; Wu, Joanna Shuang
作者单位：University of Rochester
摘要：Mandatory disclosure provides benefits, but it also entails costs. One cost concerns managerial learning: by discouraging informed trading, disclosure could reduce managers' ability to glean decision-relevant information from prices. Using mandatory segment reporting in the United States, we uncover a reduction in investment-q sensitivity, indicating lower investment efficiency after regulation. Consistent with learning, lower sensitivity is concentrated in firms with more informed trading and...
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作者：Pennacchi, George; Tchistyi, Alexei
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：Initial proposals for contingent convertibles (CoCos) envisioned that these bonds would convert to equity when the issuing bank's stock price declined to a prespecified trigger. Subsequent research has claimed that doing so causes the stock price to have multiple equilibria or no equilibrium. We show that when CoCos are perpetuities, which characterizes most actual CoCos, a unique stock price equilibrium exists, except under unrealistic conditions. Unique equilibria occur when conversion favor...
