Review of Financial Studies

最新文章

• Near-Rational Equilibria in Heterogeneous-Agent Models: A Verification Method AI翻译
  作者：Kogan, Leonid; Mitra, Indrajit
  作者单位：Massachusetts Institute of Technology (MIT); Federal Reserve System - USA; Federal Reserve Bank - Atlanta
  摘要：We propose a general simulation-based procedure for estimating the quality of approximate policies in heterogeneous-agent equilibrium models, which allows us to verify that such approximate solutions describe a near-rational equilibrium. Our procedure endows agents with superior knowledge of the future path of the economy, while imposing a suitable penalty for such foresight. The relaxed problem is more tractable than the original, and results in an upper bound on agents' welfare. Our method a...
• Who Holds Sovereign Debt and Why It Matters AI翻译
  作者：Fang, Xiang; Hardy, Bryan; Lewis, Karen K.
  作者单位：University of Hong Kong; Bank for International Settlements (BIS); University of Pennsylvania; National Bureau of Economic Research; Centre for Economic Policy Research - UK
  摘要：This paper studies whether investor composition affects the sovereign debt market. We construct a data set of sovereign debt holdings by foreign and domestic bank, nonbank private and official investors for 101 countries across three decades. Compared with other investors, private nonbank investors absorb a disproportionate share of the debt supply, and their demand for emerging market debt is most price responsive. A counterfactual analysis of emerging market sovereigns shows a 10% increase i...
• Cross-Subsidization of Bad Credit in a Lending Crisis AI翻译
  作者：Artavanis, Nikolaos; Lee, Brian Jonghwan; Panageas, Stavros; Tsoutsoura, Margarita
  作者单位：Louisiana State University System; Louisiana State University; Emory University; University of California System; University of California Los Angeles; National Bureau of Economic Research; Washington University (WUSTL); Centre for Economic Policy Research - UK; European Corporate Governance Institute
  摘要：We study the corporate-loan pricing decisions of a major, systemic bank during the Greek financial crisis. A unique aspect of our data set is that we observe both the actual interest rate and the break-even rate (BE rate) of each loan, as computed by the bank's own loan-pricing department (in effect, the loan's marginal cost). We document that low-BE-rate (safer) borrowers are charged significant markups, whereas high-BE-rate (riskier) borrowers are charged smaller and even negative markups. W...
• Proof-of-Work versus Proof-of-Stake: A Comparative Economic Analysis AI翻译
  作者：John, Kose; Rivera, Thomas J.; Saleh, Fahad
  作者单位：New York University; McGill University; State University System of Florida; University of Florida
  摘要：We develop an economic model to compare equilibrium security of Proof-of-Work (PoW) versus Proof-of-Stake (PoS) blockchains. We derive general conditions to determine when PoW blockchains are more secure than otherwise equivalent PoS blockchains and vice versa. Applying real-world parameter values to these conditions, we demonstrate that PoS blockchains are more secure than otherwise equivalent PoW blockchains. Furthermore, we demonstrate that PoS's security advantage over PoW is particularly ...
• Return Predictability, Expectations, and Investment: Experimental Evidence AI翻译
  作者：Andries, Marianne; Bianchi, Milo; Huynh, Karen K.; Pouget, Sebastien
  作者单位：University of Southern California; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
  摘要：In an investment experiment, we show variations in information affect beliefs and decision-making within the information-beliefs-decisions chain. Subjects observe the time series of a risky asset and a signal that, in random rounds, helps predict returns. Subjects form extrapolative forecasts following a signal they perceive as useless, and their investment decisions underreact to their beliefs. If the same subjects perceive the signal as predictive, they rationally use it in their forecasts, ...
• Pretending Ignorance Is Bliss: Competing Insurers with Heterogeneous Informational Advantages AI翻译
  作者：Abrardi, Laura; Colombo, Luca; Tedeschi, Piero
  作者单位：Polytechnic University of Turin; Catholic University of the Sacred Heart
  摘要：The availability of big data and analytics expertise provides insurers with informational advantages over policyholders in estimating risk. We study competition between heterogeneously informed insurers, showing that their information may or may not be revealed in equilibrium. We find that all equilibria are profitable and that noninformative equilibria entail risk pooling and possibly efficiency. In informative equilibria, the signaling problem interacts with the screening problem that arises...
• Does Liquidity Management Induce Fragility in Treasury Prices? Evidence from Bond Mutual Funds AI翻译
  作者：Huang, Shiyang; Jiang, Wenxi; Liu, Xiaoxi; Liu, Xin
  作者单位：University of Hong Kong; Chinese University of Hong Kong; Bank for International Settlements (BIS); University of Macau
  摘要：Mutual funds investing in illiquid corporate bonds actively manage Treasury positions to buffer redemption shocks. This liquidity management practice can transmit non-fundamental fund flow shocks onto Treasuries, generating excess return volatility. Consistent with this hypothesis, we find that Treasury excess return volatility is positively associated with bond fund ownership, and this pattern is more pronounced among funds conducting intensive liquidity management. Causal evidence is provide...
• Real Consequences of Shocks to Intermediaries Supplying Corporate Hedging Instruments AI翻译
  作者：Jung, Hyeyoon
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
  摘要：I show that shocks to financial intermediaries supplying hedging instruments to corporations have real effects. I exploit a quasi-natural experiment in South Korea in 2010, where regulations required banks to hold enough capital for taking foreign exchange derivatives (FXD) positions. Using variation in exposure to this regulation across banks, I find that the regulation caused a reduction in FXD supply, leading to a significant decline in exports for firms contracting derivatives with more ex...
• A Dynamic Theory of Lending Standards (Mar, 10.1093/rfs/hhae010, 2024) AI翻译
  作者：Fishman, Michael J.; Parker, Jonathan A.; Straub, Ludwig
• Equity Return Expectations and Portfolios: Evidence from Large Asset Managers AI翻译
  作者：Dahlquist, Magnus; Ibert, Markus
  作者单位：Stockholm School of Economics; Centre for Economic Policy Research - UK; Copenhagen Business School; Danish Finance Institute
  摘要：Collecting large asset managers' capital market assumptions, we revisit the relationships between subjective equity premium expectations, equity valuations, and financial portfolios. In contrast to the well-documented extrapolative expectations of retail investors, asset managers' equity premium expectations are countercyclical: they are high (low) when valuations are low (high). We find that asset managers' portfolios reflect their heterogeneous expectations: allocation funds of asset manager...