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作者：Bolton, Patrick; Oehmke, Martin
作者单位：Columbia University; University of London; London School Economics & Political Science
摘要：We study the resolution of global banks by national regulators. Single-point-of-entry (SPOE) resolution, where loss-absorbing capital is shared across jurisdictions, is efficient but faces implementation constraints. First, when expected transfers across jurisdictions are too asymmetric, national regulators fail to set up SPOE resolution ex ante. Second, when required ex post transfers are too large, national regulators ring-fence assets instead of cooperating in SPOE resolution. In this case,...
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作者：Lian, Chen; Ma, Yueran; Wang, Carmen
作者单位：Massachusetts Institute of Technology (MIT); University of Chicago; Harvard University
摘要：How do low interest rates affect investor behavior? We demonstrate that individuals reach for yield, that is, have a greater appetite for risk-taking when interest rates are low. Using randomized investment experiments holding fixed risk premiums and risks, we show low interest rates lead to significantly higher allocations to risky assets among diverse populations. The behavior is not easily explained by conventional portfolio choice theory or institutional frictions. We then propose and prov...
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作者：Boudoukh, Jacob; Feldman, Ronen; Kogan, Shimon; Richardson, Matthew
作者单位：Reichman University; Hebrew University of Jerusalem; Massachusetts Institute of Technology (MIT); New York University; National Bureau of Economic Research
摘要：What moves stock prices? Prior literature concludes that the revelation of private information through trading, and not public news, is the primary driver. We revisit the question by using textual analysis to identify fundamental information in news. We find that this information accounts for 49.6% of overnight idiosyncratic volatility (vs. 12.4% during trading hours), with a considerable fraction due to days with multiple news types. We use our measure of public information arrival to reinves...
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作者：Johnson, Eric J.; Meier, Stephan; Toubia, Olivier
作者单位：Columbia University
摘要：Failing to refinance a mortgage can cost a borrower thousands of dollars. Based on administrative data from a large financial institution, we show that around 50% of borrowers leave thousands of dollars on the table by not refinancing. Survey data indicate that, among all the behavioral factors examined, only suspicion of banks' motives is consistently related to the probability of accepting a refinancing offer. Finally, we report the results of three field experiments showing that enticing of...
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作者：Skrastins, Janis; Vig, Vikrant
作者单位：Washington University (WUSTL); University of London; London Business School
摘要：We exploit a variation in organizational hierarchy induced by a reorganization plan implemented in roughly 2,000 bank branches in India. We do so to investigate how organizational hierarchy affects the allocation of credit. We find that increased hierarchization of a branch induces credit rationing, reduces loan performance, and generates standardization in loan contracts. Additionally, we find that hierarchical structures perform better in environments characterized by a high degree of corrup...
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作者：Heider, Florian; Saidi, Farzad; Schepens, Glenn
作者单位：European Central Bank; Stockholm School of Economics
摘要：We show that negative policy rates affect the supply of bank credit in a novel way. Banks are reluctant to pass on negative rates to depositors, which increases the funding cost of high-deposit banks, and reduces their net worth, relative to low-deposit banks. As a consequence, the introduction of negative policy rates by the European Central Bank in mid-2014 leads to more risk-taking and less lending by euro-area banks with a greater reliance on deposit funding. Our results suggest that negat...
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作者：Weller, Brian M.
作者单位：Duke University
摘要：I exploit information in the cross-section of bid-ask spreads to develop a new measure of extreme event risk. Spreads embed tail risk information because liquidity providers require compensation for the possibility of sharp changes in asset values. I show that simple regressions relating spreads and trading volume to factor betas recover this information and deliver high-frequency tail risk estimates for common factors in stock returns. My methodology disentangles financial and aggregate marke...
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作者：Matsusaka, John G.; Ozbas, Oguzhan; Yi, Irene
作者单位：University of Southern California; University of Toronto
摘要：This paper investigates whether labor unions use proposals opportunistically to influence contract negotiations. Our empirical strategy relies on the observation that proposals have higher bargaining-chip value in contract expiration years, when a new contract must be negotiated. We find that in contract expiration years compared with nonexpiration years, unions increase their proposal rate by one-fifth, particularly proposals concerning executive compensation. Union proposals made during expi...
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作者：Fuster, Andreas; Plosser, Matthew; Schnabl, Philipp; Vickery, James
作者单位：Swiss National Bank (SNB); Federal Reserve System - USA; Federal Reserve Bank - New York; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：Technology-based (FinTech) lenders increased their market share of U.S. mortgage lending from 2% to 8% from 2010 to 2016. Using loan-level data on mortgage applications and originations, we show that FinTech lenders process mortgage applications 20% faster than other lenders, controlling for observable characteristics. Faster processing does not come at the cost of higher defaults. FinTech lenders adjust supply more elastically than do other lenders in response to exogenous mortgage demand sho...
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作者：Iannotta, Giuliano; Pennacchi, George; Santos, Joao A. C.
作者单位：Catholic University of the Sacred Heart; University of Illinois System; University of Illinois Urbana-Champaign; Federal Reserve System - USA; Federal Reserve Bank - New York; Universidade Nova de Lisboa
摘要：Our model shows that when regulation is based on credit ratings, banks with low charter value maximize shareholder value by minimizing capital and selecting identically rated loans and bonds with the highest systematic risk. This regulatory arbitrage is possible if the credit spreads on same-rated loans and bonds are greater when their systematic risk (debt beta) is higher. We empirically confirm this relationship between credit spreads, ratings, and debt betas. We also show that banks with lo...
