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作者：Allen, Jason; Clark, Robert; Houde, Jean-Francois; Li, Shaoteng; Trubnikova, Anna
作者单位：University of Wisconsin System; University of Wisconsin Madison; Queens University - Canada; Bank of Canada; Cornerstone Research
摘要：We study the role of brokers in selection markets. We find broker-clients in the Canadian mortgage market are observationally different from branch-clients. They finance larger loans with more leverage and longer amortization. We build and estimate a model of mortgage demand to disentangle three possible explanations for these riskier product choices: (1) selection on observables, (2) unobserved borrower preferences for riskier loans, and (3) a causal effect of brokers. Although we find that b...
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作者：Gulen, Huseyin; Ion, Mihai; Jens, Candace E.; Rossi, Stefano
作者单位：Purdue University System; Purdue University; University of Arizona; Syracuse University; Bocconi University
摘要：We provide a systematic empirical assessment of the Minsky hypothesis that business fluctuations stem from irrational swings in expectations. Using predictable firm-level forecast errors, we build an aggregate index of irrational expectations and use it to provide three sets of results. First, we show that our index predicts aggregate credit cycles. Next, we show that these predictable credit cycles drive cycles in firm-level debt issuance and investment and similar cycles between financially ...
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作者：Da, Zhi; Fang, Vivian W.; Lin, Wenwei
作者单位：University of Notre Dame; Indiana University System; Indiana University Bloomington; European Corporate Governance Institute; The Chinese University of Hong Kong, Shenzhen
摘要：Fractional trading (FT)-the ability to trade less than a whole share-removes barriers to high-priced stocks and facilitates entry by capital-constrained retail investors. We observe a surge of tiny trades, measured using off-exchange one-share trades, among high-priced stocks compared to low-priced stocks after FT is introduced to the U.S. equity markets. These tiny trades, when coordinated during attention-grabbing events, are forceful enough to exert large price pressure on high-priced stock...
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作者：Saunders, Anthony; Spina, Alessandro; Steffen, Sascha; Streitz, Daniel
作者单位：New York University; Copenhagen Business School; University of Technology Sydney; Frankfurt School Finance & Management; Centre for Economic Policy Research - UK; Leibniz Association; Leibniz Institut fur Wirtschaftsforschung Halle (IWH); Friedrich Schiller University of Jena
摘要：We investigate the predictive power of loan spreads for forecasting business cycles, specifically focusing on more constrained, intermediary-reliant firms. We introduce a novel loan-market-based credit spread constructed using secondary corporate loan-market prices over the 1999 to 2023 period. Loan spreads significantly enhance the prediction of macroeconomic outcomes, outperforming other credit-spread indicators. We also explore the underlying mechanisms and differentiate between borrower fu...
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作者：Mullally, Kevin; Rossi, Andrea
作者单位：State University System of Florida; University of Central Florida; University of Arizona
摘要：We analyze changes to mutual funds' self-declared benchmarks using hand-collected data from funds' prospectuses. Under existing rules, funds can freely change their benchmark indexes and, implicitly, the historical returns to which they compare their past performance. Funds exploit this loophole by adding (dropping) indexes with lower (higher) past returns, thereby materially improving the appearance of their benchmark-adjusted returns. High-fee funds, broker-sold funds, and funds experiencing...
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作者：Plosser, Matthew C.; Santos, Joao A. C.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Universidade Nova de Lisboa
摘要：Basel I introduced capital requirements for undrawn commitments, but only for revolvers with an original maturity greater than one year. We use this regulatory discontinuity to estimate the impact of capital regulation on the cost and composition of credit. Following Basel I, short-term commitment fees declined relative to long-term commitments and issuance of short-term facilities increased. Our results highlight the sensitivity of credit provision to capital regulation, particularly for bank...
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作者：Crump, Richard K.; Gospodinov, Nikolay
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
摘要：We introduce a novel nonparametric bootstrap for the yield curve that is agnostic to the true factor structure of interest rates. We deconstruct the yield curve into primitive objects, with weak cross-sectional and time-series dependence, that serve as building blocks for resampling the data. We analyze the properties of the bootstrap for mimicking salient features of the data and conducting valid inference. We demonstrate the benefits of our general method by revisiting the predictability of ...
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作者：Flynn, Sean; Ghent, Andra; Tchistyi, Alexei
作者单位：Cornell University; Utah System of Higher Education; University of Utah
摘要：We show that commercial mortgage borrowers behave opportunistically to attempt to obtain principal reductions. We develop a model in which lenders cannot perfectly observe borrowers' use values and renegotiation is costly. We then exploit a tax rule change that reduced the cost of renegotiation. Consistent with the model predictions, borrowers with high private use values of the property are more likely to transfer into special servicing when lenders have a higher capacity to negotiate princip...
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作者：Brav, Alon; Jiang, Wei; Li, Tao; Pinnington, James
作者单位：Duke University; National Bureau of Economic Research; Emory University; State University System of Florida; University of Florida; Duke University
摘要：We present the first comprehensive study of mutual fund voting in proxy contests. Among contests where voting takes place, passive funds are 10 percentage points less likely than active funds to vote for dissidents. The gap shrinks significantly when accounting for votes withheld from management nominees, settled contests, and votes by non-Big-Three fund families. Passive and active funds are equally informed about firm fundamentals, although passive funds view contest-related SEC filings more...
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作者：Golez, Benjamin; Jackwerth, Jens
作者单位：University of Notre Dame; University of Konstanz
摘要：We estimate short-term dividend strip prices from 27 years of S&P 500 index options data (1996-2022). We use option-implied interest rates when estimating strip prices and longer holding period returns to mitigate measurement error. We find that Sharpe ratios for short-term strips are similar to or higher than Sharpe ratios for the market. Short-term strips also have a low market beta and a positive alpha. Over the business cycle, realized term premiums (ie, the difference between market and s...
