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作者：Amoussou-Guenou, Yackolley; Biais, Bruno; Potop-Butucaru, Maria; Tucci-Piergiovanni, Sara
作者单位：Universite Paris Saclay; CEA; Universite Paris-Pantheon-Assas; Hautes Etudes Commerciales (HEC) Paris; Sorbonne Universite; Centre National de la Recherche Scientifique (CNRS)
摘要：We study consensus in a protocol capturing in a simplified manner the major features of the majority of Proof of Stake blockchains. A committee is formed; one member proposes a block; and the others can check its validity and vote for it. Blocks with a majority of votes are produced. When an invalid block is produced, the stakes of the members who voted for it are slashed. Profit-maximizing members interact with adversaries seeking to disrupt consensus. When slashing is limited, free-riding an...
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作者：Acharya, Viral V.; Engle, Robert; Jager, Maximilian; Steffen, Sascha
作者单位：New York University; Frankfurt School Finance & Management
摘要：A two-sided credit-line channel-relating to drawdowns and repayments-explains the severe drop and partial subsequent recovery in bank stock prices during the COVID-19 pandemic. Banks with greater exposure to undrawn credit lines saw larger stock price declines but performed better outside of crises periods. Despite deposit inflows, high drawdowns led to reduced bank lending, suggestive of capital encumbrance upon drawdowns. Repayments of credit lines unencumbered capital which explains the sto...
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作者：Glode, Vincent; Ordonez, Guillermo
作者单位：University of Pennsylvania
摘要：We model firms' allocation of resources across surplus-creating (ie, productive) and surplus-appropriating (ie, rent-seeking) activities. Our model predicts that industry-wide technological advancements, such as recent progress in data collection and processing, induce a disproportionate and socially inefficient reallocation of resources toward surplus-appropriating activities. As technology improves, firms rely more on appropriation to obtain their profits, thereby endogenously reducing the i...
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作者：Albuquerque, Rui; Cardoso-Costa, Jose Miguel; Faias, Jose Afonso
作者单位：Boston College; Center for Economic & Policy Research (CEPR); Banco de Portugal; Universidade Nova de Lisboa; Universidade Catolica Portuguesa
摘要：The paper uses bids submitted by primary dealer banks at auctions of sovereign bonds to quantify the price elasticity of demand. The price elasticity of demand correlates strongly with the volatility of returns of the same bonds traded in the secondary market but only weakly with their bid-ask spread. It predicts same-bond post-auction returns in the secondary market, even after controlling for pre-auction volatility. The evidence suggests that the price elasticity of demand is associated with...
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作者：Atmaz, Adem; Basak, Suleyman; Ruan, Fangcheng
作者单位：Purdue University System; Purdue University; University of London; London Business School; Centre for Economic Policy Research - UK
摘要：We develop a dynamic model of costly stock short-selling and lending market and obtain implications that simultaneously support many empirical regularities related to short-selling. In our model, investors' belief disagreement leads to shorting demand, whereby short-sellers pay shorting fees to borrow stocks from lenders. Our main novel results are as follows. Short interest is positively related to shorting fee and predicts stock returns negatively. Higher short-selling risk can be associated...
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作者：Jermann, Urban J.
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：This paper presents an approach for pricing gold from investors' perspective. The model is based on no-arbitrage principles with minimal structural assumptions. There is no need to specify investor preferences. When fitted to match 10-year real U.S. Treasury rates, the model can replicate the salient fluctuations in the time series of gold prices since 2007. The model is also able to capture key patterns of CME Comex gold futures prices. The model implies that the majority of the value of gold...
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作者：Hirshleifer, David; Peng, Lin; Wang, Qiguang
作者单位：University of Southern California; City University of New York (CUNY) System; Baruch College (CUNY); Hong Kong Baptist University
摘要：We study how the social transmission of public news influences investors' beliefs and the securities markets. Using data on social networks, we find that earnings announcements from firms in higher-centrality counties generate a stronger immediate price, volatility, and trading volume reactions. Post-announcement, such firms experience weaker price drift and faster volatility decay but higher and more persistent volume. These findings suggest greater social connectedness facilitates the timely...
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作者：Han, Munhee; Kim, Sanghyun (Hugh); Nanda, Vikram K.
作者单位：Texas Tech University System; Texas Tech University; Wilfrid Laurier University; University of Texas System; University of Texas Dallas
摘要：We argue that institutional brokerage networks facilitate liquidity provision and mitigate the price impact of large non-information-motivated trades. Using commissions, we map trading networks of mutual funds (institutions) and their brokers. Central funds (institutions) tend to outperform their peripheral counterparts in terms of return gap (execution shortfall). This outperformance is more pronounced when funds experience large outflows and for large trades in less liquid stocks. Central br...
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作者：Jackson, Matthew O.; Pernoud, Agathe
作者单位：Stanford University; University of Chicago
摘要：We analyze how interdependencies in financial networks can lead to self-fulfilling insolvencies and multiple possible equilibrium outcomes. Multiplicity arises if a certain type of dependency cycle exists in the network. We show that finding the cheapest bailout policy that prevents self-fulfilling insolvencies is computationally hard, but that the optimal policy has intuitive features in some typical network structures. Leveraging indirect benefits ensures systemic solvency at a cost that nev...
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作者：Tong, Joy Tianjiao
作者单位：Western University (University of Western Ontario)
摘要：Health care costs for U.S. employers have tripled over the past 20 years. Using firm-specific health expense data, I show that firms negatively adjust capital expenditures and R&D expenses in response to increases in health care costs. The effects are more pronounced for firms that are financially constrained, employ more high-skilled workers, and have less bargaining power relative to insurers. Furthermore, policy uncertainty surrounding health care costs is substantial and discourages capita...
