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作者：Gopal, Manasa; Schnabl, Philipp
作者单位：University System of Georgia; Georgia Institute of Technology; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：We document that finance companies and FinTech lenders increased lending to small businesses after the 2008 financial crisis. We show that most of the increase substituted for a reduction in bank lending. In counties in which banks had a larger market share before the crisis, finance companies and FinTech lenders increased their lending more. We find no effect of reduced bank lending on employment, wages, and new business creation by 2016. Our results suggest that finance companies and FinTech...
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作者：Du, Wenxin; Schreger, Jesse
作者单位：University of Chicago; Federal Reserve System - USA; Federal Reserve Bank - New York; National Bureau of Economic Research; Centre for Economic Policy Research - UK; Columbia University
摘要：We provide a comprehensive account of the evolution of the currency composition of sovereign and corporate external borrowing by emerging markets from 2003 to 2017. We show that a higher reliance on foreign currency debt by the corporate sector is associated with higher sovereign default risk. We introduce local currency sovereign debt and private sector currency mismatch into a standard sovereign debt model to examine how the currency composition of corporate borrowing affects the sovereign's...
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作者：Ben-David, Itzhak; Li, Jiacui; Rossi, Andrea; Song, Yang
作者单位：University System of Ohio; Ohio State University; National Bureau of Economic Research; Utah System of Higher Education; University of Utah; University of Arizona; University of Washington; University of Washington Seattle
摘要：We show that mutual fund investors rely on simple signals and likely do not engage in sophisticated learning about managers' alpha as widely believed. Simplistic performance chasing best explains aggregate flows to the mutual fund space and flows across funds. These results hold for both actively managed and passive index funds. Empirical patterns commonly interpreted as reflecting learning about managerial skill also appear in falsification tests and are mechanical. Our results are consistent...
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作者：Egan, Mark; Lewellen, Stefan; Sunderam, Adi
作者单位：Harvard University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We study the determinants of value creation in U.S. commercial banks. We develop novel measures of individual banks' productivities at collecting deposits and making loans that we relate to bank market values. We find that deposit productivity is responsible for two-thirds of the value of the median bank and most variation in value across banks. Variation in productivity is driven by differences across banks in technology, customer demographics, and market power. We also find evidence of syner...
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作者：Ready, Mark J.; Ready, Robert C.
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Oregon
摘要：Using intraday data, we document statistically strong, but temporary, impacts of commodity index trade flows on commodity futures prices. We also examine the previously documented positive returns around the issuance of commodity-linked notes and find that these returns are an order of magnitude too large to be caused by the small trades necessary to hedge the notes. We provide new evidence that they are instead the result of endogenous issuance. Our results provide novel support for commodity...
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作者：Andonov, Aleksandar; Rauh, Joshua D.
作者单位：University of Amsterdam; Centre for Economic Policy Research - UK; National Bureau of Economic Research
摘要：The return expectations of public pension funds are positively related to cross-sectional differences in past performance. This positive relation operates through the expected risk premium, rather than the expected risk-free rate or inflation rate. Pension funds act on their beliefs and adjust their portfolio composition accordingly. Persistent investment skills, risk taking, efforts to reduce costly rebalancing, and fiscal incentives from unfunded liabilities cannot fully explain the reliance...
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作者：Nguyen, Thien T.
作者单位：University System of Ohio; Ohio State University
摘要：The debt-to-GDP ratio negatively predicts cumulative nominal consumption growth up to a 10-year horizon, resulting from the ratio's ability to forecast lower inflation and real growth. Moreover, the debt-to-GDP ratio is positively associated with yield spreads. I rationalize these facts in a model in which positive shocks to government debt cause lower inflation and growth, making bonds attractive assets. Furthermore, because longer-term bonds are less exposed to current debt shock than are sh...
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作者：Johnson, William C.; Karpoff, Jonathan M.; Yi, Sangho
作者单位：University of Massachusetts System; University of Massachusetts Lowell; University of Washington; University of Washington Seattle; Sogang University
摘要：We document that the relation between firm value and the use of takeover defenses is positive for young firms but becomes negative as firms age. This value reversal pattern reflects specific changes in the costs and benefits of takeover defenses as firms age and arises because defenses are sticky and rarely removed. Firms can attenuate the value reversal by removing defenses, but do so only when the defenses become very costly and adjustment costs are low. The value reversal explains previous ...
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作者：Backus, David K.; Chernov, Mikhail; Zin, Stanley E.; Zviadadze, Irina
作者单位：New York University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of California System; University of California Los Angeles; Hautes Etudes Commerciales (HEC) Paris; Centre for Economic Policy Research - UK
摘要：Long-run asset pricing restrictions in a macro term structure model identify discretionary monetary policy separately from a policy rule. We find that policy discretion is an important contributor to aggregate risk. In addition, discretionary easing coincides with good news about the macroeconomy in the form of lower inflation, higher output growth, and lower risk premiums on short-term nominal bonds. However, it also coincides with bad news about long-term financial conditions in the form of ...
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作者：Heyerdahl-Larsen, Christian; Walden, Johan
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; University of California System; University of California Berkeley
摘要：We study consumption, savings, and asset prices in economies with disagreement and production, focusing on settings with real effects of disagreement. Aggregate savings may be significantly distorted under disagreement, possibly related to the undersaving puzzle. In the production economy, mispricing mainly manifests itself in idiosyncratic risk, in contrast to the exchange economy, where the risk-free rate and expected return on the market may be distorted. Potential policy implications inclu...
