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作者：Chernenko, Sergey; Erel, Isil; Prilmeier, Robert
作者单位：Purdue University System; Purdue University; University System of Ohio; Ohio State University; National Bureau of Economic Research; Tulane University
摘要：Analyzing hand-collected credit agreements for a sample of middle-market firms over 2010-2015, we find that one-third of all loans are directly extended by nonbank financial intermediaries. Two-thirds of such nonbank lending can be attributed to bank regulations that constrain banks' ability to lend to unprofitable and highly levered borrowers. Firms with negative EBITDA and debt/EBITDA greater than six are 32% and 15% more likely to borrow from nonbanks. These firms pay significantly higher i...
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作者：Bose, Devdeepta; Cordes, Henning; Nolte, Sven; Schneider, Judith Christiane; Camerer, Colin Farrell
作者单位：California Institute of Technology; University of Munster; Radboud University Nijmegen; Leibniz University Hannover
摘要：We apply a machine-learning algorithm, calibrated using general human vision, to predict the visual salience of prices of stock price charts. We hypothesize that the visual salience of adjacent prices increases the decision weights on returns computed from those prices. We analyze the inferred impact of these weights in two experimental studies that use either historical price charts or simpler artificial sequences. We find that decision weights derived from visual salience are associated with...
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作者：Parlour, Christine A.; Rajan, Uday; Zhu, Haoxiang
作者单位：University of California System; University of California Berkeley; University of Michigan System; University of Michigan; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We study the impact of FinTech competition in payment services when a monopolist bank uses payment data to learn about consumers' credit quality. Competition from FinTech payment providers disrupts this information spillover. The bank's price for payment services and its loan offers are affected. FinTech competition promotes financial inclusion, may hurt consumers with a strong bank preference, and has an ambiguous effect on the loan market. Both FinTech data sales and consumer data portabilit...
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作者：Patton, Andrew J.; Weller, Brian M.
作者单位：Duke University; Amazon.com
摘要：Equal compensation across assets for the same risk exposures is a bedrock of asset pricing theory and empirics. Yet real-world frictions can violate this equality and create apparently high Sharpe ratio opportunities. We develop new methods for asset pricing with cross-sectional heterogeneity in compensation for risk. We extend k-means clustering to group assets by risk prices and introduce a formal test for whether differences in risk premiums across market segments are too large to occur by ...
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作者：Fisher, Adlai; Martineau, Charles; Sheng, Jinfei
作者单位：University of British Columbia; University of Toronto; University of California System; University of California Irvine
摘要：We construct macroeconomic attention indexes (MAI), which are new measures of attention to different macroeconomic risks, including unemployment and monetary policy. Individual MAI tend to increase around related announcements and following changes in related fundamentals. Further, bad news raises attention more than good news. For unemployment and FOMC, attention predicts announcement risk premiums and implied volatility changes with large economic magnitudes. Our findings support theories of...
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作者：Perotti, Enrico; Rola-Janicka, Magdalena
作者单位：University of Amsterdam; Tinbergen Institute; Centre for Economic Policy Research - UK; Tilburg University
摘要：Some credit booms result in financial crises. While excessive risk-taking could plausibly explain the boom-to-bust cycle, many investors do not anticipate increasing risk. We show that credit booms may be misunderstood as being driven by high productivity because opaque bank assets disguise risk incentives. Balanced funding relative to productive prospects can sustain prudent lending (good boom), whereas funding imbalances may induce high risk exposure and boost asset prices (bad boom) or lead...
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作者：Begley, Taylor A.; Srinivasan, Kandarp
作者单位：University of Kentucky; Northeastern University
摘要：Amid the emerging dominance of nonbanks, small banks use key financing advantages to persist in the mortgage market. We provide evidence of the heterogeneous impact of two shocks to the supply of mortgage credit: postcrisis regulatory burden and GSE financing cost changes. Small banks exploit regulation disproportionately affecting the largest four banks (Big4) and their ability to lend on balance sheet to strongly substitute for the retreating Big4. The erasure of guarantee fee (g-fee) discou...
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作者：Rime, Dagfinn; Schrimpf, Andreas; Syrstad, Olav
作者单位：BI Norwegian Business School; Bank for International Settlements (BIS); Norges Bank
摘要：To understand deviations from covered interest parity (CIP), it is crucial to account for heterogeneity in funding costs across both banks and currency areas. For most market participants, the no-arbitrage relation holds fairly well when implemented using marginal funding costs and risk-free investment instruments. However, a few high-rated banks do enjoy CIP-arbitrage opportunities. Dealers avert inventory imbalances stemming from lower-rated banks' usage of FX swaps to obtain dollar funding ...
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作者：Camanho, Nelson; Hau, Harald; Rey, Helene
作者单位：University of London; Queen Mary University London; University of Geneva; Centre for Economic Policy Research - UK; Swiss Finance Institute (SFI); University of London; London Business School; National Bureau of Economic Research
摘要：We examine international equity allocations at the fund level and show how excess foreign returns influence portfolio rebalancing, capital flows, and currencies. Our equilibrium model of incomplete foreign exchange (FX) risk trading where exchange rate risk partially segments international equity markets is consistent with the observed dynamics of equity returns, exchange rates, and fund-level capital flows. We document that rebalancing is more intense under higher FX volatility and find heter...
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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...
