-
作者：Pagnotta, Emiliano S.
作者单位：Imperial College London; Singapore Management University
摘要：We address the determination of bitcoin prices and decentralized security. Users forecast the transactional and resale values of holdings, pricing the risk of systemic attacks. Miners contribute resources to protect against attackers and compete for block rewards. Bitcoin's design leads to multiple equilibria: the same blockchain technology is consistent with sharply different price and security levels. Bitcoin's monetary policy can lead to welfare losses and deviations from quantity theory. P...
-
作者：Gupta, Deeksha
作者单位：Carnegie Mellon University
摘要：In 2007, as American housing markets started to decline, the government-sponsored enterprises dramatically increased their acquisitions of low FICO and high loan-to-value mortgages. By 2008, the agencies had reversed course by decreasing their high-risk acquisitions. I develop a theory in which large lenders temporarily increase high-risk activity at the end of a boom. In the model, lenders with many outstanding mortgages have incentives to extend risky credit to prop up house prices. The incr...
-
作者：Bhutta, Neil; Keys, Benjamin J.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Pennsylvania; National Bureau of Economic Research
摘要：We provide novel evidence of misaligned incentives fueling a portion of the 2000s mortgage boom. We document that private mortgage insurance (PMI) companies expanded insurance issuance on high-risk mortgages purchased by Fannie Mae and Freddie Mac at the tail end of the housing boom, without changing pricing and despite knowledge of heightened housing risk. The expansion of PMI facilitated an unprecedented increase in Fannie and Freddie's risky purchases, extending the mortgage boom into 2007 ...
-
作者：Mitton, Todd
作者单位：Brigham Young University
摘要：I document large variation in empirical methodology in corporate finance regressions in top finance journals. Although methodological variation allows for customization of empirical tests to fit specific theories, it can also enable excessive reporting of statistically significant results. For example, given discretion over 10 routine methodological decisions, a researcher could report that over 70% of randomly generated variables are statistically significant determinants of leverage at the 5...
-
作者：Hendershott, Terrence; Menkveld, Albert J.; Praz, Remy; Seasholes, Mark
作者单位：University of California System; University of California Berkeley; Vrije Universiteit Amsterdam; Arizona State University; Arizona State University-Tempe
摘要：We identify long-lived pricing errors through a model in which inattentive investors arrive stochastically to trade. The model's parameters are structurally estimated using daily NYSE market-maker inventories, retail order flows, and prices. The estimated model fits empirical variances, autocorrelations, and cross-autocorrelations among our three data series from daily to monthly frequencies. Pricing errors for the typical NYSE stock have a standard deviation of 3.2 percentage points and a hal...
-
作者：Gupta, Arpit; Hansman, Christopher
作者单位：New York University; Imperial College London
摘要：We ask whether the correlation between mortgage leverage and default is due to moral hazard (the causal effect of leverage) or adverse selection (ex ante risky borrowers choosing larger loans). We separate these information asymmetries using a natural experiment resulting from the contract structure of option adjustable-rate mortgages and unexpected 2008 divergence of indexes that determine rate adjustments. Our point estimates suggest that moral hazard is responsible for 40% of the correlatio...
-
作者：Krieger, Joshua; Li, Danielle; Papanikolaou, Dimitris
作者单位：Harvard University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Northwestern University
摘要：We provide evidence that risk aversion leads pharmaceutical firms to underinvest in radical innovation. We introduce a new measure of drug novelty based on chemical similarity and show that firms face a risk-reward trade-off: novel drug candidates are less likely to obtain FDA approval but are based on more valuable patents. Consistent with a simple model of costly external finance, we show that a positive shock to firms' net worth leads firms to develop more novel drugs. This suggests that ev...
-
作者：Xu, Qiping; Kim, Taehyun
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Chung Ang University
摘要：This paper documents evidence that financial constraints increase firms' toxic emissions given that firms actively trade off abatement costs against potential legal liabilities. Exploring three quasi-natural experiments in which firms' financial resources are likely exogenously affected, we find that relaxing financial constraints reduces U.S. public firms' toxic releases. The effects of financial constraints on toxic releases are amplified when regulatory enforcement and external monitoring w...
-
作者：Banerjee, Snehal; Breon-Drish, Bradyn
作者单位：University of California System; University of California San Diego
摘要：We study how dynamic research affects information acquisition in financial markets. In our strategic trading model, the trader performs costly research to generate private information but does not always succeed. Optimal research activity responds to market conditions and generates novel implications. First, more frequent public disclosures can crowd in private information acquisition, increase price informativeness, and harm liquidity, instead of leveling the playing field. Second, observed r...
-
作者：Mian, Atif; Sufi, Amir
作者单位：Princeton University; National Bureau of Economic Research; University of Chicago
摘要：Credit supply expansion boosts housing speculation and amplifies the housing cycle. The surge in private-label mortgage securitization in 2003 fueled a large expansion in mortgage credit supply by lenders financed with noncore deposits. Areas more exposed to these lenders experienced a large relative rise in transaction volume driven by a small group of speculators, and these areas simultaneously witnessed an amplified housing boom and bust. Consistent with the importance of belief heterogenei...
