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作者：Kuong, John Chi-Fong
作者单位：INSEAD Business School
摘要：This paper shows that collateralized short-term debt, although privately optimal for reducing borrowers' risk-taking incentives, can induce fragility (multiple equilibria). Despite sequential-service property being absent in collateralized debt, such as repurchase agreements, a systemic run can arise, featuring large increases in default risks, fire-sale discounts of collateral, cost of credit, and amount of credit rationing. Asset price guarantees, leverage caps, and central clearing promote ...
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作者：Caballero, Ricardo J.; Simsek, Alp
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：We theoretically investigate the interaction of endogenous risk intolerance and monetary policy following a large recessionary shock. As asset prices dip, risk-tolerant agents' wealth share declines. This decline reduces the market's risk tolerance and triggers a downward loop in asset prices and aggregate demand when the interest rate policy is constrained. In this context, large-scale asset purchases are effective because they transfer unwanted risk to the government's balance sheet. These e...
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作者：Kacperczyk, Marcin; Sundaresan, Savitar; Wang, Tianyu
作者单位：Imperial College London; Center for Economic & Policy Research (CEPR); Tsinghua University
摘要：We study the impact of foreign institutional investors on price efficiency with firm-level international data. Using additions to the MSCI index and the U.S. Jobs and Growth Tax Relief Reconciliation Act as exogenous shocks to foreign ownership, we show that greater foreign ownership increases stock price informativeness, especially in developed economies. This increase arises from new information that foreign investors bring in and displacement of less-informed domestic retail investors. Fina...
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作者：Bednarek, Peter; te Kaat, Daniel Marcel; Ma, Chang; Rebucci, Alessandro
作者单位：Deutsche Bundesbank; University of Groningen; Fudan University; Johns Hopkins University; Centre for Economic Policy Research - UK; National Bureau of Economic Research
摘要：We study how capital flows affects German cities' GDP growth depending on the state of their real estate markets. Identification exploits a policy framework assigning refugees to cities on a quasi-random basis and variation in nondevelopable area for the construction of an exposure measure to real estate market tightness. We estimate that the most exposed cities to real estate market tightness grew at least 1.9 percentage points more than the least exposed ones, cumulatively, from 2009 to 2014...
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作者：Ait-Sahalia, Yacine; Li, Chenxu; Li, Chen Xu
作者单位：Princeton University; National Bureau of Economic Research; Peking University; Renmin University of China
摘要：This paper proposes implied stochastic volatility models designed to fit option-implied volatility data and implements a new estimation method for such models. The method is based on explicitly linking observed shape characteristics of the implied volatility surface to the coefficient functions that define the stochastic volatility model. The method can be applied to estimate a fully flexible nonparametric model, or to estimate by the generalized method of moments any arbitrary parametric stoc...
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作者：Kalmenovitz, Joseph
作者单位：Drexel University
摘要：I study how promotion incentives within the public sector affect financial regulation. I assemble individual data for all SEC enforcement attorneys between 2002 and 2017, including enforcement cases, salaries, and ranks. Consistent with tournament model, attorneys with stronger promotion incentives are involved in more enforcement, especially against severe misconduct, and in tougher settlement terms. For identification, I rely on cross-sectional tests within offices and ranks and on exogenous...
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作者：Cong, Lin William; Li, Ye; Wang, Neng
作者单位：Cornell University; University System of Ohio; Ohio State University; Columbia University; National Bureau of Economic Research
摘要：We develop a dynamic asset pricing model of cryptocurrencies/tokens that allow users to conduct peer-to-peer transactions on digital platforms. The equilibrium price of tokens is determined by aggregating heterogeneous users' transactional demand, rather than discounting cash flows as is done in standard valuations models. Endogenous platform adoption builds on user network externality and exhibits an S-curve: it starts slow, becomes volatile, and eventually tapers off. The introduction of tok...
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作者：Huang, Shiyang; O'Hara, Maureen; Zhong, Zhuo
作者单位：University of Hong Kong; Cornell University; University of Melbourne
摘要：We empirically examine the impact of industry exchange-traded funds (IETFs) on informed trading and market efficiency. We find that IETF short interest spikes simultaneously with hedge fund holdings on the member stock before positive earnings surprises, reflecting long-the-stock/short-the-ETF activity. This pattern is stronger among stocks with high industry risk exposure. A difference-in-difference analysis on the ETF inception event shows that IETFs reduce post-earnings-announcement drift m...
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作者：Ilhan, Emirhan; Sautner, Zacharias; Vilkov, Grigory
作者单位：Frankfurt School Finance & Management
摘要：Strong regulatory actions are needed to combat climate change, but climate policy uncertainty makes it difficult for investors to quantify the impact of future climate regulation. We show that such uncertainty is priced in the option market. The cost of option protection against downside tail risks is larger for firms with more carbon-intense business models. For carbon-intense firms, the cost of protection against downside tail risk is magnified at times when the public's attention to climate...
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作者：Miller, Sarah; Soo, Cindy K.
作者单位：University of Michigan System; University of Michigan
摘要：This paper isolates the causal impact of neighborhood environment on the credit outcomes of low-income borrowers by analyzing the participants of the Moving to Opportunity (MTO) experiment. MTO was a unique, large-scale experiment that offered families vouchers to move to better neighborhoods via randomized lottery. We find higher credit scores and use among those required to move to the lowest poverty areas as young children. For those who moved as adults, we find that better neighborhoods le...
