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作者：Koetter, Michael; Popov, Alexander
作者单位：Otto von Guericke University; Deutsche Bundesbank; European Central Bank
摘要：We study how political party turnover after German state elections affects banks' lending to the regional government. We find that between 1992 and 2018, party turnover at the state level leads to a sharp and substantial increase in lending by local savings banks to their home-state government. This effect is accompanied by an equivalent reduction in private lending. A statistical association between political party turnover and government lending is absent for comparable cooperative banks tha...
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作者：Kim, Soohun; Korajczyk, Robert A.; Neuhierl, Andreas
作者单位：Korea Advanced Institute of Science & Technology (KAIST); Northwestern University; Washington University (WUSTL)
摘要：We propose a new methodology for forming arbitrage portfolios that utilizes the information contained in firm characteristics for both abnormal returns and factor loadings. The methodology gives maximal weight to risk-based interpretations of characteristics' predictive power before any attribution is made to abnormal returns. We apply the methodology to simulated economies and to a large panel of U.S. stock returns. The methodology works well in our simulation and when applied to stocks. Empi...
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作者：Dow, James; Han, Jungsuk; Sangiorgi, Francesco
作者单位：University of London; London Business School; Stockholm School of Economics; Frankfurt School Finance & Management
摘要：Will arbitrage capital flow into markets experiencing shocks, mitigating adverse effects on price efficiency? Not necessarily. In a dynamic model with privately informed capital-constrained arbitrageurs, price efficiency plays a dual role, determining both the profitability of new arbitrage and the ability to close existing positions profitably. An adverse shock to efficiency lengthens arbitrage duration, effectively reducing the amount of arbitrage capital available for new positions. If this...
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作者：Roussanov, Nikolai; Ruan, Hongxun; Wei, Yanhao
作者单位：University of Pennsylvania; National Bureau of Economic Research; Peking University; University of Southern California
摘要：Marketing and distribution expenses are responsible for about one-third of the cost of active management in the mutual fund industry. Estimating a structural model with costly investor search and learning about fund skill, we find that marketing is nearly as important as performance and fees in determining fund size. Eliminating marketing substantially improves welfare: capital shifts toward cheaper funds and competition decreases fees; active funds shrink and capital allocation becomes more c...
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作者：Kandrac, John; Schlusche, Bernd
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We exploit an exogenous reduction in bank supervision and examination to demonstrate a causal effect of supervisory oversight on financial institutions' risk taking. The additional risk took the form of risky lending, faster asset growth, and a greater reliance on low-quality capital. This response to less oversight boosted banks' odds of failure. Lastly, we show that the reduction in oversight capacity led to more costly failures because there were longer delays in closing insolvent instituti...
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作者：Infante, Sebastian; Vardoulakis, Alexandros P.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This paper models an unexplored source of liquidity risk large broker-dealers face: a withdrawal of collateral providers. By setting different contracting terms on repurchase agreements with cash borrowers and lenders, dealers can source funds for their own activities. Cash borrowers internalize the risk of losing their collateral in case their dealer defaults, prompting them to withdraw it. This incentive creates strategic complementarities among collateral providers, reducing a dealer's liqu...
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作者：Andreasen, Martin M.; Engsted, Tom; Moller, Stig, V; Sander, Magnus
作者单位：Aarhus University; CREATES; Danish Finance Institute
摘要：This paper uncovers that expected excess bond returns display a positive correlation with the slope of the yield curve (i.e., yield spread) in expansions but a negative correlation in recessions. We use a macro-finance term structure model with different market prices of risk in expansions and recessions to show that a very accommodating monetary policy in recessions is a key driver of this switch in return predictability.
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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：Anand, Amber; Jotikasthira, Chotibhak; Venkataraman, Kumar
作者单位：Syracuse University; Southern Methodist University
摘要：We explore the link between mutual funds and fragility risk in the corporate bond market. We classify a fund's trading style based on its responses to signals of large dealer inventories. Trading style is persistent and the majority of funds demand liquidity. Notably, a subset of funds earn positive alpha by intentionally supplying liquidity during periods of sustained customer selling (with transitory price effects). Liquidity-supplying funds maintain their relative trading style when facing ...
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作者：Brogaard, Jonathan; Denes, Matthew; Duchin, Ran
作者单位：Utah System of Higher Education; University of Utah; Carnegie Mellon University; Boston College
摘要：This paper provides novel evidence that corporate political influence operates through renegotiations of existing government contracts. Using detailed data on contractual terms and renegotiations around sudden deaths and resignations of local politicians, the estimates show that politically connected firms initially bid low and successfully renegotiate contract amounts, deadlines, and incentives. The effects hold across different industries and contract types, enhance firm value, and persist a...
