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作者：Garleanu, Nicolae; Panageas, Stavros; Yu, Jianfeng
作者单位：National Bureau of Economic Research; University of California System; University of California Los Angeles; Tsinghua University
摘要：We propose a tractable model of an informationally inefficient market featuring nonrevealing prices, general preferences and payoff distributions, but not noise traders. We show the equivalence between our model and a substantially simpler one in which investors face distortionary investment taxes depending on both their identity and the asset class. This equivalence allows us to account for such phenomena as underdiversification. We further employ the model to assess approaches to performance...
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作者：Hernando-Veciana, Angel; Troge, Michael
作者单位：Durham University; heSam Universite; ESCP Business School
摘要：Interbanking rates were, until recently, based on judgmental estimates of borrowing costs. We interpret this as a cheap-talk game that allowed banks to communicate nonverifiable information about their opportunity cost to potential counterparties. Under normal market conditions there is a welfare maximizing equilibrium where banks truthfully disclose their borrowing cost, but, in times of financial stress, only coarse equilibria survive. We take this prediction to the data and show that banks ...
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作者：Xiao, Kairong
作者单位：Columbia University
摘要：I find that shadow bank money creation significantly expands during monetary-tightening cycles. This shadow banking channel offsets reductions in commercial bank deposits and dampens the impact of monetary policy. Using a structural model of bank competition, I show that the difference in depositor clienteles quantitatively explains banks' different responses to monetary policy. Facing a more yield-sensitive clientele, shadow banks are more likely to pass through rate hikes to depositors, ther...
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作者：Levi, Yaron; Welch, Ivo
作者单位：University of Southern California; University of California System; University of California Los Angeles
摘要：Our paper explores whether a symmetric plain or an asymmetric down-beta is a better hedging measure (Roy 1952; Markowitz 1959). Unlike Ang, Chen, and Xing (2006) and Lettau, Maggiori, and Weber (2014), we find that the prevailing plain market beta is the better predictor, even for crashes. It also predicts the subsequent down-beta (i.e., beta measured only on days when the stock market had declined) better than down-beta itself. Stocks with higher down-betas ex ante also do not earn higher ave...
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作者：Lin, Leming
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：I show that households' demand for retail deposits decreases during stock market booms, which induces a contraction in bank lending and a decrease in real activity in bank-dependent firms. I identify this channel using geographic heterogeneity in households' stock market participation. Banks in areas with greater stock ownership see a greater reduction in deposit growth when stock returns are high. This holds even across branches of the same bank and across ZIP codes within counties. Counties ...
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作者：Chen, Xuanjuan; Higgins, Eric; Xia, Han; Zou, Hong
作者单位：Shanghai University of Finance & Economics; Kansas State University; University of Texas System; University of Texas Dallas; University of Hong Kong
摘要：We show that installing stronger risk management into financial institutions-a proposal widely discussed following the 2008 financial crisis-is insufficient to constrain institutions' exposure to investment with lurking risk, such as asset-backed securities (ABS). Regulations affect the functioning of risk management: risk management constrains institutions' exposure to risky ABS when they face mark-to-market reporting combined with capital requirements; however, this role is considerably weak...
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作者：Haliassos, Michael; Jansson, Thomas; Karabulut, Yigitcan
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作者：Weitzel, Utz; Huber, Christoph; Huber, Juergen; Kirchler, Michael; Lindner, Florian; Rose, Julia
作者单位：Vrije Universiteit Amsterdam; Radboud University Nijmegen; University of Innsbruck; Max Planck Society
摘要：The efficiency of financial markets and their potential to produce bubbles are central topics in academic and professional debates. Yet, little is known about the contribution of financial professionals to price efficiency. We run 116 experimental markets with 412 professionals and 502 students. We find that professional markets with bubble drivers - capital inflows or high initial capital supply - are susceptible to bubbles, although they are more efficient than student markets. In mixed mark...
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作者：Kara, Gazi I.; Ozsoy, S. Mehmet
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Ozyegin University
摘要：We examine the optimal design of and interaction between capital and liquidity regulations. Banks, not internalizing fire sale externalities, overinvest in risky assets and underinvest in liquid assets in the competitive equilibrium. Capital requirements can alleviate the inefficiency, but banks respond by decreasing their liquidity ratios. When capital requirements are the only available tool, the regulator tightens them to offset banks' lower liquidity ratios, leading to fewer risky assets a...
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作者：Goncalves, Andrei S.; Xue, Chen; Zhang, Lu
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University System of Ohio; University of Cincinnati; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：A detailed treatment of aggregation and capital heterogeneity substantially improves the performance of the investment CAPM. Firm-level predicted returns are constructed from firm-level accounting variables and aggregated to the portfolio level to match with portfolio-level stock returns. Working capital forms a separate productive input besides physical capital. The model simultaneously fits the value, momentum, investment, and profitability premiums and partially explains positive stock-fund...
