-
作者：Lowry, Michelle; Rossi, Marco; Zhu, Zhongyan
作者单位：Drexel University; Texas A&M University System; Texas A&M University College Station; Monash University
摘要：Strong conflicts of interest exist within investment banks: the investment banking division possesses substantial private information, and the asset management division seeks such information. This raises the question of whether the asset management division benefits from an information advantage on client firms. While prior examinations of advisor bank trading in client firms have focused on stocks and found mixed results, we argue that the options market represents a more attractive venue fo...
-
作者：Kacperczyk, Marcin; Pagnotta, Emiliano S.
作者单位：Imperial College London; Center for Economic & Policy Research (CEPR)
摘要：Using over 5,000 trades unequivocally based on nonpublic information about firm fundamentals, we find that asymmetric information proxies display abnormal values on days with informed trading. Volatility and volume are abnormally high, whereas illiquidity is low, in equity and option markets. Daily returns reflect the sign of private signals, but bid-ask spreads are lower when informed investors trade. Market makers' learning under event uncertainty and limit orders help explain these findings...
-
作者：Benmelech, Efraim; Bergman, Nittai; Milanez, Anna; Mukharlyamov, Vladimir
作者单位：Northwestern University; National Bureau of Economic Research; Tel Aviv University; Organisation for Economic Co-operation & Development (OECD); Georgetown University
摘要：This paper identifies a new channel through which bankrupt firms undergoing liquidation impose negative externalities on their nonbankrupt peers. The liquidation of a retail chain weakens the economies of agglomeration in any given local area, reducing the attractiveness of retail centers for remaining stores and leading to contagion of financial distress. We find that firms with greater geographic exposure to bankrupt retailers are more likely to close stores in affected areas. We further sho...
-
作者：Bolton, Patrick; Oehmke, Martin
作者单位：Columbia University; University of London; London School Economics & Political Science
摘要：We study the resolution of global banks by national regulators. Single-point-of-entry (SPOE) resolution, where loss-absorbing capital is shared across jurisdictions, is efficient but faces implementation constraints. First, when expected transfers across jurisdictions are too asymmetric, national regulators fail to set up SPOE resolution ex ante. Second, when required ex post transfers are too large, national regulators ring-fence assets instead of cooperating in SPOE resolution. In this case,...
-
作者：Lian, Chen; Ma, Yueran; Wang, Carmen
作者单位：Massachusetts Institute of Technology (MIT); University of Chicago; Harvard University
摘要：How do low interest rates affect investor behavior? We demonstrate that individuals reach for yield, that is, have a greater appetite for risk-taking when interest rates are low. Using randomized investment experiments holding fixed risk premiums and risks, we show low interest rates lead to significantly higher allocations to risky assets among diverse populations. The behavior is not easily explained by conventional portfolio choice theory or institutional frictions. We then propose and prov...
-
作者：Boudoukh, Jacob; Feldman, Ronen; Kogan, Shimon; Richardson, Matthew
作者单位：Reichman University; Hebrew University of Jerusalem; Massachusetts Institute of Technology (MIT); New York University; National Bureau of Economic Research
摘要：What moves stock prices? Prior literature concludes that the revelation of private information through trading, and not public news, is the primary driver. We revisit the question by using textual analysis to identify fundamental information in news. We find that this information accounts for 49.6% of overnight idiosyncratic volatility (vs. 12.4% during trading hours), with a considerable fraction due to days with multiple news types. We use our measure of public information arrival to reinves...
-
作者：Johnson, Eric J.; Meier, Stephan; Toubia, Olivier
作者单位：Columbia University
摘要：Failing to refinance a mortgage can cost a borrower thousands of dollars. Based on administrative data from a large financial institution, we show that around 50% of borrowers leave thousands of dollars on the table by not refinancing. Survey data indicate that, among all the behavioral factors examined, only suspicion of banks' motives is consistently related to the probability of accepting a refinancing offer. Finally, we report the results of three field experiments showing that enticing of...
-
作者：Skrastins, Janis; Vig, Vikrant
作者单位：Washington University (WUSTL); University of London; London Business School
摘要：We exploit a variation in organizational hierarchy induced by a reorganization plan implemented in roughly 2,000 bank branches in India. We do so to investigate how organizational hierarchy affects the allocation of credit. We find that increased hierarchization of a branch induces credit rationing, reduces loan performance, and generates standardization in loan contracts. Additionally, we find that hierarchical structures perform better in environments characterized by a high degree of corrup...
-
作者：Heider, Florian; Saidi, Farzad; Schepens, Glenn
作者单位：European Central Bank; Stockholm School of Economics
摘要：We show that negative policy rates affect the supply of bank credit in a novel way. Banks are reluctant to pass on negative rates to depositors, which increases the funding cost of high-deposit banks, and reduces their net worth, relative to low-deposit banks. As a consequence, the introduction of negative policy rates by the European Central Bank in mid-2014 leads to more risk-taking and less lending by euro-area banks with a greater reliance on deposit funding. Our results suggest that negat...
-
作者：Weller, Brian M.
作者单位：Duke University
摘要：I exploit information in the cross-section of bid-ask spreads to develop a new measure of extreme event risk. Spreads embed tail risk information because liquidity providers require compensation for the possibility of sharp changes in asset values. I show that simple regressions relating spreads and trading volume to factor betas recover this information and deliver high-frequency tail risk estimates for common factors in stock returns. My methodology disentangles financial and aggregate marke...
