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作者：Weagley, Daniel
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：I examine the effect of financial sector stress on risk sharing in a novel setting: the CME's weather derivatives market. The structure of the market allows me to disentangle price movements due to financial sector stress from price movements due to fundamentals. Contracts, which are typically priced near their actuarially fair value, experience significant price declines during periods of financial sector stress. Contracts with greater margin requirements and total risk are the most affected....
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作者：Breugem, Matthijs; Buss, Adrian
作者单位：Collegio Carlo Alberto; INSEAD Business School; Centre for Economic Policy Research - UK
摘要：We study the joint portfolio and information choice problem of institutional investors who are concerned about their performance relative to a benchmark. Benchmarking influences information choices through two distinct economic mechanisms. First, benchmarking reduces the number of shares in investors' portfolios that are sensitive to information. Hence, the value of private information declines. Second, benchmarking limits investors' willingness to speculate. This not only reduces the value of...
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作者：Jayaraman, Sudarshan; Wu, Joanna Shuang
作者单位：University of Rochester
摘要：Mandatory disclosure provides benefits, but it also entails costs. One cost concerns managerial learning: by discouraging informed trading, disclosure could reduce managers' ability to glean decision-relevant information from prices. Using mandatory segment reporting in the United States, we uncover a reduction in investment-q sensitivity, indicating lower investment efficiency after regulation. Consistent with learning, lower sensitivity is concentrated in firms with more informed trading and...
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作者：Pennacchi, George; Tchistyi, Alexei
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：Initial proposals for contingent convertibles (CoCos) envisioned that these bonds would convert to equity when the issuing bank's stock price declined to a prespecified trigger. Subsequent research has claimed that doing so causes the stock price to have multiple equilibria or no equilibrium. We show that when CoCos are perpetuities, which characterizes most actual CoCos, a unique stock price equilibrium exists, except under unrealistic conditions. Unique equilibria occur when conversion favor...
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作者：Hanson, Samuel G.; Scharfstein, David S.; Sunderam, Adi
作者单位：Harvard University
摘要：We develop a model of government portfolio choice in which the government chooses the scale of risky projects in the presence of market failures and tax distortions. These frictions motivate the government to manage social risk and fiscal risk. Social risk management favors programs that ameliorate market failures in bad times. Fiscal risk management makes unattractive programs involving large government outlays when other government programs also require large outlays. These two risk manageme...
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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,...
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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...
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作者：Harford, Jarrad; Jiang, Feng; Wang, Rong; Xie, Fei
作者单位：University of Washington; University of Washington Seattle; State University of New York (SUNY) System; University at Buffalo, SUNY; Singapore Management University; University of Delaware
摘要：Analysts strategically allocate more effort to portfolio firms that are relatively more important to their careers. Thus, the other firms the analysts cover indirectly affect a firm's information environment. Controlling for analyst and firm characteristics, we find that an analyst makes more accurate, frequent, and informative earnings forecasts and recommendations for firms ranked higher within her portfolio based on proxies for importance to institutions. A firm's relative rank widely varie...
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作者：Ahnert, Toni; Anand, Kartik; Gai, Prasanna; Chapman, James
作者单位：Bank of Canada; Deutsche Bundesbank; University of Auckland
摘要：We model asset encumbrance by banks subject to rollover risk and study the consequences for fragility, funding costs, and prudential regulation. A bank's privately optimal encumbrance choice balances the benefit of expanding profitable, yet illiquid, investment funded by cheap long-term senior secured debt, against the cost of greater fragility from runs on unsecured debt. We derive testable implications about encumbrance ratios. The introduction of deposit insurance or wholesale funding guara...
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作者：Kocher, Martin G.; Lucks, Konstantin E.; Schindler, David
作者单位：University of Vienna; University of Gothenburg; University of Munich; Tilburg University
摘要：One explanation for overpricing on asset markets is a lack of traders' self-control. We implement the first experiment to address the causal relationship between self-control and systematic overpricing on financial markets. Our setup detects some of the channels through which low individual self-control could transmit into irrational exuberance in markets. Our data indicate a large direct effect of reduced self-control on market overpricing. Low self-control traders report stronger emotions af...
