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作者：Chernov, Mikhail; Dunn, Brett R.; Longstaff, Francis A.
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：We develop a three-factor no-arbitrage model for valuing mortgage-backed securities in which we solve for the implied prepayment function from the cross-section of market prices. This model closely fits the cross-section of mortgage-backed security prices without needing to specify an econometric prepayment model. We find that implied prepayments are generally higher than actual prepayments, providing direct evidence of significant macroeconomic-driven prepayment risk premiums in mortgage-back...
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作者：Van Bekkum, Sjoerd; Gabarro, Marc; Irani, Rustom M.
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of Mannheim; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We examine a change in the European Central Bank's collateral framework, which significantly lowered the rating requirement for eligible residential mortgage-backed securities (RMBS), and its impact on bank lending and risk-taking in the Netherlands. Banks most affected by the policy increase loan supply and lower interest rates on new mortgage originations. These lower-interest-rate loans serve as collateral for newly issued RMBS with lower-rated tranches and subsequently experience worse rep...
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作者：Han, Song; Keys, Benjamin J.; Li, Geng
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Pennsylvania; National Bureau of Economic Research
摘要：This paper explores the dynamics of unsecured credit supply over the recent credit cycle and around the passage of the CARD Act. We examine a unique data set of over 200,000 credit card mail solicitations to a representative sample of households and introduce credit card offers as a direct, informative measure of supply of such credit. Contrasting personal credit card offer dynamics before and after the passage of the CARD Act with those of personal loans, auto loans, and corporate credit card...
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作者：Gete, Pedro; Zecchetto, Franco
作者单位：Georgetown University; IE University; Instituto Tecnologico Autonomo de Mexico
摘要：We analyze the removal of the credit-risk guarantees provided by the government-sponsored enterprises (GSEs) in a model with agents heterogeneous in income and house price risk. We find that wealth inequality increases, driven by higher mortgage spreads and housing rents. Housing holdings become more concentrated. Foreclosures fall. The removal benefits high-income households, while hurting low-and mid-income households (renters and highly leveraged mortgagors with conforming loans). GSE refor...
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作者：Brueggemann, Ulf; Kaul, Aditya; Leuz, Christian; Werner, Ingrid M.
作者单位：Humboldt University of Berlin; University of Alberta; University of Chicago; National Bureau of Economic Research; University System of Ohio; Ohio State University
摘要：Studying a comprehensive sample of stocks from the U.S. OTC market, we show that this market is a large and diverse trading environment with a rich set of regulatory and disclosure regimes, comprising venue rules and state laws beyond SEC regulation. We exploit this institutional richness to show that OTC firms subject to stricter regulatory regimes and disclosure requirements have higher market quality (higher liquidity and lower crash risk). Our analysis points to an important trade-off in r...
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作者：Christoffersen, Peter; Goyenko, Ruslan; Jacobs, Kris; Karoui, Mehdi
作者单位：University of Toronto; Copenhagen Business School; McGill University; University of Houston System; University of Houston
摘要：Standard option valuation models leave no room for option illiquidity premia. Yet we find the risk-adjusted return spread for illiquid over liquid equity options is 3.4% per day for at-the-money calls and 2.5% for at-the-money puts. These premia are computed using option illiquidity measures constructed from intraday effective spreads for a large panel of U.S. equities, and they are robust to different empirical implementations. Our findings are consistent with evidence that market makers in t...
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作者：Gerardi, Kristopher; Herkenhoff, Kyle F.; Ohanian, Lee E.; Willen, Paul S.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; University of Minnesota System; University of Minnesota Twin Cities; University of California System; University of California Los Angeles; Arizona State University; Arizona State University-Tempe; Federal Reserve System - USA; Federal Reserve Bank - Boston
摘要：This paper uses new data from the PSID to quantify the relative importance of negative equity versus ability to pay, in driving mortgage defaults between 2009 and 2013. These data allow us to construct household budgets sets that provide better measures of ability to pay. Changes in ability to pay have large estimated effects. Job loss has an equivalent effect on the propensity to default as a 35% decline in equity. Strategic motives are also found to be quantitatively important, as we estimat...
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作者：Gine, Xavier; Kanz, Martin
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作者：Chen, Hui; Cui, Rui; He, Zhiguo; Milbradt, Konstantin
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; University of Chicago; Northwestern University
摘要：We develop a structural credit model to examine how interactions between default and liquidity affect corporate bond pricing. The model features debt rollover and bond-price-dependent holding costs. Over the business cycle and in the cross-section, the model matches average default rates and credit spreads in the data, and captures variations in bid-ask and bond-CDS spreads. A structural decomposition reveals that default-liquidity interactions can account for 10%-24% of the level of credit sp...
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作者：Campello, Murillo; Gao, Janet; Qiu, Jiaping; Zhang, Yue
作者单位：Cornell University; National Bureau of Economic Research; Indiana University System; Indiana University Bloomington; McMaster University; Universite Catholique Louvain
摘要：Unionized workers are entitled to special treatment in bankruptcy court that can be detrimental to other corporate stakeholders, with unsecured creditors standing to lose the most. Using data on union elections, we employ a regression discontinuity design to identify the effect of worker unionization on bondholders in bankruptcy states. Closely won union elections lead to significant bond value losses, especially when firms approach bankruptcy, have underfunded pension plans, and operate in no...
