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作者：Bryzgalova, Svetlana; Pavlova, Anna; Sikorskaya, Taisiya
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; University of Chicago
摘要：We propose a model in which arbitrageurs act strategically in markets with entry costs. In a repeated game, arbitrageurs choose to specialize in some markets, which leads to the highest combined profits. We present evidence consistent with our theory from the options market, in which suboptimally unexercised options create arbitrage opportunities for intermediaries. We use transaction-level data to identify the corresponding arbitrage trades. Consistent with the model, only 57% of these opport...
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作者：Hou, Ai Jun; Sarno, Lucio; Ye, Xiaoxia
作者单位：Stockholm University; University of Cambridge; Centre for Economic Policy Research - UK; University of Cambridge; University of Nottingham
摘要：We introduce in the theory of Gabaix and Maggiori (2015) a network structure to capture the complexity of the balance sheets of financial intermediaries, using the Leontief inverse-based centrality. We use this framework in a multi-country world with imperfect financial markets to study how currency risk premia are connected to financiers' risk bearing capacity. Guided by the theory, we construct a Centrality Based Characteristic (CBC), based on the centrality of the trade imbalance network an...
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作者：Schnorpfeil, Philip; Weber, Michael; Hackethal, Andreas
作者单位：Goethe University Frankfurt; Purdue University System; Purdue University; National Bureau of Economic Research
摘要：We study how investors respond to inflation combining a customized survey experiment with trading data at a time of historically high inflation. Investors' beliefs about the stock return-inflation relation are very heterogeneous in the cross section and on average too optimistic. Moreover, many investors appear unaware of inflation-hedging strategies despite being otherwise well-informed about prevailing inflation rates and asset returns. Consequently, whereas exogenous shifts in inflation exp...
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作者：Aiello, Darren; Bernstein, Asaf; Kargar, Mahyar; Lewis, Ryan; Schwert, Michael
作者单位：Brigham Young University; University of Colorado System; University of Colorado Boulder; University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research; University of Pennsylvania
摘要：We study how state pension windfalls affect property prices near state borders, where theory suggests real estate reflects the value of additional public resources. Windfalls, representing a source of state revenue about half the size of total taxes, provide economically significant and plausibly exogenous variation in fiscal conditions. We find that each dollar of pension asset returns increases border house prices by approximately two dollars, suggesting that governments allocate additional ...
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作者：Fama, Eugene F.; French, Kenneth R.
作者单位：University of Chicago; Dartmouth College
摘要：Much of Mike Jensen's research is foundational, including his early publications, which focus on empirical asset pricing. For example, Jensen's alpha, which he developss in Jensen (1968 and 1969) to evaluate mutual fund managers, is the foundation for most measures of investment performance. Similarly, in Fama et al (1969), Jensen and coauthors present the first event study, Thereafter, event studies play a major role in finance, accounting, and legal research. Finally, Black, Jensen, and Scho...
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作者：Laarits, Toomas; Sammon, Marco
作者单位：New York University; Harvard University
摘要：Retail investors trade hard-to-value stocks. We document a large and persistent spread in the stock-level intensity of retail trading, even allowing for known biases in the attribution of retail trades. Stocks with a high share of retail-initiated trades exhibit higher shares of intangible capital, longer duration cash flows, and a higher likelihood of being mispriced. Consistent with retail-favored stocks being harder to value, we document that these stocks are less sensitive to earnings news...
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作者：Diamond, William; Landvoigt, Tim; Sanchez, German Sanchez
作者单位：University of Pennsylvania; National Bureau of Economic Research; University of Pennsylvania
摘要：We analyze interactions between fiscal and monetary stimulus in a new Keynesian model with nominal mortgage debt that can be inflated away. Redistributive transfers are most impactful when followed by a temporary deviation from inflation-targeting monetary policy. Unlike other fiscal policies, redistribution causes inflation even in the absence of long-run debt sustainability problems, and inflating away mortgages results in additional redistribution. In a quantitative model with mortgage refi...
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作者：Fontanier, Paul
作者单位：Yale University
摘要：Should policymakers adapt their macroprudential and monetary policies when the financial sector is vulnerable to belief-driven boom-bust cycles? I develop a model in which financial intermediaries are subject to collateral constraints, and that features a general class of deviations from rational expectations. I show that distinguishing between the drivers of behavioral biases matters for the precise calibration of policy: when biases area function of equilibrium asset prices, as in return ext...
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作者：Cong, Lin William; Mayer, Simon
作者单位：Cornell University; National Bureau of Economic Research; Carnegie Mellon University
摘要：We model the competition between digital forms of fiat money and private digital money. Countries digitize their currencies-by upgrading existing or launching new payment systems (including CBDCs)-to compete with foreign fiat currencies and private digital money. A pecking order emerges: less dominant currencies digitize earlier, reflecting a first-mover advantage; dominant currencies delay digitization until they face competition; the weakest currencies forgo digitization. However, delayed di...
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作者：Huang, Wenqian; Ranaldo, Angelo; Schrimpf, Andreas; Somogyi, Fabricius
作者单位：Bank for International Settlements (BIS); University of Basel; Centre for Economic Policy Research - UK; Northeastern University
摘要：We devise a simple model of liquidity demand and supply to study dealers' liquidity provision in currency markets. Drawing on a globally representative data set of currency trading volumes, we show that at times when dealers' intermediation capacity is constrained the cost of liquidity provision increases disproportionately relative to dealer-intermediated volume. Consequently, the otherwise strong and positive relation between liquidity costs and trading volume diminishes significantly when d...
