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作者：Babina, Tania; Bahaj, Saleem; Buchak, Greg; De Marco, Filippo; Foulis, Angus; Gornall, Will; Mazzola, Francesco; Yu, Tong
作者单位：University System of Maryland; University of Maryland College Park; National Bureau of Economic Research; Centre for Economic Policy Research - UK; University of London; University College London; Bank of England; Stanford University; Bocconi University; University of British Columbia; heSam Universite; ESCP Business School; Imperial College London
摘要：Open banking (OB) empowers bank customers to share their financial transaction data with fintechs and other banks. New cross-country data shows 49 countries adopted OB policies, privacy preferences predict policy adoption, and adoption spurs fintech entry. UK microdata shows that OB enables: (i) consumers to access both financial advice and credit; (ii) SMEs to establish new lending relationships. In a calibrated model, OB universally improves welfare through entry and product improvements whe...
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作者：Jermann, Urban; Xiang, Haotian
作者单位：University of Pennsylvania; National Bureau of Economic Research; Peking University
摘要：We study capital regulation in a dynamic model for bank deposits. Capital regulation addresses banks' incentive for excessive leverage that dilutes depositors, but preserves some dilution to reduce bank defaults. We show theoretically that capital regulation is subject to a time inconsistency problem. In a model with non-maturing deposits where optimal withdrawals make deposits endogenously long-term, we find commitment to have important effects on the optimal level and cyclicality of capital ...
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作者：Altavilla, Carlo; Ellul, Andrew; Pagano, Marco; Polo, Andrea; Vlassopoulos, Thomas
作者单位：European Central Bank; Centre for Economic Policy Research - UK; Indiana University System; Indiana University Bloomington; European Corporate Governance Institute; University of Naples Federico II; Luiss Guido Carli University
摘要：Do banks extending government-guaranteed loans simultaneously reduce their risk exposure to firms? Using unique euro-area credit register data and the COVID-19 guarantee programs as a laboratory, we find that 1 euro of guaranteed lending was associated with a reduction of 28 cents in non-guaranteed credit, relative to other banks lending to the same firm. Substitution was highest for riskier and smaller firms in more affected sectors and for stronger banks. Nevertheless, banks offered cheaper ...
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作者：Jiao, Feng; Sarkissian, Sergei; Schumacher, David
作者单位：University of Lethbridge; McGill University; University of Edinburgh
摘要：Using global mutual fund and American Depositary Receipt (ADR) data, we test if funds strategically trade crosslisted firms' equity shares in the most liquid trading location. We find that especially funds that score high on traditional skill measures exhibit a liquidity-based trading venue preference. We identify an informed trading motive as the most likely driver for such behaviour rather than preference based on geographic, economic, cultural, or governance motives. Thus, liquidity picking...
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作者：Jansen, Mark; Nagel, Fabian; Yannelis, Constantine; Zhang, Anthony Lee
作者单位：Utah System of Higher Education; University of Utah; Stanford University; University of Cambridge; University of Chicago
摘要：We show how to measure the welfare effects arising from increased data availability. When lenders have more data on prospective borrower costs, they can charge prices that are more aligned with these costs. This increases total social welfare and transfers surplus across borrower types. We show that under certain assumptions the magnitudes of these welfare changes can be estimated using only quantity and price data. Applying our methodology to bankruptcy flag removal, we find that in a counter...
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作者：Hu, Danqi; Jones, Charles M.; Zhang, Xiaoyan; Zhang, Xinran
作者单位：Peking University; Columbia University; Tsinghua University; Central University of Finance & Economics
摘要：Using 2015-2019 intraday short sale data from CBOE, we show that shorting flows near the open, middle, and close all negatively predict future returns, but the shorting flows near the open and middle have stronger predictive power than shorting flows near the close. We relate our findings to three informed trading models with different predictions on the timing of the trades. The long term predictive power of shorting flows near the open and midday is consistent with Kyle's (1985) model of ste...
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作者：Bekaert, Geert; Bergbrant, Mikael; Kassa, Haimanot
作者单位：Columbia University; Centre for Economic Policy Research - UK; St. John's University; University System of Ohio; Miami University
摘要：We use close to 80 million daily returns for more than 19,000 CRSP listed firms to establish the best forecasting model for realized idiosyncratic variances. Comparing forecasts from multiple models, we find that the popular martingale model performs worst. Using the root-mean-squared-error (RMSE) to judge model performance, ARMA(1,1) models perform the best for about 46 % of the firms in out-of-sample tests. The ARMA(1,1) model delivers an average RMSE that is statistically significantly lowe...
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作者：Beshears, John; Choi, James J.; Clayton, Christopher; Harris, Christopher; Laibson, David; Madrian, Brigitte C.
作者单位：National Bureau of Economic Research; Yale University
摘要：We study the socially optimal level of illiquidity in an economy populated by households with taste shocks and present bias with naive beliefs. The government chooses mandatory contributions to accounts, each with a different pre-retirement withdrawal penalty. Collected penalties are rebated lump sum. When households have homogeneous present bias, beta, the social optimum is well approximated by a single account with an early-withdrawal penalty of 1 - beta. When households have heterogeneous p...
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作者：Golez, Benjamin; Matthies, Ben
作者单位：University of Notre Dame; University of Notre Dame
摘要：Do investors interpret central bank target rate decisions as signals about the current state of the economy? We study this question using a short-term equity asset that entitles the owner to the near-term dividends of the aggregate stock market. We develop a stylized model of monetary policy and the equity term structure and derive tests of Fed information effects using the short-term asset announcement return. Consistent with the existence of information effects, we find that the short-term a...
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作者：Xu, Nancy R.; You, Yang
作者单位：Boston College; University of Hong Kong
摘要：We propose a fiscal policy expectations mechanism. When bad macro news arrives (in our study, when initial jobless claims (IJC) are higher than expected), investors may expect more generous government spending and drive up aggregate stock prices through the expected cash flow channel. Using a time-series sample from January 2013 to March 2021, we find that this phenomenon emerges when newspapers mention fiscal policy more. In the cross section, firms expected to receive more government spendin...
