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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...
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作者：Mclean, R. David; Pontiff, Jeffrey; Reilly, Christopher
作者单位：Boston College; University of Texas System; University of Texas Dallas
摘要：We assess how nine different categories of market participants trade relative to a comprehensive forecastedreturn variable based on 193 predictors. Firms and short sellers tend to be the smart money-both sell stocks with low-forecasted returns, and their trades predict returns in the intended direction. Retail investors trade against forecasted returns. Retail investors' and institutions' trades predict returns opposite to the intended direction. This poor trading performance is driven by trad...
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作者：Brugler, James; Khomyn, Marta; Putnins, Talis
作者单位：University of Melbourne; Adelaide University; University of Adelaide; University of Technology Sydney
摘要：Financial benchmarks such as LIBOR underpin the pricing of trillions of dollars of contracts around the world. We evaluate the quality of benchmark prices using a state-space model to separate information from noise. Applying the method to LIBOR benchmarks and their replacements, we find that alternative reference rates (ARRs) are less noisy in four of the five currencies. However, the USD ARR is considerably more noisy, resulting in billions of dollars of noise-related wealth transfers betwee...
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作者：Auer, Raphael; Monnet, Cyril; Shin, Hyun Song
作者单位：University of Bern; Study Center Gerzensee
摘要：Distributed ledgers promise to enable the classical vision of money as a universal transaction record. But is it ever optimal to update a ledger through decentralized consensus? Analyzing an exchange economy with credit, we show that centralized updating is optimal when long-term rewards are more valued, minimizing redundant validation costs and maximizing economic surplus. Decentralization becomes preferable under weaker intertemporal incentives and when validators are drawn from market parti...
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作者：Randl, Otto; Simion, Giorgia; Zechner, Josef
作者单位：Vienna University of Economics & Business
摘要：This paper derives a stochastic discount factor for currency-hedged government bonds of developed markets by projecting returns onto the unconditional mean-variance efficient (UMVE) portfolio. Priced risks of international bonds differ fundamentally from those of currencies. The UMVE portfolio achieves a Sharpe ratio over twice the average of individual markets, with the market price of risk peaking during crises and periods with high inflation dispersion. While bond returns exhibit a strong f...
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作者：Honigsberg, Colleen; Hu, Edwin; Jackson Jr, Robert J.
作者单位：University of Virginia; New York University
摘要：The regulatory framework for financial advisors is fragmented, with multiple state and federal regulators. Prior empirical literature on financial advisors has largely focused on a single subset of financial advisors, but we create a database containing brokers regulated primarily by FINRA, investment advisers regulated by the SEC or state securities regulators, and insurance producers regulated by state insurance regulators. There is significant overlap across the regimes; more than 40% of th...
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作者：Chen, Huaizhi
作者单位：University of Notre Dame
摘要：I show that as a portfolio's value concentration increases, actively managed portfolios predictably trim large positions, maintaining a level of practical diversification. This rebalancing channel is concentrated at thresholds implied by regulatory guidelines and by a fund's own risk management histories. Since larger stocks are typically held widely and in large weights, they experience a coordinated contrarian trading demand that originates from this form of risk management. Diversification ...
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作者：Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide
作者单位：Goethe University Frankfurt; Universita Ca Foscari Venezia; New York University; New York University; University of Virginia
摘要：We explore whether Quantitative Easing (QE) negatively affected the functioning of the treasury market. Focusing on the arbitrage between European sovereign bonds and their futures contracts, we show that the scarcity of treasuries created by QE led to a disconnect between the prices of identical assets. We identify three channels: reduced bond market liquidity, increased funding costs in the repo market, and a higher cost of carry. A change in a policy instrument allows us to identify scarcit...
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作者：Stulz, Rene M.
作者单位：University System of Ohio; Ohio State University; European Corporate Governance Institute
摘要：This paper assesses the contributions of Michael C. Jensen to financial economics and to American business. His work on agency theory is the cornerstone of modern corporate finance. He influenced how American business operates by helping make the internal and external governance of firms more efficient. He changed how knowledge in financial economics is diffused both through the founding of the Journal of Financial Economics and of the Social Science Research Network. I question the claim made...
