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作者：Kuong, John Chi-Fong; O'Donovan, James; Zhang, Jinyuan
作者单位：Chinese University of Hong Kong; City University of Hong Kong; University of California System; University of California Los Angeles
摘要：We document aggregate outflows from corporate bond mutual funds days before and after the announcement of increases in the Federal Funds Target rate (FFTar). To rationalize this phenomenon, we build a model in which funds' net-asset-values (NAVs) are stale and investors strategically redeem to profit from the mispricing when they learn about the increases of FFTar. Consistent with the model's predictions, we find that stale NAVs and loose monetary policy environments weaken (strengthen) outflo...
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作者：Hartley, Jonathan S.; Jermann, Urban J.
作者单位：Stanford University; University of Pennsylvania; National Bureau of Economic Research
摘要：Since January 2014, the U.S. Treasury has been issuing floating rate notes (FRNs). These notes pay quarterly interest based on an average of the constant maturity rates of newly issued three-month T -bills during the quarter. We show how to price such FRNs. We estimate that they have been paying excess interest between 3 and 42 basis points above the implied interest of other Treasury securities. We interpret this fact through the lens of a model where money -like assets differ in their degree...
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作者：Fang, Lily; Huang, Sterling
作者单位：INSEAD Business School; Singapore Management University
摘要：The average total compensation of directors in U.S.-listed companies was $342,030 in 2020, 5.06 times the median household income. Directors set their own pay, giving rise to potential self -dealing. We argue and document that in the presence of self -dealing, external mechanisms such as legal standards act as effective means of governance. Following a landmark Delaware court ruling that subjected director pay to a more stringent legal standard, Delaware -incorporated firms reduced director co...
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作者：Abadi, Joseph; Brunnermeier, Markus
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; Princeton University
摘要：We develop a model to compare the governance of traditional shareholder-owned platforms to that of platforms that issue tokens. A traditional shareholder governance structure leads a platform to extract rents from its users. A platform that issues tokens for its services can mitigate this rent extraction, as rent extraction lowers the platform owners' token seigniorage revenues. However, this mitigation from issuing service tokensis effective only if the platform can commit itself not to dilut...
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作者：Bartlett, Robert P.; Mccrary, Justin; O'Hara, Maureen
作者单位：Stanford University; Columbia University; Cornell University
摘要：This paper investigates fractional share trading. We develop a latency -based method for identifying a large sample of fractional share trades. We find that high-priced stocks, meme stocks, IPOs, SPACs, and popular retail stocks exhibit considerable numbers of these tiny trades. We surmise that this reflects dollar -based order entry, with many tiny trades being fractional components of larger orders. We show that our fractional trade measure is predictive of future liquidity and volatility, s...
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作者：Hendershott, Terrence; Li, Dan; Livdan, Dmitry; Schurhoff, Norman
作者单位：University of California System; University of California Berkeley; Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Lausanne; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK
摘要：Markets can give false impressions of liquidity and stability if failed attempts to trade are ignored. For collateralized loan obligations, we quantify this bias by estimating the total cost of immediacy (TCI) which incorporates failure rates and failure costs. TCI is substantially higher than the observed cost, 0.3-3.8% versus 0.04-0.12% across credit-quality tranches because trade failures are frequent, failure costs are large, and failure costs and rates are correlated. TCI is almost double...
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作者：Ying, Jie
作者单位：Southern Illinois University System; Southern Illinois University Edwardsville; University of Iowa
摘要：This paper studies how common institutional ownership (CIO) affects information diffusion in the stock market. My findings suggest that CIO can exacerbate the slow spread of information across firms. With over 50% of institutional investors holding concentrated stock portfolios, I infer a fundamental connection among firms with CIO. These firms exhibit cross -predictability in monthly stock returns, leading to a CIO -based peer momentum strategy that outperforms Ali and Hirshleifer's (2020) sh...
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作者：Wang, Pingle
作者单位：University of Texas System; University of Texas Dallas
摘要：This paper investigates portfolio pumping at the fund family level, where non -star fund managers strategically purchase stocks held by star funds in the family to inflate their quarter -end performance. Star funds that engage in such activities show inflated performance after 2002 when the Securities and Exchange Commission increased regulation on portfolio pumping. Stocks pumped by the strategy show strong reversals at the quarter end. Moreover, despite a minor underperformance stemming from...
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作者：Bahaj, Saleem; Malherbe, Frederic
作者单位：University of London; University College London; Bank of England; Centre for Economic Policy Research - UK
摘要：We study the international coordination of bank capital requirements under a host-country rule: the requirement depends on where the borrower, not the bank, is located. In such a regime, countries compete for scarce bank equity capital. Raising a country's requirement may generate bank capital outflows as well as inflows. We pin down the condition for the sign of the capital flow and the associated externality, and highlight the policy implications. Absent collaboration, overshooting is likely...
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作者：Friberg, Richard; Goldstein, Itay; Hankins, Kristine W.
作者单位：Stockholm School of Economics; Norwegian School of Economics (NHH); Centre for Economic Policy Research - UK; University of Pennsylvania; National Bureau of Economic Research; University of Kentucky
摘要：This study shows that firms regard stock price fragility - exposure to non -fundamental demand shocks stemming from the composition of equity ownership - as a salient corporate risk. We model ex ante corporate responses to higher potential for future stock market misvaluation and then empirically document that within firm variation in equity fragility has effects in line with the model: higher fragility raises cash holdings and lowers investment. Multiple natural experiments support a causal i...
