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作者：Goldstein, Itay; Kopytov, Alexandr; Shen, Lin; Xiang, Haotian
作者单位：University of Pennsylvania; National Bureau of Economic Research; University of Rochester; INSEAD Business School; Peking University
摘要：We propose a model of the financial system in which banks are individually prone to runs and connected through fire sales. Strategic complementarities within and across banks amplify each other, making heterogeneity in bank risks a key factor shaping the fragility of each bank and the entire system. As long as different banks are interconnected, an increase in heterogeneity stabilizes all banks. Reductions in asset commonality, bank-specific disclosures, and even broad-based policies such as a...
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作者：Peress, Joel; Schmidt, Daniel
作者单位：INSEAD Business School; Hautes Etudes Commerciales (HEC) Paris
摘要：A critical question facing speculators contemplating to trade on private information is whether their signal has already been priced in by the market. In our model, speculators assess the novelty of their information based on recent price movements, and market makers are aware that speculators might be trading on stale news. An asymmetric response to past price movements ensues: after price increases, buy volume - because it may result from stale news trading - has a lower price impact than se...
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作者：Fonseca, Julia; Matray, Adrien
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Centre for Economic Policy Research - UK
摘要：We study a financial inclusion policy targeting Brazilian cities with low bank branch coverage using data on the universe of employees from 2000-2014. The policy leads to bank entry and to similar increases in both deposits and lending. It also fosters entrepreneurship, employment, and wage growth, especially for cities initially in banking deserts. These gains are not shared equally and instead increase with workers' education, implying a substantial increase in wage inequality. The changes i...
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作者：Faria-e-Castro, Miguel; Paul, Pascal; Sanchez, Juan M.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Goethe University Frankfurt
摘要：We develop a simple model of concentrated lending where lenders have incentives for evergreening loans by offering better terms to firms that are close to default. We detect such lending behavior using loan -level supervisory data for the United States. Banks that own a larger share of a firm's debt provide distressed firms with relatively more credit at lower interest rates. Building on this empirical validation, we incorporate theoretical mechanism into a dynamic heterogeneous -firm model to...
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作者：Doshi, Hitesh; Jacobs, Kris; Liu, Rui
作者单位：University of Houston System; University of Houston; Duquesne University
摘要：We propose no-arbitrage term structure models with volatility factors that follow GARCH processes. The models' tractability is similar to canonical affine term structure models, but they fit yield volatility much better, especially for long-maturity yields. This improvement does not come at the expense of a deterioration in yield fit. Because of the improved volatility fit, the model performs substantially better in pricing Treasury futures options. We conclude that the specification of the vo...
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作者：Do, Quoc-Anh; Galbiati, Roberto; Marx, Benjamin; Serrano, Miguel A. Ortiz
作者单位：Monash University; Centre National de la Recherche Scientifique (CNRS); Boston University; CUNEF Universidad
摘要：We study the stock market performance of firms with Jewish board members during the Dreyfus Affair in 19th century France. In a context of widespread latent antisemitism, initial accusations made against the Jewish officer Alfred Dreyfus led to short-lived abnormal negative returns for Jewish-connected firms. However, investors betting on these firms earned higher returns during the period corresponding to Dreyfus' rehabilitation, starting with the publication of the famous op-ed J'Accuse! in ...
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作者：Banerjee, Snehal; Szydlowski, Martin
作者单位：University of California System; University of California San Diego; University of Minnesota System; University of Minnesota Twin Cities
摘要：In a SPAC transaction, a sponsor raises financing from investors using redeemable shares and rights. When investors are sophisticated, these features dilute the sponsor's stake and can lead to underinvestment in profitable targets. However, when investors are overconfident about their ability to respond to interim news, the optionality in such features is overpriced, and SPACs can lead to over-investment in unprofitable targets. Consistent with empirical evidence, the model predicts different ...
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作者：Hu, Weiping; Li, Kai; Zhang, Xiao
作者单位：Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen); Peking University; Central University of Finance & Economics
摘要：We show that firms collect almost 70% of their cash flows in the second half of the fiscal year, and that firms that collect more cash by year-end earn a 6.8% higher per annum risk premium and save more cash. We rationalize these facts in a quantitative investment-based asset pricing model. Immediate cash payments negatively affect profitability, but reduce equity financing costs by increasing information transparency. Financially constrained firms optimally collect more cash at year-end when ...
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作者：Darmouni, Olivier; Sutherland, Andrew
作者单位：Columbia University; Massachusetts Institute of Technology (MIT)
摘要：We examine how a fixed capital supply shortage affects firm investment. Using equipment transaction-level data, we find pandemic-driven production disruptions significantly altered capital reallocation patterns across firms. A surge in used capital trading activity softened the investment decline, as firms acquired used capital from distant and dissimilar counterparts. Younger firms were disproportionately affected even though they rarely purchase new capital: while in normal times older firms...
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作者：Ardia, David; Guidotti, Emanuele; Kroencke, Tim A.
作者单位：Universite de Montreal; HEC Montreal; Universite de Montreal; HEC Montreal; Universita della Svizzera Italiana
摘要：Popular bid-ask spread estimators are downward biased when trading is infrequent. Moreover, they consider only a subset of open, high, low, and close prices and neglect potentially useful information to improve the spread estimate. By accounting for discretely observed prices, this paper derives asymptotically unbiased estimators of the effective bid-ask spread. Moreover, we combine them optimally to minimize the estimation variance and obtain an efficient estimator. Through theoretical analys...
