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作者：Liebersohn, Jack
作者单位：University of California System; University of California Irvine
摘要：This paper studies bank antitrust rules which discontinuously shift bank mergers' competitive impact. The likelihood of mandatory divestiture rises sharply for mergers in markets above a threshold level of concentration, leading to an increase in the number of banks in these markets. Consistent with greater competition, intervention leads to higher deposit rates. Mortgage originations rise by 11%, from both refinancing and purchases. However, small business loan quantities do not change. The e...
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作者：Elenev, Vadim; Law, Tzuo-Hann; Song, Dongho; Yaron, Amir
作者单位：Johns Hopkins University; Boston College; University of Pennsylvania; Bank of Israel
摘要：We provide strong evidence of a countercyclical sensitivity of the stock market to major macroeconomic announcements. The most notable cyclical variation takes place within expansions: sensitivity is largest early in an expansion and essentially zero late in an expansion. By exploiting the comovement pattern between stocks and bonds around announcements, we show that the stock market sensitivity is large when the cash flow component of news is least offset by news about future risk-free rates....
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作者：Baker, Scott R.; Johnson, Stephanie; Kueng, Lorenz
作者单位：Northwestern University; National Bureau of Economic Research; Rice University; Universita della Svizzera Italiana; Swiss Finance Institute (SFI)
摘要：Households tend to hold substantial amounts of non-financial assets in the form of consumer goods inventories that are unobserved by traditional measures of wealth, about $725 on average for products covered by our sample. Such holdings can eclipse total financial assets among households in the lowest income quintile. Households can obtain significant financial returns from strategically shopping and managing these inventories. In addition, they choose to maintain liquid savings-household work...
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作者：Mikhed, Vyacheslav; Raina, Sahil; Scholnick, Barry; Zhang, Man
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University of Alberta; National University of Singapore
摘要：We show that forcing insolvent consumer debtors to repay a larger fraction of debt causes them to strategically manipulate the data they report to creditors. Exploiting a policy change that required insolvent debtors to increase debt repayments at an arbitrary income cutoff, we document that some debtors reduce reported income to just below this cutoff to avoid the higher repayment. Those debtors who manipulate income have a lower probability of default on their repayment plans, consistent wit...
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作者：Xiouros, Costas; Zapatero, Fernando
作者单位：BI Norwegian Business School; Boston University
摘要：We present an analytical solution for a pure exchange economy featuring a continuum of agents with disagreement, time-varying information quality, and reference-dependent preferences. Our general equilibrium model exhibits stationary dynamics. By examining the implications of the model, we find that the commonly studied asset pricing channels of disagreement have limited quantitative significance. On the other hand, variations in information quality, which affect disagreement levels, lead to s...
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作者：Rossi, Alberto G.; Utkus, Stephen
作者单位：Georgetown University; University of Pennsylvania
摘要：We study the diversification and welfare effects of a large US robo-advisor on the portfolios of previously self -directed investors and document five facts. First, robo-advice reshapes portfolios by increasing indexing and reducing home bias, number of assets held, and fees. Second, these portfolio changes contribute to higher Sharpe ratios. Third, those who benefit most from robo-advice are investors who did not have high exposure to equities or indexing and had poorer diversification levels...
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作者：Charoenwong, Ben; Kowaleski, Zachary T.; Kwan, Alan; Sutherland, Andrew G.
作者单位：National University of Singapore; University of Texas System; University of Texas Austin; University of Hong Kong; Massachusetts Institute of Technology (MIT)
摘要：Compliance-driven investments in technology-or RegTech-are growing rapidly. To understand the effects on the financial sector, we study firms' responses to new internal control requirements. Affected firms make significant investments in ERP and hardware. These expenditures then enable complementary investments that are leveraged for noncompliance purposes, leading to modest savings from avoided customer complaints and misconduct. IT budgets rise and profits fall, especially at small firms, an...
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作者：Cao, Sean; Jiang, Wei; Wang, Junbo; Yang, Baozhong
作者单位：University System of Maryland; University of Maryland College Park; Emory University; Louisiana State University System; Louisiana State University; University System of Georgia; Georgia State University
摘要：An AI analyst trained to digest corporate disclosures, industry trends, and macroeconomic indicators surpasses most analysts in stock return predictions. Nevertheless, humans win Man vs. Machinewhen institutional knowledge is crucial, e.g., involving intangible assets and financial distress. AI wins when information is transparent but voluminous. Humans provide significant incremental value in Man + Machine, which also substantially reduces extreme errors. Analysts catch up with machines after...
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作者：Huang, Chong; Lunawat, Radhika; Wang, Qiguang
作者单位：University of California System; University of California Irvine; Hong Kong Baptist University
摘要：Investors often hold differing opinions on public information quality. This paper shows that such investor disagreement provides a novel explanation for financial market dynamics around earnings announcements. We propose a rational expectations equilibrium model where investors disagree about the precision of a public signal, which separates a pre-news trading period from a post-news trading period. In equilibrium, investor disagreement about public signal precision diminishes informational pr...
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作者：Andrews, Spencer; Colacito, Riccardo; Croce, Mariano M.; Gavazzoni, Federico
作者单位：Office of Financial Research; University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research; Bocconi University; Centre for Economic Policy Research - UK; Bocconi University; BI Norwegian Business School
摘要：The slope carry takes a long (short) position in the long-term bonds of countries with steeper (flatter) yield curves. The traditional carry takes a long (short) position in countries with high (low) short-term rates. We document that: (i) the slope carry return is slightly negative (strongly positive) in the pre (post) 2008 period, whereas it is concealed over longer samples; (ii) the traditional carry return is lower post-2008; and (iii) expected global growth and inflation declined post-200...
