2024

最新文章

• The death of a regulator: Strict supervision, bank lending, and business activity AI翻译
  作者：Granja, Joao; Leuz, Christian
  作者单位：University of Chicago; Center for Economic & Policy Research (CEPR); University of Chicago; University of Chicago; National Bureau of Economic Research
  摘要：We exploit the extinction of the thrift supervisor (OTS) to analyze the effects of supervision on bank lending and bank management. We first show that the OTS replacement resulted in stricter supervision of former OTS banks. Next, we analyze the ensuing lending effects and show that former OTS banks on average increase small business lending by roughly 10 percent. This increase is concentrated in well -capitalized banks and especially in banks that changed management practices following the su...
• Regulatory arbitrage or random errors? Implications of race prediction algorithms in fair lending analysis AI翻译
  作者：Greenwald, Daniel L.; Howell, Sabrina T.; Li, Cangyuan; Yimfor, Emmanuel
  作者单位：New York University; Columbia University
  摘要：When race is not directly observed, regulators and analysts commonly predict it using algorithms based on last name and address. In small business lending-where regulators assess fair lending law compliance using the Bayesian Improved Surname Geocoding (BISG) algorithm-we document large prediction errors among Black Americans. The errors bias measured racial disparities in loan approval rates downward by 43%, with greater bias for traditional vs. fintech lenders. Regulation using self-identifi...
• Limited attention to detail in financial markets: Evidence from reduced-form and structural estimation AI翻译
  作者：Cronqvist, Henrik; Ladika, Tomislav; Pazaj, Elisa; Sautner, Zacharias
  作者单位：Chapman University System; Chapman University; University of Amsterdam; University of Zurich; Swiss Finance Institute (SFI)
  摘要：We show that firm valuations fell after a key expense became more visible in financial statements. FAS 123R required firms to deduct option compensation costs from earnings, instead of disclosing them in footnotes. Firms that granted high option pay experienced earnings reductions, while fundamentals remained unchanged. These firms were more likely to miss earnings forecasts, and they experienced recommendation downgrades and valuation declines. Our findings suggest that market participants ex...
• Direct lenders in the US middle market AI翻译
  作者：Davydiuk, Tetiana; Marchuk, Tatyana; Rosen, Samuel
  作者单位：Johns Hopkins University; BI Norwegian Business School; Centre for Economic Policy Research - UK; Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
  摘要：This paper studies the rise of direct lending using a comprehensive dataset of investments by business development companies (BDC). We exploit three exogenous shocks to credit supply, including new banking regulations and a major finance company collapse, to establish that BDC capital acts as a substitute for traditional financing. Using firm-level data, we further document that firms' access to BDC funding stimulates their employment growth and patenting activity. Beyond credit provision, BDC...
• The risk and return of equity and credit index options AI翻译
  作者：Doshi, Hitesh; Ericsson, Jan; Fournier, Mathieu; Seo, Sang Byung
  作者单位：University of Houston System; University of Houston; McGill University; University of Wisconsin System; University of Wisconsin Madison
  摘要：We develop a structural credit risk model, which allows us to price equity/credit indices and their options through the asset dynamics of index constituents. We estimate the model via MLE and find that equity and credit index option prices are well explained out-of-sample. Contrary to recent empirical findings, the two option markets are not inconsistently priced through the lens of our model. Returns on both options, while extreme, do not indicate any evidence of mispricing. Our analysis sugg...
• The credit supply channel of monetary policy tightening and its distributional impacts AI翻译
  作者：Bosshardt, Joshua; Di Maggio, Marco; Kakhbod, Ali; Kermani, Amir
  作者单位：Federal Housing Finance Agency; Imperial College London; National Bureau of Economic Research
  摘要：This paper studies how tightening monetary policy transmits to the economy through the mortgage market and sheds new light on the distributional consequences at both individual and regional levels. We specifically examine the sharp increase in mortgage interest rates during 2022 and 2023. We find that almost all of the decline in mortgages compared to prior years was concentrated in loans that would have had a debt-to- income (DTI) ratio above underwriting thresholds. These effects are even mo...
• Importance of transaction costs for asset allocation in foreign exchange markets☆ AI翻译
  作者：Filippou, Ilias; Maurer, Thomas A.; Pezzo, Luca; Taylor, Mark P.
  作者单位：State University System of Florida; Florida State University; University of Hong Kong; University of Louisiana System; University of New Orleans; Washington University (WUSTL)
  摘要：Transaction costs have a first-order effect on the performance of currency portfolios. Proportional costs based on quoted bid-ask spread are relatively small, but when a fund is large, costs due to the trading volume price impact are sizable and quickly erode returns, leaving many popular strategies unprofitable. A mean-variancetransaction-cost optimized approach (MVTC) that accounts for costs in the optimization efficiently tackles the problem with only relatively minor negative implications ...
• Political polarization in financial news AI翻译
  作者：Goldman, Eitan; Gupta, Nandini; Israelsen, Ryan
  作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; Michigan State University; Michigan State University's Broad College of Business
  摘要：Comparing coverage of the same corporate financial news by the conservative Wall Street Journal and the liberal New York Times , we find strong evidence of political polarization in their reporting on both the intensive and extensive margins of coverage. We show that this politics-induced disagreement in corporate financial news leads to an increase in abnormal trading volume for the most politically extreme firms. Our results highlight a new source of investor disagreement, arising out of pol...
• Is it alpha or beta? Decomposing hedge fund returns when models are misspecified AI翻译
  作者：Ardia, David; Barras, Laurent; Gagliardini, Patrick; Scaillet, Olivier
  作者单位：Universite de Montreal; HEC Montreal; Universite de Montreal; HEC Montreal; University of Luxembourg; Universita della Svizzera Italiana; University of Geneva; University of Geneva; University of Luxembourg
  摘要：We develop a novel approach to separate alpha and beta under model misspecification. It comes with formal tests to identify less misspecified models and sharpen the return decomposition of individual funds. Our hedge fund analysis reveals that: (i) prominent models are as misspecified as the CAPM, (ii) several factors (time -series momentum, variance, carry) capture alternative strategies and lower performance in all investment categories, (iii) fund heterogeneity in alpha and beta is large-an...
• Charting by machines AI翻译
  作者：Murray, Scott; Xia, Yusen; Xiao, Houping
  作者单位：University System of Georgia; Georgia State University
  摘要：We test the efficient market hypothesis by using machine learning to forecast stock returns from historical performance. These forecasts strongly predict the cross-section of future stock returns. The predictive power holds in most subperiods and is strong among the largest 500 stocks. The forecasting function has important nonlinearities and interactions, is remarkably stable through time, and captures effects distinct from momentum, reversal, and extant technical signals. These findings ques...