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作者：Purnanandam, Amiyatosh
作者单位：University of Michigan System; University of Michigan
摘要：An originate-to-distribute (OTD) model of lending, where the originator of a loan sells it to various third parties, was a popular method of mortgage lending before the onset of the subprime mortgage crisis. We show that banks with high involvement in the OTD market during the pre-crisis period originated excessively poor-quality mortgages. This result is not explained away by differences in observable borrower quality, geographical location of the property, or the cost of capital of high- and...
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作者：Giannetti, Mariassunta; Burkart, Mike; Ellingsen, Tore
作者单位：Stockholm School of Economics
摘要：We relate trade credit to product characteristics and aspects of bank-firm relationships and document three main empirical regularities. First, the use of trade credit is associated with the nature of the transacted good. In particular, suppliers of differentiated products and services have larger accounts receivable than suppliers of standardized goods and firms buying more services receive cheaper trade credit for longer periods. Second, firms receiving trade credit secure financing from rel...
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作者：Parlour, Christine A.; Stanton, Richard; Walden, Johan
作者单位：University of California System; University of California Berkeley
摘要：We show that several well-known asset pricing puzzles are largely mitigated if we endow the representative agent with an arbitrarily small minimum consumption level. This allows us to solve the model for parameter values where the standard Lucas tree model is not defined. For these parameters, disasters become more important, and the market risk premium therefore higher, even though consumption is less risky. Our model yields reasonable risk premia, Sharpe ratios, and discount rates; excess pr...
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作者：Huang, Jennifer; Sialm, Clemens; Zhang, Hanjiang
作者单位：University of Texas System; University of Texas Austin; Nanyang Technological University; National Bureau of Economic Research
摘要：Mutual funds change their risk levels significantly over time. Risk shifting might be caused by ill-motivated trades of unskilled or agency-prone fund managers who trade to increase their personal compensation. Alternatively, risk shifting might occur when skilled fund managers trade to take advantage of their stock selection and timing abilities. This article investigates the performance consequences of risk shifting and sheds light on the mechanisms and the economic motivations behind risk-s...
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作者：Brunetti, Celso; di Filippo, Mario; Harris, Jeffrey H.
作者单位：Johns Hopkins University; Catholic University of the Sacred Heart; University of Delaware
摘要：We explore whether central bank intervention improves liquidity in the interbank market during the current subprime crisis with unique trade and quote data from the e-MID, the only regulated electronic interbank market in the world. Central bank intervention consistently creates greater uncertainty in the interbank market. Prior to the crisis, the cover-to-bid ratio effectively conveys good and bad news from the central bank, but this link is broken during the crisis, suggesting that standard ...
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作者：Bartolini, Leonardo; Hilton, Spence; Sundaresan, Suresh; Tonetti, Christopher
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Columbia University; New York University
摘要：Using data on repurchase agreements by primary securities dealers, we show that three classes of securities (Treasury securities, securities issued by government-sponsored agencies, and mortgage-backed securities) can be formally ranked in terms of their collateral values in the general collateral (GC) market. We then show that GC repurchase agreement (repo) spreads across asset classes display jumps and significant temporal variation, especially at times of predictable liquidity needs, consis...
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作者：Ayotte, Kenneth; Bolton, Patrick
作者单位：Northwestern University; Columbia University
摘要：This article adopts a definition of property rights from legal scholarship: A property right (in contrast to a contractual right) is enforceable, not only against the parties to a contract, but also against third parties outside the contract. In a financial contracting setting, we ask: When should the law enforce a lender's contractual protections as property rights, given that these rights may be hidden and costly for other lenders to discover? Our model explains why the law limits the creati...
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作者：Burnside, Craig; Eichenbaum, Martin; Kleshchelski, Isaac; Rebelo, Sergio
作者单位：Northwestern University; Duke University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago; Washington University (WUSTL)
摘要：We study the properties of the carry trade, a currency speculation strategy in which an investor borrows low-interest-rate currencies and lends high-interest-rate currencies. This strategy generates payoffs that are on average large and uncorrelated with traditional risk factors. We argue that these payoffs reflect a peso problem. The underlying peso event features high values of the stochastic discount factor rather than very large negative payoffs.
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作者：Bekaert, Geert; Harvey, Campbell R.; Lundblad, Christian T.; Siegel, Stephan
作者单位：National Bureau of Economic Research; Duke University; Columbia University; National Bureau of Economic Research; University of North Carolina; University of North Carolina Chapel Hill; University of Washington; University of Washington Seattle
摘要：We propose a new, valuation-based measure of world equity market segmentation. While we observe decreased levels of segmentation in many countries, the level of segmentation remains significant in emerging markets. We characterize the factors that account for variation in market segmentation both through time as well as across countries. Both a country's regulation with respect to foreign capital flows and certain nonregulatory factors are important. In particular, we identify a country's poli...
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作者：Banerjee, Snehal
作者单位：Northwestern University
摘要：The article develops a dynamic model that nests the rational expectations (RE) and differences of opinion (DO) approaches to study how investors use prices to update their valuations. When investors condition on prices (RE), investor disagreement is related positively to expected returns, return volatility, and market beta, but negatively to return autocorrelation. When investors do not use prices (DO), these relations are reversed. Tests of these predictions on the cross-section of stocks usi...
