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作者：Goodman, Lucas; Mukherjee, Anita; Ramnath, Shanthi
作者单位：United States Department of the Treasury; University of Wisconsin System; University of Wisconsin Madison; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：Retirement savings abandonment is a rising concern connected to defined contribution systems and default enrollment. We use tax data on Individual Retirement Accounts (IRAs) to establish that for a recent cohort, 0.4% of retirement-age individuals abandoned an ag-gregate of $66 million, proxied by a failure to claim over ten years after a legal requirement to do so. Analysis of state unclaimed property databases suggests that workplace defined contribution plans are abandoned at a higher rate ...
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作者：Gerardi, Kristopher; Willen, Paul S.; Zhang, David Hao
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Federal Reserve System - USA; Federal Reserve Bank - Boston; Rice University; National Bureau of Economic Research
摘要：Black and Hispanic homeowners pay significantly higher mortgage interest rates than white and Asian homeowners. We show that the main reason is that white and Asian bor-rowers are much more likely to exploit periods of falling interest rates by refinancing their mortgages or moving. Black and Hispanic borrowers face challenges refinancing because, on average, they have lower credit scores, equity and income. But even holding those fac-tors constant, Black and Hispanic borrowers refinance less,...
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作者：Bai, John (Jianqiu); Mkrtchyan, Anahit
作者单位：Northeastern University; University of Massachusetts System; University of Massachusetts Amherst
摘要：Using rich plant-level data, we analyze the relative performance of firms with inside and outside CEOs. We show that firms with outside CEOs achieve greater productivity improve-ments compared to firms with inside CEOs. Contrary to conventional wisdom, the rela-tion is stronger in well-performing, rather than poorly performing, firms. Although part of the productivity growth differential comes from divesting low-performing, peripheral, low-tech, and unionized plants, most productivity improvem...
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作者：Bollerslev, Tim; Todorov, Viktor
作者单位：Duke University; Northwestern University
摘要：Jumps in asset prices are ubiquitous, yet the apparent high price of jump risk observed empirically is commonly viewed as puzzling. We develop new model-free short-time risk-neutral variance expansions, allowing us to clearly delineate the importance of jumps in generating both price and variance risks. We find that simultaneous jumps in the price and the stochastic volatility and/or jump intensity of the market commands a sizeable risk premium. The existence of jump leverage risk premium may ...
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作者：Dagostino, Ramona; Gao, Janet; Ma, Pengfei
作者单位：University of Rochester; Georgetown University; Singapore Management University
摘要：Does partisanship influence the way investors price financial assets? Using voter registration data of bankers originating large corporate loans, we show that bankers whose party differs from that of the U.S. President charge 7% higher loan spreads than other bankers. This effect holds regardless of borrowers' partisanship, and becomes stronger for politically active bankers and when partisan media exhibit greater disagreement. Bankers do not match disproportionately with co-partisan borrowers...
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作者：Farboodi, Maryam; Kondor, Peter
作者单位：Massachusetts Institute of Technology (MIT); University of London; London School Economics & Political Science
摘要：Endogenous cycles emerge through the two-way interaction between lending standards and production fundamentals. Lax lending standards in booms lead to low interest rates and high output but the deterioration of future loan quality. Low borrower quality in turn precipitates tight standards: the economy enters a recession with high credit spreads and low output but a gradual improvement in the quality of loans. This eventually triggers a shift back to a boom with lax lending, and the cycle conti...
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作者：Lewis, Brittany Almquist
作者单位：Washington University (WUSTL)
摘要：Securities dealers receive mortgages as collateral for credit lines provided to mortgage companies and reuse the same collateral to borrow money. Exploiting the 2005 BAPCPA rule change, which granted mortgage collateral preferred bankruptcy treatment, I find that strengthening creditor rights increases dealers' collateral reuse. Increasing collateral reuse creates a money multiplier that increases credit supply. Using a novel dataset linking deal-ers to the mortgage companies they fund reveals...
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作者：Wang, Chaojun
作者单位：University of Pennsylvania
摘要：On many important multi-dealer platforms, customers mostly request quotes from very few dealers. I build a model of multi-dealer platforms, where dealers strategically choose to respond to or ignore a request. If the customer contacts more dealers, each dealer re-sponds with a lower probability and offers a stochastically worse price when responding. Dealers' strategic avoidance of competition overturns the customer's benefit from poten-tially receiving more quotes, worsening her best-overall ...
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作者：An, Yu; Benetton, Matteo; Song, Yang
作者单位：Johns Hopkins University; University of California System; University of California Berkeley; University of Washington; University of Washington Seattle
摘要：Most ETFs replicate indexes licensed by index providers. We show that index providers wield strong market power and charge large markups to ETFs that are passed on to in-vestors. We document three stylized facts: (i) the index provider market is highly con-centrated; (ii ) investors care about the identities of index providers, although they explain little variation in ETF returns; and (iii ) over one-third of ETF expense ratios are paid as licensing fees to index providers. A structural decom...
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作者：Bakshi, Gurdip; Crosby, John; Gao, Xiaohui; Hansen, Jorge W.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; Old Dominion University; Aarhus University
摘要：We document the phenomenon that average excess returns of out-of-the-money puts and calls on bond futures are negative, both unconditionally and conditionally on economic states. To explain these findings, we develop economically motivated restrictions in the context of a theory in which the pricing kernel is a general diffusion process with spanned and unspanned components. Our reconciliation is a framework that introduces market incompleteness and priced unspanned volatility risks, allowing ...
