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作者：Bender, Svetlana; Choi, James J.; Dyson, Danielle; Robertson, Adriana Z.
作者单位：Yale University; National Bureau of Economic Research; University of Toronto
摘要：We survey 2484 U.S. individuals with at least $1 million of investable assets about how well leading academic theories describe their financial beliefs and personal investment decisions. The wealthy's beliefs about financial markets and the economy are surprisingly similar to those of the average U.S. household, but the wealthy are less driven by discomfort with the market, financial constraints, and labor income considerations. Portfolio equity share is most affected by professional advice, t...
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作者：Granja, Joao; Makridis, Christos; Yannelis, Constantine; Zwick, Eric
作者单位：Stanford University; National Bureau of Economic Research
摘要：This paper provides a comprehensive assessment of financial intermediation and the eco-nomic effects of the Paycheck Protection Program (PPP), a large and novel small business support program that was part of the initial policy response to the COVID-19 pandemic in the US. We use loan-level microdata for all PPP loans and high-frequency administra-tive employment data to present three main findings. First, banks played an important role in mediating program targeting, which helps explain why so...
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作者：Campello, Murillo; Connolly, Robert A.; Kankanhalli, Gaurav; Steiner, Eva
作者单位：Cornell University; National Bureau of Economic Research; State University System of Florida; University of Florida; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Ample literature builds on the notion that real estate values boost corporate secured borrowing (collateral channel). A comprehensive contract-level database allows us to observe the value, location, and end-use of firms' real estate holdings in the US and all debts raised against those assets over the 20 0 0-2017 period. Firms raise new debt following an increase in the value of their real estate but use unsecured rather than secured borrowing. We rationalize these findings with a model where...
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作者：Eren, Egemen; Malamud, Semyon
作者单位：Bank for International Settlements (BIS)
摘要：We propose a debt view to explain the dominant international role of the dollar. Within a simple capital-structure model with debt-currency choice, we show that the dominant currency is the one that (1) depreciates in global downturns over horizons of typical debt maturity and (2) has the steepest nominal yield curve. Empirically, we show the dollar fits this description better than other major currencies. The debt view can explain dollar-debt issuance patterns over the past two decades. It al...
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作者：Almeida, Caio; Freire, Gustavo
作者单位：Princeton University
摘要：We characterize a set of risk-neutral measures associated with a comprehensive class of risk averse investors. From this set, we show how to construct option price bounds and recover the implied gamma: a parameter uniquely identifying the marginal investor pricing a given option. Empirically, we find that S&P 500 option prices are reconciled by heterogeneous marginal investors who differ in their assessment of tail risk. This heterogeneity is time-varying, decreases during financial crises, an...
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作者：Buchner, Matthias; Kelly, Bryan
作者单位：University of Cambridge; Yale University; National Bureau of Economic Research
摘要：Due to their short lifespans and migrating moneyness, options are notoriously difficult to study with the factor models commonly used to analyze the risk-return trade-off in other asset classes. Instrumented principal components analysis solves this problem by tracking contracts in terms of their pricing-relevant characteristics via time-varying latent factor loadings. We find that a model with three latent factors prices the cross-section of option returns and explains more than 85% of the va...
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作者：Billings, Stephen B.; Gallagher, Emily A.; Ricketts, Lowell
作者单位：University of Colorado System; University of Colorado Boulder; Federal Reserve System - USA; Federal Reserve Bank - St. Louis
摘要：Outside of flood hazard zones, households must decide whether to insure or rely on disaster assistance to manage flood risk. We use the quasi-random flooding generated by Hurricane Harvey, which hit Houston in August 2017, to understand the implications of flood losses for households with differing access to insurance and credit. Outside the floodplain, credit-constrained homeowners experience a 20% increase in bankruptcies and a 13% increase in the share of debt in severe delinquency in flood...
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作者：Baker, Andrew C.; Larcker, David F.; Wang, Charles C. Y.
作者单位：Stanford University; Stanford University; Harvard University
摘要：We explain when and how staggered difference-in-differences regression estimators, commonly applied to assess the impact of policy changes, are biased. These biases are likely to be relevant for a large portion of research settings in finance, accounting, and law that rely on staggered treatment timing, and can result in Type-I and Type-II errors. We summarize three alternative estimators developed in the econometrics and applied literature for addressing these biases, including their differen...
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作者：Hinzen, Franz J.; John, Kose; Saleh, Fahad
作者单位：New York University; Wake Forest University
摘要：We demonstrate theoretically that Bitcoin's limited adoption arises as an equilibrium out -come rather than as a short-lived property. Our results are driven by negative network effects which arise due to Bitcoin's need for consensus and the existence of network de-lay. As the Bitcoin network expands, network delay grows thereby prolonging the time needed for generating consensus. In turn, transaction settlement becomes prolonged, and users abandon the system, yielding limited adoption. Increa...
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作者：Anarkulova, Aizhan; Cederburg, Scott; O'Doherty, Michael S.
作者单位：University of Arizona; University of Missouri System; University of Missouri Columbia
摘要：We characterize the distribution of long-term equity returns based on the historical record of stock market performance in a broad cross section of 39 developed countries over the period from 1841 to 2019. Our comprehensive sample mitigates concerns over survivor and easy data biases that plague other work in this area. A bootstrap simulation analysis im-plies substantial uncertainty about long-horizon stock market outcomes, and we estimate a 12% chance that a diversified investor with a 30-ye...
