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作者：Santos, Tano; Veronesi, Pietro
作者单位：Columbia University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; University of Chicago
摘要：A frictionless general equilibrium model featuring heterogeneous time-varying risk tolerance explains the business cycle dynamics of intermediary leverage, aggregate credit, and other asset markets' facts. In booms, when risk tolerance is high, households borrow more and aggregate credit increases funded by higher intermediary debt. In recessions, credit contracts and intermediaries delever. Yet, their debt-to-equity ratios increase as equity drops when risk aversion increases. Because househo...
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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：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：Smith, Simon C.; Timmermann, Allan
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of California System; University of California San Diego
摘要：We apply a new methodology for identifying pervasive and discrete changes (breaks) in cross-sectional risk premia. Size, value, and investment risk premia have fallen offto the point where they are insignificantly different from zero at the end of the sample period. The market risk premium has also declined systematically over time but remains significant and positive as do the momentum and profitability risk premium. We construct a new instability risk factor from cross-sectional differences ...
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作者：Cvijanovic, Dragana; Dasgupta, Amil; Zachariadis, Konstantinos E.
作者单位：Cornell University; University of London; London School Economics & Political Science; University of London; Queen Mary University London
摘要：The growth of the asset management industry has made it commonplace for firms to have multiple institutional blockholders. In such firms, the strength of governance via exit depends on how blockholders react to each other's exit. We present a model to show that open-ended institutional investors such as mutual funds react strongly to an informed blockholder's exit, leading to correlated exits that enhance corporate governance. Our analysis points to a new role for mutual funds in corporate gov...
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作者：Kim, Donghyun; Wang, Qinghai; Wang, Xiaoqiong
作者单位：Chung Ang University; State University System of Florida; University of Central Florida; Indiana University System; Indiana University Kokomo
摘要：The U.S. money management industry is geographically concentrated and diverges from the geographic clustering of public firms. We find that firms located in states with strong institutional investor presence have high valuation. These firms invest more and their investments are less dependent on internal cash flow. They are more likely to issue equity than debt for financing needs, and local institutions hold more of the newly issued equity. The results show the geographic dislocation between ...
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作者：Demiroglu, Cem; James, Christopher; Velioglu, Guner
作者单位：Koc University; State University System of Florida; University of Florida; Loyola University Chicago
摘要：Past studies find that commercial loan spreads are sticky in the sense that they do not fully respond to changes in open market rates or observable firm credit risk characteristics. In this paper, we provide evidence that the appearance of stickiness arises, in part, because the intensity of bank screening varies inversely with changes in both observable firm credit risk characteristics and credit market conditions. Our analysis demonstrates that stickiness in loan spreads does not necessarily...
