-
作者：Ranaldo, Angelo; de Magistris, Paolo Santucci
作者单位：University of St Gallen; Swiss Finance Institute (SFI); Luiss Guido Carli University; CREATES; Aarhus University
摘要：We study the liquidity of the global currency market by analyzing the price impact of trading volume. We analyze a decade of CLS intraday data representative of global foreign exchange (FX) trading by developing a refinement of the popular Amihud (2002) illiquidity measure that we call realized Amihud, which is the ratio between realized volatility and trading volume. Inversely related to market depth, price impact increases with trans-action costs, money market stress, uncertainty, and risk a...
-
作者：Altavilla, Carlo; Burlon, Lorenzo; Giannetti, Mariassunta; Holton, Sarah
作者单位：European Central Bank; Centre for Economic Policy Research - UK; Stockholm School of Economics; European Corporate Governance Institute; European Central Bank; Central Bank of Ireland
摘要：Exploiting confidential data from the euro area, we show that sound banks pass negative rates on to their corporate depositors and that pass-through is not impaired when policy rates move into negative territory. We do not observe a contraction in deposits, reflecting a general increase in corporate liquidity during the sample period. When their banks charge negative rates on deposits, firms with ex ante high liquidity invest more than comparable firms that are not charged negative rates and i...
-
作者：Drechsler, Itamar; Savov, Alexi; Schnabl, Philipp
作者单位：University of Pennsylvania; New York University
摘要：Between 2003 and 2006, the Federal Reserve raised rates by 4.25%. Yet it was precisely during this period that the housing boom accelerated, fueled by rapid growth in mortgage lending. There is deep disagreement about how, or even if, monetary policy impacted the boom. Using differences in exposure to the deposits channel of monetary policy, we show that Fed tightening induced a large reduction in banks' deposit funding, which led banks to contract portfolio mortgage lending by 32%. However, t...
-
作者：Gomez-Cram, Roberto; Grotteria, Marco
作者单位：University of London; London Business School
摘要：We study the price discovery process on FOMC days. For several asset classes, we find that price movements around the post-meeting statement release are strong predictors of price movements around the subsequent press conference. The correlation is 58% for medium-term Eurodollar futures and 44% for the S&P50 0 index. We then time-stamp the words pronounced in press conference videos and align these words with high-frequency financial data. Minutes in which the chairman discusses changes in the...
-
作者：Mayer, Simon
作者单位：University of Chicago; Hautes Etudes Commerciales (HEC) Paris
摘要：In a dynamic principal-agent model, the principal, financing the project, cannot observe project failure and the agent, developing the project, can hide failure. As there is a tension between incentives for disclosure of failure and project development, the optimal contract does not reward failure and incentivize disclosure of failure during an initial unconditional financing stage. During the subsequent disclosure stage, time-decreasing rewards for failure provide incentives for disclosure of...
-
作者：Dutordoir, Marie; Strong, Norman C.; Sun, Ping
作者单位：University of Manchester; Alliance Manchester Business School; University of Liverpool
摘要：Announcements of stock-financed mergers and acquisitions (M&As) may attract short sell-ing of bidder shares by merger arbitrageurs. We hypothesize that bidders with higher short-selling potential include a higher proportion of cash in their M&A payments to miti-gate stock price declines resulting from arbitrage short sales. Consistent with this hypoth-esis, we find that the ex ante net lending supply of bidder shares has a positive impact on the percentage of cash in public target payments. Fu...
-
作者：Baugh, Brian; Correia, Filipe
作者单位：University of Nebraska System; University of Nebraska Lincoln; University System of Georgia; University of Georgia
摘要：Using a unique dataset from an account aggregator, we analyze cross-sectional differences and within-household time-series variation in paycheck frequency. We find that higher paycheck frequency results in less credit card borrowing, less consumption, but more instances of financial distress - even when the change in paycheck frequency is employerinitiated. We find that pay frequency strongly determines within-month time patterns of financial distress. Our theoretical model reconciles these em...
-
作者：Elkamhi, Redouane; Nozawa, Yoshio
作者单位：University of Toronto
摘要：Using detailed loan holding data of Collateralized Loan Obligations (CLOs), we document empirical evidence for the fire sale of leveraged loans due to leverage constraints on CLOs. Constrained CLOs are forced to sell loans downgraded to CCC or below, and thus loans widely held by constrained CLOs experience temporary price depreciation. This instability is exacerbated by diversification requirements. As the CLO market grows, each CLO's effort to diversify its portfolio leads to similarity in l...
-
作者：Back, Kerry; Crotty, Kevin; Kazempour, Seyed Mohammad
作者单位：Rice University; Rice University
摘要：Recent work uses option prices to derive lower bounds for the risk premia of the market portfolio and individual stocks. We test the bounds conditionally. We cannot reject that they are valid, but we do reject that they are tight. Using the market bounds as forecasts appears unreasonable in many cases due to their high slackness. Adding past mean slackness is a potential improvement but is hampered by the brevity of the available data series. The correlation of the stock bounds with subsequent...
-
作者：Hajda, Jakub; Nikolov, Boris
作者单位：Universite de Montreal; HEC Montreal; University of Lausanne; European Corporate Governance Institute
摘要：We examine how product life cycle affects investment and financing by estimating an industry equilibrium model that embeds product portfolio characteristics. In the model, firms trade off higher profitability of newer products versus product introduction costs. Using product-level data, we find that the product dimension is critical in quantitatively explaining cash flow dynamics, corporate policies, and industry structure. We show that product introductions and capital investment are compleme...
