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作者：DeFusco, Anthony A.; Tang, Huan; Yannelis, Constantine
作者单位：Northwestern University; University of London; London School Economics & Political Science; University of Chicago; National Bureau of Economic Research
摘要：Information asymmetries are known in theory to lead to inefficiently low credit provi-sion, yet empirical estimates of the resulting welfare losses are scarce. This paper leverages a randomized experiment conducted by a large fintech lender to estimate welfare losses arising from asymmetric information in the market for online consumer credit. Building on methods from the insurance literature, we show how exogenous variation in interest rates can be used to estimate borrower demand and lender ...
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作者：Hu, Grace Xing; Pan, Jun; Wang, Jiang; Zhu, Haoxiang
作者单位：Tsinghua University; Shanghai Jiao Tong University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We find large overnight returns with no abnormal variance before nonfarm payrolls, ISM, and GDP announcements, similar to the pre-FOMC returns. To explain this common pattern, we propose a two-risk model with the uncertainty about the magnitude of the impending news' market impact as an additional risk, and link the pre-announcement return directly to the accumulation of heightened uncertainty and its later resolution prior to the announcement. We empirically test and verify the model's distin...
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作者：Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, Marti G.; Tomio, Davide
作者单位：McGill University; Universite de Montreal; HEC Montreal; New York University; New York University; University of Virginia
摘要：A B S T R A C T The COVID-19 pandemic provides a unique setting in which to evaluate the importance of a country's fiscal capacity in explaining the relation between economic growth shocks and sovereign default risk. For a sample of 30 developed countries, we find a positive and significant sensitivity of sovereign default risk to the intensity of the virus's spread for fiscally constrained governments. Supporting the fiscal channel, we confirm the results for Eurozone countries and U.S. state...
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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：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：Cipriani, Marco; Guarino, Antonio; Uthemann, Andreas
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of London; University College London; Bank of Canada; University of London; London School Economics & Political Science
摘要：We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on financial market outcomes. In our sequential trading model, there are price-elastic noise and informed traders. We estimate the model through maximum likelihood for a sample of 60 NYSE stocks in 2017. We quantify the effect of introducing an FTT given the param-eter estimates. An FTT increases the proportion of informed trading, improves information aggregation, but lowers trading volume and welfare. Fo...
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作者：Martynova, Natalya; Perotti, Enrico; Suarez, Javier
作者单位：Deutsche Bundesbank; University of Amsterdam
摘要：We analyze the strategic interaction between undercapitalized banks and a supervisor in a recovery and resolution framework in which early recapitalizations can prevent later dis-orderly failures. Capital forbearance emerges because reputational, political, economic and fiscal costs undermine supervisors' commitment to publicly resolve the banks that miss the request to privately recover. Under a weaker resolution threat, banks' incentives to re-cover are lower and supervisors may end up havin...
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作者：Liberti, Jose; Sturgess, Jason; Sutherland, Andrew
作者单位：DePaul University; Northwestern University; University of London; Queen Mary University London; Massachusetts Institute of Technology (MIT)
摘要：We use the introduction of a U.S. commercial credit bureau to study when lenders adopt voluntary information sharing technology and the resulting consequences for competition and credit access. Our results suggest that lenders trade off access to new markets against heightened competition for their own borrowers. Lenders that initially do not adopt lose borrowers to competitors that do, which ultimately compels them to adopt and leads to the formation of an information sharing system. Access t...
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作者：Bialkowski, Jedrzej; Dang, Huong Dieu; Wei, Xiaopeng
作者单位：University of Canterbury
摘要：Motivated by the extremely low level of the CBOE VIX accompanied by the high level of U.S. economic policy uncertainty in the period of late 2016 to the end of 2017, we exam-ine the factors affecting the relationship between market volatility and economic policy uncertainty in the United States and the United Kingdom. Our analysis shows that low-quality political signals, higher opinion divergence among investors, and exceptional equity market performance consistently weaken the positive relat...
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作者：Jegadeesh, Narasimhan; Wu, Yanbin
作者单位：Emory University; State University System of Florida; University of Florida
摘要：Closing auction volume steadily increased over the last decade, and it reached a peak of about 10% of the total trading volume in 2019. We examine the price impact and resiliency of closing auctions, and we compare closing auction liquidity in Nasdaq and the NYSE. The NYSE offers more depth. In both exchanges, it takes about 3-5 days for the temporary component of the price impact to fully dissipate. Trading strategies that exploit this price impact and its reversals are significantly profitab...
