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作者：Zhu, Qifei
作者单位：Nanyang Technological University
摘要：I examine how the investment behavior of bond mutual funds affects corporate financing decisions. Mutual funds that hold a firm's existing bonds have a high propensity to acquire additional new issuances from the same firm. I utilize this stylized fact to construct a firm specific bond capital supply measure by aggregating flows from a firm's existing bondholders. Firms with a higher flow-driven capital supply are more likely to issue bonds, enjoy lower yields, and substitute away from equity ...
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作者：Ranaldo, Angelo; Somogyi, Fabricius
作者单位：University of St Gallen
摘要：This work studies the information content of trades in the world's largest over-the-counter (OTC) market, the foreign exchange (FX) market. It analyzes a novel, comprehensive order flow data set, distinguishing among different groups of market participants and covering a large cross-section of currency pairs. We find compelling evidence of heterogeneous superior information across agents, time, and currency pairs, consistent with the asymmetric information theory and OTC market fragmentation. ...
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作者：Augustin, P.; Chernov, M.; Schmid, L.; Song, D.
作者单位：McGill University; University of California System; University of California Los Angeles; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of Southern California; Center for Economic & Policy Research (CEPR); Johns Hopkins University
摘要：Since the global financial crisis, interest rate swap rates, which represent future uncollateralized interbank borrowing, have fallen below maturity-matched Treasury rates. This is surprising, because US Treasuries, which are deemed expensive because of superior liquidity and safety, should produce yields that are lower than those of swap rates. We show, by no-arbitrage, that sovereign default risk explains negative swap spreads even without frictions such as balance sheet constraints, conveni...
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作者：Koijen, Ralph S. J.; Koulischer, Francois; Nguyen, Benoit; Yogo, Motohiro
作者单位：University of Chicago; National Bureau of Economic Research; University of Luxembourg; European Central Bank; Bank of France; Princeton University
摘要：Using security-level holdings for all euro-area investors, we study portfolio rebalancing during the quantitative easing program from March 2015 to December 2017. Foreign investors outside the euro area accommodated most of the Eurosystem's purchases. Duration, government credit, and corporate credit risk did not get concentrated in particular regions or investor sectors. We estimate a demand system for government bonds by instrumental variables to relate portfolio rebalancing to yield changes...
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作者：Slutzky, Pablo
作者单位：University System of Maryland; University of Maryland College Park
摘要：I study how firms deal with business regulations that limit their operations. I first show that the ownership structure of a firm affects its degree of compliance with regulations, with publicly listed firms complying more than privately held ones. This differential compliance imposes a burden on listed firms that helps explain mergers and acquisitions patterns. When regulatory levels increase, private firms acquire listed ones and listed firms stop acquiring private ones. These results uncove...
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作者：Ben-Rephael, Azi; Choi, Jaewon; Goldstein, Itay
作者单位：Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark; University of Illinois System; University of Illinois Urbana-Champaign; Yonsei University; University of Pennsylvania
摘要：Several measures of credit-market booms are known to precede downturns in real economic activity. We offer an early indicator for all known measures of credit booms. Our measure is based on intra-family flow shifts towards high-yield bond mutual funds. It predicts indicators such as growth in financial intermediary balance sheets, increase in shares of high-yield bond issuers, and downturns of various measures of credit spreads. It also directly predicts the business cycle by positively predic...
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作者：Gurun, Umit G.; Stoffman, Noah; Yonker, Scott E.
作者单位：University of Texas System; University of Texas Dallas; Indiana University System; Indiana University Bloomington; IU Kelley School of Business; Cornell University
摘要：We investigate the importance of client relationships in the financial advisory industry. We exploit firm-level variation in adoption of the Broker Protocol, which enabled clients to follow their advisers to member firms without fear of litigation. We show that advisers' ability to maintain client relationships is a significant predictor of their employment decisions; that about 40% of client assets follow advisers when they move; and that once clients are unlocked, firms become less willing t...
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作者：Leombroni, Matteo; Vedolin, Andrea; Venter, Gyuri; Whelan, Paul
作者单位：Stanford University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Boston University; Boston University; University of Warwick; Copenhagen Business School
摘要：In this paper, we argue that monetary policy in the form of central bank communication can shape long-term interest rates by changing risk premia. Using high-frequency movements of default-free rates and equity, we show that monetary policy communications by the European Central Bank on regular announcement days led to a significant yield spread between peripheral and core countries during the European sovereign debt crisis by increasing credit risk premia. We also show that central bank commu...
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作者：Jiang, Hao; Li, Sophia Zhengzi; Wang, Hao
作者单位：Michigan State University; Michigan State University's Broad College of Business; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark
摘要：We propose a novel high-frequency decomposition of daily stock returns into news-and non-news-driven components, and uncover evidence of pervasive stock market underreaction to firm news. Prices tend to drift in the same direction as the initial market response for several days after the news arrival without reversals. A trading strategy exploiting the return drift generates high abnormal returns and remains profitable after transaction costs. To understand the economic mechanism, we find that...
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作者：Li, Yi
作者单位：Federal Reserve System - USA
摘要：Postcrisis regulations apply stricter liquidity rules to both money market funds (MMFs) and banks, requiring MMFs to do more overnight lending and banks to borrow longer term. MMFs and banks resolve this dilemma by developing a bundling strategy across overnight and longer term markets. In particular, MMFs increase longer term funding and charge a lower rate to banks that have recently accommodated MMFs' overnight depositing needs. Such cross-market reciprocity is stronger between MMFs and for...
