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作者：Huang, Shiyang; Hwang, Byoung-Hyoun; Lou, Dong
作者单位：University of Hong Kong; Nanyang Technological University; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK
摘要：We study the transmission of financial news and opinions through social interactions among retail investors in the United States. We identify a series of plausibly exogenous shocks, which cause treated investors to trade abnormally. We then trace the contagion of abnormal trading activity from the treated investors to their neighbors and their neighbors' neighbors. Coupled with methodology drawn from epidemiology, our setting allows us to estimate the rate of communication and how it varies wi...
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作者：Bae, Kee-Hong; Bailey, Warren; Kang, Jisok
作者单位：York University - Canada; Cornell University; Fudan University; Fudan University; University System of Ohio; John Carroll University
摘要：The stock market should fund promising new firms, thereby breeding competition, innovation, and economic growth. However, using three decades of data from 47 countries, we show that concentrated stock markets dominated by a small number of very successful firms are associated with less efficient capital allocation, sluggish initial public offering and innovation activity, and slower economic growth. These findings are robust to alternative sample periods, econometric specifications, and compet...
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作者：Wang, Xinjie; Wu, Yangru; Yan, Hongjun; Zhong, Zhaodong (Ken)
作者单位：Southern University of Science & Technology; Rutgers University System; Rutgers University New Brunswick; DePaul University
摘要：We use the advent of new credit default swap (CDS) trading conventions in April 2009-the CDS Big Bang-to study how a shock to funding liquidity impacts market liquidity. After the Big Bang, traders are required to pay upfront fees to execute CDS transactions, with the size of the fees depending on the level of CDS spreads. While CDS bid-ask spreads decline in aggregate after the Big Bang, they do so less for contracts that require larger fees. Furthermore, the funding effect is stronger for sm...
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作者：Ranaldo, Angelo; Schaffner, Patrick; Vasios, Michalis
作者单位：University of St Gallen; Bank of England
摘要：We analyze the effects of prudential regulation on short-term interest rates. The European Market Infrastructure Regulation (EMIR) induces clearing houses (CCPs) to supply large amounts of cash in reverse repurchase agreements (repos). Basel III, in contrast, disincentivizes the borrowing demand by tightening banks' balance sheet constraints. Using unique regulatory data of CCP investment activity and repo transactions, we find compelling evidence for both the supply and demand channels. The o...
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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：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：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...
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作者：Kleiner, Kristoph; Stoffman, Noah; Yonker, Scott E.
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Cornell University
摘要：We show information spillovers limit the effectiveness of targeted debt relief programs. We study individuals who learn about the likelihood of debt relief from the recent experiences of workplace peers filing for bankruptcy protection. Peers granted bankruptcy can discharge debts, while peers facing dismissal lose all protections. Exploiting the random assignment of judges to bankruptcy cases, we determine that individuals with a dismissed peer are significantly less likely to file for bankru...
