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作者：Makarov, Igor; Schoar, Antoinette
作者单位：University of London; London School Economics & Political Science; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
摘要：Cryptocurrency markets exhibit periods of large, recurrent arbitrage opportunities across exchanges. These price deviations are much larger across than within countries, and smaller between cryptocurrencies, highlighting the importance of capital controls for the movement of arbitrage capital. Price deviations across countries co-move and open up in times of large bitcoin appreciation. Countries with higher bitcoin premia over the US bitcoin price see widening arbitrage deviations when bitcoin...
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作者：Brown, Jeffrey R.; Huang, Jiekun
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research
摘要：Using data on White House visitors from 2009 through 2015, we find that corporate executives' meetings with key policymakers are associated with positive abnormal stock returns. We also find evidence suggesting that firms receive more government contracts and are more likely to receive regulatory relief (as measured by the tone of regulatory news) following meetings with federal government officials. Using the 2016 presidential election as a shock to political access, we find that firms with a...
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作者：Bretscher, Lorenzo; Hsu, Alex; Tamoni, Andrea
作者单位：University of London; London Business School; University System of Georgia; Georgia Institute of Technology; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick
摘要：Fiscal policy matters for bond risk premia. Empirically, government spending level and uncertainty predict bond excess returns, as well as term structure level and slope movements. Shocks to government spending level and uncertainty are also priced in the cross-section of bond and stock portfolios. Theoretically, government spending level shocks raise inflation when marginal utility is high, thus generating positive inflation risk premia (term structure level effect). Uncertainty shocks steepe...
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作者：Fleckenstein, Matthias; Longstaff, Francis A.
作者单位：University of Delaware; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：We find that Treasury floating rate notes (FRNs) trade at a significant premium relative to the prices of Treasury bills and notes. This premium is directly related to the near-constant nature of FRN prices and is correlated with measures reflecting investor demand for safe assets. Money market funds are often the primary investors in FRNs, and the FRN premium is related to flows into funds with fixed net asset values, but not to flows into funds with variable net asset values. These results p...
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作者：Riggs, Lynn; Onur, Esen; Reiffen, David; Zhu, Haoxiang
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：The Dodd-Frank Act mandates that certain standard over-the-counter (OTC) derivatives must be traded on swap execution facilities (SEFs). Using message-level data, we provide a granular analysis of dealers' and customers' trading behavior on the two largest dealer-to-customer SEFs for index credit default swaps (CDS). On average, a typical customer contacts few dealers when seeking liquidity. A theoretical model shows that the benefit of competition through wider order exposure is mitigated by ...
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作者：Corradin, Stefano; Maddaloni, Angela
作者单位：European Central Bank
摘要：We study how the Italian sovereign bond scarcity premia, specialness, in the repo market were affected by the European Central Bank (ECB)'s purchases during the euro area sovereign debt crisis. We propose and calibrate a search-based dynamic model with a central bank acting as a buy-and-hold investor. Consistent with model predictions, ECB purchases drive specialness of targeted securities in combination with short-selling. Special benchmark bonds entail a positive cash premium, but their mark...
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作者：Ali, Usman; Hirshleifer, David
作者单位：University of California System; University of California Irvine
摘要：Identifying firm connections by shared analyst coverage, we find that a connected-firm (CF) momentum factor generates a monthly alpha of 1.68% (t=9.67). In spanning regressions, the alphas of industry, geographic, customer, customer/supplier industry, single- to multi-segment, and technology momentum factors are insignificant/negative after controlling for CF momentum. Similar results hold in cross-sectional regressions and in developed international markets. Sell-side analysts incorporate new...
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作者：Carapella, Francesca; Monnet, Cyril
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Study Center Gerzensee; Bank for International Settlements (BIS); University of Bern
摘要：We develop a parsimonious model to study the effect of regulations aimed at reducing counterparty risk on the structure of over-the-counter securities markets. We find that such regulations promote entry of dealers, thus fostering competition and lowering spreads. Greater competition, however, has an indirect negative effect on market-making profitability. General equilibrium effects imply that more competition can distort incentives of all dealers to invest in efficient technologies ex ante a...
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作者：Chabakauri, Georgy; Han, Brandon Yueyang
作者单位：University of London; London School Economics & Political Science; University System of Maryland; University of Maryland College Park
摘要：We study the effects of collateral constraints in an economy populated by investors with nonpledgeable labor incomes and heterogeneous preferences and beliefs. We show that these constraints inflate stock prices and generate spikes and crashes in price-dividend ratios and volatilities, clustering of volatilities, and leverage cycles. They also lead to substantial decreases in interest rates and increases in Sharpe ratios when investors are anxious about hitting constraints due to production cr...
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作者：Chen, Huaizhi; Cohen, Lauren; Gurun, Umit; Lou, Dong; Malloy, Christopher
作者单位：University of Notre Dame; Harvard University; National Bureau of Economic Research; University of Texas System; University of Texas Dallas; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK
摘要：Using a novel database that tracks web traffic on the Security Exchange Commission's EDGAR server between 2004 and 2015, we show that institutional investors gather information on a very particular subset of firms and insiders, and their surveillance is very persistent over time. This tracking behavior has powerful implications for their portfolio choice and its information content. An institution that downloaded an insider trading filing by a given firm last quarter increases its likelihood o...
