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作者：Goldstein, Ray; Yang, Liyan
作者单位：University of Pennsylvania; University of Toronto; Peking University
摘要：We study real-efficiency implications of disclosing public information in a model with multiple dimensions of uncertainty where market prices convey information to a real decision maker. Paradoxically, when disclosure concerns a variable that the real decision maker cares to learn about, disclosure negatively affects price informativeness, and in markets that are effective in aggregating private information, this negative price-informativeness effect can dominate so that better disclosure nega...
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作者：Easley, David; O'Hara, Maureen; Basu, Soumya
作者单位：Cornell University; Cornell University; University of Technology Sydney; Cornell University; Cornell University; Cornell University
摘要：We investigate the role that transaction fees play in the bitcoin blockchain's evolution from a mining-based structure to a market-based ecology. We develop a game-theoretic model to explain the factors leading to the emergence of transactions fees, as well as to explain the strategic behavior of miners and users. Our model highlights the role played by mining rewards, transaction fees, price, and waiting time, discusses welfare issues, and examines how microstructure features such as exogenou...
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作者：Grosse-Rueschkamp, Benjamin; Steffen, Sascha; Streitz, Daniel
作者单位：European School of Management & Technology; Frankfurt School Finance & Management; Copenhagen Business School; Danish Finance Institute
摘要：We study the transmission channels from central banks' quantitative easing programs via the banking sector when central banks start purchasing corporate bonds. We find evidence consistent with a capital structure channel of monetary policy. The announcement of central bank purchases reduces the bond yields of firms whose bonds are eligible for central bank purchases. These firms substitute bank term loans with bond debt, thereby relaxing banks' lending constraints: banks with low tier-1 ratios...
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作者：Jensen, Christian Skov; Lando, David; Pedersen, Lasse Heje
作者单位：Bocconi University; Copenhagen Business School; New York University; Centre for Economic Policy Research - UK
摘要：We characterize when physical probabilities, marginal utilities, and the discount rate can be recovered from observed state prices for several future time periods. We make no assumptions of the probability distribution, thus generalizing the time-homogeneous stationary model of Ross (2015). Recovery is feasible when the number of maturities with observable prices is higher than the number of states of the economy (or the number of parameters characterizing the pricing kernel). When recovery is...
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作者：Cai, Fang; Han, Song; Li, Dan; Li, Yi
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We examine the extent to which institutional investors herd in the U.S. corporate bond market and the price impact of their herding behavior. We find that the level of institutional herding in corporate bonds is substantially higher than what is documented for equities, and that sell herding is much stronger and more persistent than buy herding. The price impact of herding is also highly asymmetric. While buy herding facilitates price discovery, sell herding causes transitory yet large price d...
