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作者：Cortes, Kristle Romero; Strahan, Philip E.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Cleveland; Boston College; National Bureau of Economic Research
摘要：Multi-market banks reallocate capital when local credit demand increases after natural disasters. Using property damage as an instrument for lending growth, we find credit in unaffected but connected markets declines by a little less than 50 cents per dollar of additional lending in shocked areas. However, banks shield their core markets because most of the decline comes from loans in areas where banks do not own branches. Moreover, banks increase sales of more-liquid loans and they bid up the...
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作者：Calomiris, Charles W.; Larrain, Mauricio; Liberti, Jose; Sturgess, Jason
作者单位：Columbia University; National Bureau of Economic Research; DePaul University; Northwestern University
摘要：We demonstrate the central importance of creditors' ability to use movable assets as collateral (as distinct from immovable real estate) when borrowing from banks. Using a unique cross-country micro-level loan data set containing loan-to-value ratios for different assets, we find that loan-to-values of loans collateralized with movable assets are lower in countries with weak collateral laws, relative to immovable assets, and that lending is biased toward the use of immovable assets. Using sect...
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作者：Jung, Hae Won (Henny); Subramanian, Ajay
作者单位：University of Melbourne; University System of Georgia; Georgia State University; University System of Georgia; Georgia State University
摘要：We develop a structural industry equilibrium model to show how competitive chief executive officer (CEO)-firm matching and product markets jointly determine firm value and CEO pay. We analytically derive testable implications for the effects of product market characteristics on firm size, CEO pay, and CEO impact on firm value. CEO talent matters more in more competitive markets with greater product substitutabilities. Our CEO impact estimates are much higher than those obtained by previous str...
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作者：Gofman, Michael
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：The regulation of large interconnected financial institutions has become a key policy issue. To improve financial stability, regulators have proposed limiting banks' size and interconnectedness. I estimate a network-based model of the over-the-counter interbank lending market in the US and quantify the efficiency-stability implications of this policy. Trading efficiency decreases with limits on interconnectedness because the intermediation chains become longer. While restricting the interconne...
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作者：Glaeser, Edward L.; Nathanson, Charles G.
作者单位：Harvard University; Northwestern University
摘要：A model in which homebuyers make a modest approximation leads house prices to display three features present in the data but usually missing from rational models: momentum at one-year horizons, mean reversion at five-year horizons, and excess longer-term volatility relative to fundamentals. Approximating buyers assume that past prices reflect only contemporaneous demand, just like professional economists who use trends in housing prices to infer trends in housing demand. Consistent with survey...
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作者：Ahern, Kenneth R.
作者单位：University of Southern California
摘要：This paper exploits a novel hand-collected data set to provide a comprehensive analysis of the social relationships that underlie illegal insider trading networks. I find that inside information flows through strong social ties based on family, friends, and geographic proximity. On average, inside tips originate from corporate executives and reach buy-side investors after three links in the network. Inside traders earn prodigious returns of 35% over 21 days, with more central traders earning g...
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作者：Babus, Ana; Hu, Tai-Wei
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Chicago; Northwestern University
摘要：We provide a theory of trading through intermediaries in over-the-counter markets. The role of intermediaries is to sustain trade. In our model, traders are connected through an informational network. Agents observe their neighbors' actions and can trade with their counterparty in a given period through a path of intermediaries in the network. Nevertheless, agents can renege on their obligations. We show that trading through an informational network is essential to support trade when agents in...
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作者：Eraker, Bjorn; Wu, Yue
摘要：We study the returns to investing in VIX futures, VIX Exchange Traded Notes (ETNs), and variance swaps. We document substantial negative return premia for these assets. For example, the constant maturity portfolio of 1-month VIX futures loses about 30% per year over our sample period (2006-2013). We investigate if these findings are consistent with dynamic equilibrium. We derive a model based on present value computation that endogenizes stock prices, the VIX index, and its associated derivati...
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作者：Agarwal, Sumit; Ben-David, Itzhak; Yao, Vincent
作者单位：Georgetown University; University System of Ohio; Ohio State University; National Bureau of Economic Research; University System of Georgia; Georgia State University
摘要：Institutions often offer a menu of contracts to consumers in an attempt to create a separating equilibrium that reveals borrower types and provides better pricing. We test the effectiveness of a specific set of contracts in the mortgage market: mortgage points. Points allow borrowers to exchange an upfront amount for a decrease in the mortgage rate. We document that, on average, points takers lose about $700. Also, points takers are less financially savvy (less educated, older), and they make ...
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作者：Froot, Kenneth; Kang, Namho; Ozik, Gideon; Sadka, Ronnie
作者单位：Harvard University; University of Connecticut; Universite Catholique de Lille; EDHEC Business School; Boston College
摘要：We develop real-time proxies of retail corporate sales from multiple sources, including similar to 50 million mobile devices. These measures contain information from both the earnings quarter (within quarter) and the period between the quarter-end and the earnings announcement date (post quarter). Our within-quarter measure is powerful in explaining quarterly sales growth, revenue surprises, and earnings surprises, generating average excess announcement returns of 3.4%. However, our post-quart...
