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作者：Hong, Harrison; Kubik, Jeffrey D.; Fishman, Tal
作者单位：Princeton University; Syracuse University
摘要：We test the hypothesis that arbitrageurs amplify economic shocks in equity markets. The ability of speculators to hold short positions depends on asset values. Shorts are often reduced following good news about a stock. Therefore, the prices of highly shorted stocks are excessively sensitive to shocks compared with stocks with little short interest. We confirm this hypothesis using several empirical strategies including two quasi-experiments. In particular, we establish that the price of highl...
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作者：Gennaioli, Nicola; Shleifer, Andrei; Vishny, Robert
作者单位：Harvard University; National Bureau of Economic Research; University of Chicago
摘要：We present a standard model of financial innovation, in which intermediaries engineer securities with cash flows that investors seek, but modify two assumptions. First, investors (and possibly intermediaries) neglect certain unlikely risks. Second, investors demand securities with safe cash flows. Financial intermediaries cater to these preferences and beliefs by engineering securities perceived to be safe but exposed to neglected risks. Because the risks are neglected, security issuance is ex...
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作者：Allen, Franklin; Babus, Ana; Carletti, Elena
作者单位：University of Pennsylvania; Imperial College London; European University Institute
摘要：We develop a model in which asset commonality and short-term debt of banks interact to generate excessive systemic risk. Banks swap assets to diversify their individual risk. Two asset structures arise. In a clustered structure, groups of banks hold common asset portfolios and default together. In an unclustered structure, defaults are more dispersed. Portfolio quality of individual banks is opaque but can be inferred by creditors from aggregate signals about bank solvency. When bank debt is s...
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作者：Manconi, Alberto; Massa, Massimo; Yasuda, Ayako
作者单位：University of California System; University of California Davis; Tilburg University; Tilburg University; INSEAD Business School
摘要：Using novel data on investors' bond portfolios, we study the contagion of the crisis from securitized bonds to corporate bonds. When securitized bonds became toxic in August 2007, mutual funds retained the now illiquid securitized bonds and sold corporate bonds. Funds with negative flows or high liquidity needs liquidated more than others. Yield spreads increased more for corporate bonds whose pre-crisis bondholders were more heavily exposed to securitized bonds, compared to same-issuer bonds ...
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作者：Bajgrowicz, Pierre; Scaillet, Olivier
作者单位：University of Geneva; University of Geneva
摘要：We revisit the apparent historical success of technical trading rules on daily prices of the Dow Jones Industrial Average index from 1897 to 2011, and we use the false discovery rate (FDR) as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules, which allows diversifying against model uncertainty. Persistence tests show that, even with the more powerful FDR technique, an investor would never have been able to select ex ante...
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作者：Golez, Benjamin; Jackwerth, Jens Carsten
作者单位：University of Konstanz; University of Notre Dame
摘要：We show that Standard & Poor's (S&P) 500 futures are pulled toward the at-the-money strike price on days when serial options on the S&P 500 futures expire (pinning) and are pushed away from the cost-of-carry adjusted at-the-money strike price right before the expiration of options on the S&P 500 index (anti-cross-pinning). These effects are driven by the interplay of market makers' rebalancing of delta hedges due to the time decay of those hedges as well as in response to reselling (and early ...
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作者：Huizinga, Harry; Laeven, Luc
作者单位：Tilburg University; International Monetary Fund
摘要：This paper shows that banks overstate the value of distressed assets and their regulatory capital during the US mortgage crisis. Real estate-related assets are overvalued in banks' balance sheets, especially those of bigger banks, compared to the market value of these assets. Banks with large exposure to mortgage-backed securities also provision less for bad loans. Furthermore, distressed banks use discretion over the classification of mortgage-backed securities to inflate their books. Our res...
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作者：Mitchell, Mark; Pulvino, Todd
摘要：The imminent failure of prime brokers during the 2008 financial crisis caused a sudden decrease in the leverage afforded hedge funds. This decrease resulted from the asymmetrical payoff to rehypothecation lenders-the ultimate financiers, through prime brokers, to hedge funds. Seemingly long-term debt capital became short-term capital creating a duration mismatch between left-hand side arbitrage opportunities and right-hand side liabilities. Consequently, arbitrageurs became unable to maintain ...
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作者：Aragon, George O.; Strahan, Philip E.
作者单位：University of Pennsylvania; Boston College; National Bureau of Economic Research; Arizona State University; Arizona State University-Tempe
摘要：Hedge funds using Lehman as prime broker faced a decline in funding liquidity after the September 15, 2008 bankruptcy. We find that stocks held by these Lehman-connected funds experienced greater declines in market liquidity following the bankruptcy than other stocks; the effect was larger for ex ante illiquid stocks and persisted into the beginning of 2009. We find no similar effects surrounding the Bear Stearns failure, suggesting that disruptions surrounding bankruptcy explain the liquidity...
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作者：Schultz, Paul
作者单位：University of Notre Dame
摘要：I examine how transparency and interdealer trading affects prices investors pay in municipal bond offerings. Real-time trade reporting for municipal bonds started January 31, 2005. The dispersion of purchase prices fell sharply at that time. There was little impact on average markups for most trades, but they increased for purchases of more than $100,000. Bonds often pass through a series of dealers before being placed with a buy-and-hold investor. As the interdealer trades progress, trade siz...
