-
作者：Krishnamurthy, Arvind; Muir, Tyler
作者单位：Stanford University; National Bureau of Economic Research; University of California System; University of California Los Angeles
摘要：We analyze the behavior of credit and output in financial crises using data on credit spreads and credit growth. Crises are marked by a sharp rise in credit spreads, signaling sudden shifts in expectations. The severity of a crisis can be predicted by the extent of credit losses (spread increases) and financial sector fragility (precrisis credit growth). This interaction is a key feature of crises. Postcrisis recessions are typically severe and prolonged. Notably, precrisis spreads tend to dro...
-
作者：Hoffmann, Florian; Vladimirov, Vladimir
作者单位：University of Amsterdam
摘要：We investigate a seller's strategic choice between optimally structured negotiations with fewer bidders and an auction with more competing bidders when payments can have a contingent component, as is common in mergers and acquisitions (M&A), patent licensing, and employee compensation. The key factor favoring negotiations is that it allows the seller to set her preferred payment structure-that is, the revenue-maximizing mix of cash and contingent pay; reserve prices are of secondary importance...
-
作者：Muravyev, Dmitriy; Pearson, Neil D.; Pollet, Joshua M.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：Short-sale costs eliminate the abnormal returns on asset pricing anomaly portfolios. While many anomalies persist out-of-sample before accounting for short-sale costs, they cannot be exploited with long-short strategies due to stock borrow fees. Using a comprehensive sample of 162 anomalies, the average long-short portfolio return is a significant 0.14% per month before short-sale costs, and the returns are due to the short leg. However, the average is -0.01% once returns are adjusted for borr...
-
作者：Kaplan, Steven N.
作者单位：University of Chicago; University of Chicago; National Bureau of Economic Research
-
作者：Ke, Da
作者单位：University of South Carolina System; University of South Carolina Columbia
摘要：This paper highlights the simple fact that households typically consist of multiple members who may hold divergent views, a fact that existing approaches to measuring and modeling household macroeconomic expectations largely abstract from. Using unique data on the macroeconomic expectations of both spouses, I document substantial intrahousehold disagreement about inflation, economic recessions, and stock market returns. I further show that household asset allocation decisions are shaped by dis...
-
作者：Lehar, Alfred; Parlour, Christine
作者单位：University of Calgary; University of California System; University of California Berkeley
摘要：Uniswap is a system of smart contracts on the Ethereum blockchain and is the largest decentralized exchange with a liquidity balance worth up to 4 billion USD and daily trading volume of up to 7 billion USD. It is a new model of liquidity provision, so-called automated market making. For this new market form, we characterize equilibrium in the liquidity pools. We collect all 95.8 million Uniswap interactions and compare this automated market maker (AMM) to a centralized limit order book. We do...
-
作者：Luo, Dan
作者单位：Chinese University of Hong Kong
摘要：An entrepreneur makes offers to multiple investors to fund a project that requires a minimum investment. Concerned about other investors' decisions, each investor strategically communicates information about the project to others. When investors have conflicts of interest, those with contractually stronger incentives to invest attempt to persuade others to invest. Depending on the project's ex ante quality, the entrepreneur may promise investors different returns to create conflicts of interes...
-
作者：Kremens, Lukas; Martin, Ian W. R.; Varela, Liliana
作者单位：University of Washington; University of Washington Seattle; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK
摘要：We study exchange rate expectations in surveys of financial professionals and find that they successfully forecast currency appreciation at the two-year horizon, both in and out of sample. Exchange rate expectations are also interpretable, in the sense that three macro-finance variables-the risk-neutral covariance between the exchange rate and equity market, the real exchange rate, and the current account relative to GDP-explain most of their variation. There is no secret sauce, however, in ex...
-
作者：Catherine, Sylvain; Miller, Max; Sarin, Natasha
作者单位：University of Pennsylvania; Harvard University; Yale University
摘要：Recent influential work finds large increases in inequality in the United States based on measures of wealth concentration that notably exclude the value of social insurance programs. This paper shows that top wealth shares have not changed much over the last three decades when Social Security is properly accounted for. This is because Social Security wealth increased substantially from $7.2 trillion in 1989 to $40.6 trillion in 2019 and now represents nearly 50% of the wealth of the bottom 90...
-
作者：Hoberg, Gerard; Phillips, Gordon M.
作者单位：University of Southern California; Dartmouth College; National Bureau of Economic Research
摘要：We provide evidence using firm 10-Ks that over the past 30 years, U.S. firms have expanded their scope of operations. Increases in scope were achieved largely without increasing traditional operating segments. Scope expansion significantly increases valuation and is realized primarily through acquisitions and investment in R&D, but not through capital expenditures. Traditional concentration ratios do not capture this expansion of scope. Our findings point to a new type of firm that increases s...
