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作者：Schwarz, Christopher; Barber, Brad; Huang, Xing; Jorion, Philippe; Odean, Terrance
作者单位：University of California System; University of California Irvine; University of California System; University of California Davis; Washington University (WUSTL); University of California System; University of California Berkeley
摘要：We compare execution quality of six brokerage accounts across five brokers by generating a sample of 85,000 simultaneous market orders. Commission levels and payment for order flow (PFOF) differ across our accounts. We find that execution prices vary significantly across brokers: the mean account-level round-trip cost ranges from 0.07% to 0.46%, excluding any commissions. The dispersion is due to off-exchange wholesalers systematically giving different execution prices for the same trades to d...
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作者：Krishnamurthy, Arvind
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作者：Anderson, Alyssa; Du, Wenxin; Schlusche, Bernd
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Harvard University
摘要：We study the impact of the U.S. money market fund reform implemented in October 2016 on global banks' funding supply and business activities. We show that the reform induced a large negative wholesale funding shock for global banks. In contrast to the conventional bank lending channel, the primary response of global banks to the reform was a cutback in arbitrage positions that relied on unsecured funding, rather than a reduction in loan provision. We discuss the role of postcrisis liquidity re...
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作者：Parker, Jonathan A.; Schoar, Antoinette; Cole, Allison; Simester, Duncan
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Arizona State University; Arizona State University-Tempe
摘要：Using account-level data on millions of U.S. middle-class investors over 2006 to 2018, we characterize the share of investable wealth that they hold in the stock market over their working lives. Relative to the 1990s, this share has both risen by 10% and become age-dependent. The Pension Protection Act (PPA)-which allowed target date funds (TDFs) to be default options in retirement plans-played an important role: younger (older) workers starting at a firm after TDFs became the default option p...
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作者：Amaral, Francisco; Dohmen, Martin; Kohl, Sebastian; Schularick, Moritz
作者单位：University of Zurich; Swiss Finance Institute (SFI); University of Bonn; Free University of Berlin; Leibniz Association; Institut fur Weltwirtschaft an der Universitat Kiel (IFW); Institut d'Etudes Politiques Paris (Sciences Po)
摘要：This paper makes the first comprehensive attempt to study within-country heterogeneity of housing returns. We introduce a new city-level data set covering 15 OECD countries over 150 years and show that national housing markets are characterized by systematic spatial variation in housing returns. Total returns in large agglomerations are close to 100 basis points lower per year than in other parts of the same country. Excess returns outside the large cities can be rationalized as compensation f...
