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作者：Cooperman, Harry; Duffie, Darrell; Luck, Stephan; Wang, Zachry; Yang, Yilin (david)
作者单位：City University of Hong Kong
摘要：Corporate credit lines are drawn more heavily when funding markets are stressed. This elevates expected bank funding costs. We show that credit supply is dampened by the associated debt-overhang cost to bank shareholders. Until 2022, this impact was reduced by linking the interest paid on lines to a credit-sensitive reference rate like the London interbank offered rate (LIBOR). We show that transition to risk-free reference rates may exacerbate this friction. The adverse impact on credit suppl...
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作者：Allen, Jason; Li, Shaoteng
作者单位：Bank of Canada; University of Wisconsin System; University of Wisconsin Madison
摘要：Using contract-level data for the Canadian mortgage market, this paper provides evidence of an invest-and-harvest pricing pattern. We build a dynamic model of price negotiation with search and switching frictions to capture key market features. We estimate the model and use it to investigate the effects of market frictions and the resulting dynamic competition on borrowers' and banks' payoffs. We show that dynamic pricing and the presence of search and switching costs have important implicatio...
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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...
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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...
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作者：Huang, Jing-zhi; Nozawa, Yoshio; Shi, Zhan
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Toronto; University of Toronto; University Toronto Scarborough; Tsinghua University
摘要：We examine the ability of structural models to predict credit spreads using global default data and security-level credit spread data in eight developed economies. We find that two representative, pure default-risk models tend to underpredict the average credit spreads on investment-grade (IG) bonds, especially their spreads over government bonds, thereby providing evidence for a global credit spread puzzle. However, a model incorporating endogenous liquidity in the secondary debt market helps...
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作者：Dugast, Jerome; Foucault, Thierry
作者单位：Universite PSL; Universite Paris-Dauphine; Centre National de la Recherche Scientifique (CNRS); Hautes Etudes Commerciales (HEC) Paris
摘要：We study theoretically how the proliferation of new data (data abundance) affects the allocation of capital between quantitative and nonquantitative asset managers (data miners and experts), their performance, and price informativeness. Data miners search for predictors of asset payoffs and select those with a sufficiently high precision. Data abundance raises the precision of the best predictors, but it can induce data miners to search less intensively for high-precision signals. In this case...
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作者：Brogaard, Jonathan; Ringgenberg, Matthew C.; Roesch, Dominik
作者单位：Utah System of Higher Education; University of Utah; State University of New York (SUNY) System; University at Buffalo, SUNY
摘要：Although algorithmic trading now dominates financial markets, some exchanges continue to use human floor traders. On March 23, 2020 the NYSE suspended floor trading because of COVID-19. Using a difference-in-differences analysis around the closure of the floor, we find that floor traders are important contributors to market quality. The suspension of floor trading leads to higher spreads and larger pricing errors for treated stocks relative to control stocks. To explore the mechanism, we explo...
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作者：Giglio, Stefano; Xiu, Dacheng; Zhang, Dake
作者单位：National Bureau of Economic Research; Yale University; Centre for Economic Policy Research - UK; University of Chicago; National Bureau of Economic Research; Shanghai Jiao Tong University
摘要：We show that two important issues in empirical asset pricing-the presence of weak factors and the selection of test assets-are deeply connected. Since weak factors are those to which test assets have limited exposure, an appropriate selection of test assets can improve the strength of factors. Building on this insight, we introduce supervised principal component analysis (SPCA), a methodology that iterates supervised selection, principal-component estimation, and factor projection. It enables ...
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作者：Fontaine, JEAN-SeBASTIEN; Garcia, Rene; Gungor, Sermin
作者单位：Bank of Canada
摘要：The aggregate leverage of broker-dealers responds to demand and supply disturbances that have opposite effects on financial markets. Specifically, leverage supply shocks that relax broker-dealers' funding constraints increase leverage, liquidity, and returns and carry a positive price of risk, while leverage demand shocks also increase leverage but reduce liquidity and returns and carry a negative price of risk. Disentangling demand- and supply-like shocks resolves existing puzzles around the ...
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作者：Johnston-ross, Emily; Ma, Song; Puri, Manju
作者单位：Yale University; National Bureau of Economic Research; Duke University
摘要：This paper investigates the role of private equity (PE) in failed-bank resolutions after the 2008 financial crisis, using proprietary Federal Deposit Insurance Corporation failed-bank acquisition data. PE investors made substantial investments in underperforming and riskier failed banks, particularly in geographies where local banks were also distressed, filling the gap created by a weak, undercapitalized banking sector. Using a quasi-random empirical design based on detailed bidding informati...
