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作者：Barbiero, Francesca; Schepens, Glenn; Sigaux, Jean-David
作者单位：European Central Bank; European Central Bank
摘要：This paper shows that the liquidation value of collateral depends on the interdependency between borrower and collateral risk. Using transaction-level data on short-term repurchase agreements (repo), we show that borrowers pay a premium of 1.1 to 2.6 basis points when their default risk is positively correlated with the risk of the collateral that they pledge. Moreover, we show that borrowers internalize this premium when making their collateral choices. Loan-level credit registry data suggest...
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作者：Schoar, Antoinette
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作者：Bogousslavsky, Vincent; Fos, Vyacheslav; Muravyev, Dmitriy
作者单位：Boston College; Michigan State University; Michigan State University's Broad College of Business
摘要：We train a machine learning method on a class of informed trades to develop a new measure of informed trading, informed trading intensity (ITI). ITI increases before earnings, mergers and acquisitions, and news announcements, and has implications for return reversal and asset pricing. ITI is effective because it captures nonlinearities and interactions between informed trading, volume, and volatility. This data-driven approach can shed light on the economics of informed trading, including impa...
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作者：Mccartney, W. ben; Orellana-li, John; Zhang, Calvin
作者单位：University of Virginia; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University of Virginia
摘要：Political identity and partisanship are salient features of today's society. Using deeds records and voter rolls, we show that current residents are more likely to sell their homes when opposite-party neighbors move in nearby than when unaffiliated or same-party neighbors do. This is especially true when the new neighbors are politically active, consistent with an animosity between parties mechanism. We conclude that affective polarization is not limited to purely political settings and affect...
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作者：Bybee, Leland; Kelly, Bryan; Manela, Asaf; Xiu, Dacheng
作者单位：Yale University; National Bureau of Economic Research; Washington University (WUSTL); University of Chicago
摘要：We propose an approach to measuring the state of the economy via textual analysis of business news. From the full text of 800,000 Wall Street Journal articles for 1984 to 2017, we estimate a topic model that summarizes business news into interpretable topical themes and quantifies the proportion of news attention allocated to each theme over time. News attention closely tracks a wide range of economic activities and can forecast aggregate stock market returns. A text-augmented vector autoregre...
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作者：Acharya, Viral V.; Rajan, Raghuram
作者单位：New York University; Centre for Economic Policy Research - UK; European Corporate Governance Institute; National Bureau of Economic Research; University of Chicago
摘要：Central bank balance sheet expansion, through actions like quantitative easing, is run through commercial banks. While this increases liquid central bank reserves held on commercial bank balance sheets, demandable uninsured deposits issued to finance the reserves also increase. Subsequent shrinkage in the central bank balance sheet may entail shrinkage in bank-held reserves without a commensurate reduction in deposit claims. Furthermore, during episodes of liquidity stress, when many claims on...
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作者：D'Avernas, Adrien; Vandeweyer, Quentin
作者单位：Stockholm School of Economics; Swedish House of Finance; University of Chicago
摘要：We propose a model of post-Great Financial Crisis (GFC) money markets and monetary policy implementation. In our framework, capital regulation may deter banks from intermediating liquidity derived from holding reserves to shadow banks. Consequently, money markets can be segmented, and the scarcity of Treasury bills available to shadow banks is the main driver of short-term spreads. In this regime, open market operations have an inverse effect on net liquidity provision when swapping ample rese...
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作者：Buchak, Greg
作者单位：Stanford University; Stanford University
摘要：Unlike traditional firm production, gig economy workers provide their own physical capital. As a consequence, the low-income households for whom gig economy opportunities are most valuable often borrow to participate. In the context of ride share, difference-in-difference analysis reveals increased vehicle purchases, borrowing, utilization, and employment around entry, but financially constrained individuals cannot participate. To assess the equilibrium importance of financing, I build and est...
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作者：Barber, Brad M.; Huang, Xing; Jorion, Philippe; Odean, Terrance; Schwarz, Christopher
作者单位：University of California System; University of California Davis; Washington University (WUSTL); University of California System; University of California Irvine; University of California System; University of California Berkeley; University of California System; University of California Irvine
摘要：We placed 85,000 retail trades in six retail brokerage accounts from December 2021 to June 2022 to validate the Boehmer et al. algorithm, which uses subpenny trade prices to identify and sign retail trades. The algorithm identifies 35% of our trades as retail, incorrectly signs 28% of identified trades, and yields uninformative order imbalance measures for 30% of stocks. We modify the algorithm by signing trades using the quoted spread midpoints. The quote midpoint method does not affect ident...
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作者：Ferreira, Daniel; Nikolowa, Radoslawa
作者单位：University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; European Corporate Governance Institute; University of London; Queen Mary University London; University of London; London School Economics & Political Science
摘要：We develop a theory in which financial (and other professional services) firms design career structures to sell prestigious jobs to qualified candidates. Firms create less prestigious entry-level jobs, which serve as currency for employees to pay for the right to compete for the more prestigious jobs. In optimal career structures, entry-level employees (associates) compete for better-paid and more prestigious positions (managing directors or partners). The model provides new implications relat...
