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作者：Chen, Hui; Petukhov, Anton; Wang, Jiang; Xing, Hao
作者单位：National Bureau of Economic Research; Boston University; Massachusetts Institute of Technology (MIT)
摘要：Market-wide circuit breakers are trading halts aimed at stabilizing the market during dramatic price declines. Using an intertemporal equilibrium model, we show that a circuit breaker significantly alters market dynamics and affects investor welfare. As the market approaches the circuit breaker, price volatility rises drastically, accelerating the chance of triggering the circuit breaker-the so-called magnet effect, returns exhibit increasing negative skewness, and trading activity spikes up. ...
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作者：Subrahmanyam, Avanidhar; Tang, Ke; Wang, Jingyuan; Yang, Xuewei
作者单位：University of California System; University of California Los Angeles; Tsinghua University; Tsinghua University; Beihang University; Beihang University; Nanjing University; Nanjing University
摘要：We use proprietary data on intraday transactions at a futures brokerage to analyze how implied leverage influences trading performance. Across all investors, leverage is negatively related to performance, due partly to increased trading costs and partly to forced liquidations resulting from margin calls. Defining skill out-of-sample, we find that relative performance differentials across unskilled and skilled investors persist. Unskilled investors' leverage amplifies losses from lottery prefer...
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作者：Lucca, David O.; Wright, Jonathan H.
作者单位：Johns Hopkins University; Johns Hopkins University
摘要：We study the recent Australian experience with yield curve control (YCC) as perhaps the best evidence of how this policy might work in other developed economies. YCC seemingly worked well in 2020, when the market expected short rates to stay at zero for a long period of time. As the global recovery and inflation gained momentum in 2021, liftoff expectations moved up, the Reserve Bank of Australia purchased most of the targeted government bond outstanding, and the target bond's yield dislocated...
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作者：Shen, Lin; Zou, Junyuan
作者单位：INSEAD Business School; INSEAD Business School
摘要：Policymakers frequently use guarantees to mitigate panic-based runs in the financial system. We analyze a binary-action coordination game under the global games framework and propose a novel intervention program that screens investors based on their heterogeneous beliefs about the system's stability. The program only attracts investors who are at the margin of running, and their participation boosts all investors' confidence in the financial system. Compared with government guarantee programs,...
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作者：Bonaime, Alice; Wang, Ye (emma)
作者单位：University of Arizona; Stevens Institute of Technology
摘要：Using novel data from the pharmaceutical industry, we study product prices and innovation around mergers. Exploiting within-deal variation in product market consolidation, we show that prices increase more for drugs in consolidating markets than for matched control drugs. Estimates indicate a 2% average price effect that persists for about one year. Price increases expand with acquirer-target product similarity and are more pronounced within less competitive product markets with fewer players ...
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作者：Gourier, Elise; Phalippou, Ludovic; Westerfield, Mark M.
作者单位：ESSEC Business School; Centre for Economic Policy Research - UK; University of Oxford; University of Washington; University of Washington Seattle
摘要：Twelve trillion dollars are allocated to private market funds that require outside investors to commit to transferring capital on demand. We show within a novel dynamic portfolio allocation model that ex-ante commitment has large effects on investors' portfolios and welfare, and we quantify those effects. Investors are underallocated to private market funds and are willing to pay a larger premium to adjust the quantity committed than to eliminate other frictions, like timing uncertainty and li...
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作者：Agarwal, Vikas; Ruenzi, Stefan; Weigert, Florian
作者单位：University System of Georgia; Georgia State University; University of Mannheim; University of Neuchatel
摘要：We investigate hedge fund firms' unobserved performance (UP), measured as the risk-adjusted return difference between a firm's reported gross return and its portfolio return inferred from its disclosed long-equity holdings. Firms with high UP outperform those with low UP by 6.36% per annum on a risk-adjusted basis. UP is negatively associated with a firm's trading costs and positively associated with intraquarter trading in equity positions, derivatives usage, short selling, and confidential h...
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作者：Albagli, Elias; Hellwig, Christian; Tsyvinski, Aleh
作者单位：Central Bank of Chile; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Yale University
摘要：We study noisy aggregation of dispersed information in financial markets without imposing parametric restrictions on preferences, information, and return distributions. We provide a general characterization of asset returns by means of a risk-neutral probability measure that features excess weight on tail risks. Moreover, we link excess weight on tail risks to observable moments such as forecast dispersion and accuracy, and argue that it provides a unified explanation for several prominent cro...
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作者：Catherine, Sylvain; Sodini, Paolo; Zhang, Yapei
作者单位：University of Pennsylvania; Stockholm School of Economics; ShanghaiTech University; ShanghaiTech University
摘要：Using Swedish administrative panel data, we document that workers facing higher left-tail income risk when equity markets perform poorly have lower portfolio equity share. In line with theory, the relationship between cyclical skewness and stock holdings increases with the share of human capital in a worker's total wealth and vanishes as workers get closer to retirement. Cyclical skewness also predicts portfolio differences within pairs of identical twins. Our findings show that households hed...
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作者：Fournier, Mathieu; Jacobs, Kris; Orlowski, Piotr
作者单位：University of Houston System; University of Houston; Universite de Montreal; HEC Montreal; University of New South Wales Sydney
摘要：We propose a novel factor model for option returns. Option exposures are estimated nonparametrically, and factor risk premia can vary nonlinearly with states. The model is estimated using regressions with minimal assumptions on factor and option return dynamics. We estimate the model using index options to characterize the conditional risk premia for factors of interest, such as the market return, market variance, tail and intermediary risk factors, higher moments, and the VIX term structure s...
