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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：Charles, Constantin; Frydman, Cary; Kilic, Mete
作者单位：University of London; London School Economics & Political Science; University of Southern California
摘要：We experimentally study the transmission of subjective expectations into actions. Subjects in our experiment report valuations that are far too insensitive to their expectations, relative to the prediction from a frictionless model. We propose that the insensitivity is driven by a noisy cognitive process that prevents subjects from precisely computing asset valuations. The empirical link between subjective expectations and actions becomes stronger as subjective expectations approach rational e...
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作者：Jagannathan, Ravi
作者单位：Northwestern University; Northwestern University; Northwestern University
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作者：Jiang, Zhengyang; Lustig, Hanno; Van Nieuwerburgh, Stijn; Xiaolan, Mindy Z.
作者单位：Northwestern University; Stanford University; Columbia University; University of Texas System; University of Texas Austin
摘要：A higher U.S. government debt-to-output (D-O) ratio does not forecast higher surpluses or lower returns on Treasurys in the future. Neither future cash flows nor discount rates account for the variation in the current D-O ratio. The market valuation of Treasurys is surprisingly insensitive to macro fundamentals. Instead, the future D-O ratio accounts for most of the variation because the D-O ratio is highly persistent. Systematic surplus forecast errors may help account for these findings. Sin...
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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：Fleckenstein, Matthias; Longstaff, Francis a.
作者单位：University of Delaware; National Bureau of Economic Research
摘要：We provide estimates of Treasury convenience premia across the entire term structure of Treasury bills, notes, and bonds over more than a quarter of a century and document a variety of key stylized facts about their time-series and cross-sectional patterns. These results raise concerns about the evolving nature of Treasury markets and suggest that investors may now place less weight on the traditional role of Treasury securities as liquid trading vehicles. These stylized facts provide empirica...
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作者：Bisetti, Emilio; Karolyi, Stephen a.
作者单位：Hong Kong University of Science & Technology; United States Department of the Treasury; Office of the Comptroller of the Currency
摘要：We show that public banks face negative stock return jumps after missing their earnings per share (EPS) targets, and theoretically and quantitatively link these jumps to bunching behavior in the EPS surprise distribution. Bunching banks cut deposit rates to meet their targets, but do so at the expense of deposit outflows and franchise value losses. Local competitors, including private banks unexposed to capital market pressure, increase deposit rates, compensating depositors for switching. Our...
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作者：Maio, Paulo
作者单位：Hanken School of Economics; Getulio Vargas Foundation
摘要：The claim by Liu and Matthies (LM) that their macro news risk factor (NI) prices 51 portfolios (associated with four different portfolio groups) is not appropriate. In fact, their single-factor model is successful only in explaining the momentum deciles, while producing strongly negative performance for the remaining groups. The pricing performance is more doubtful in the case of the alternative news factor (HNI), as the respective risk price is not identified. LM's conclusions stem from a com...
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作者：Fuster, Andreas; Lo, Stephanie H.; Willen, Paul S.
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK; Federal Reserve System - USA; Federal Reserve Bank - Boston; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Boston
摘要：We introduce a new measure of the price charged by financial intermediaries for connecting mortgage borrowers with capital market investors. Based on administrative lender pricing data, we document that the price of intermediation reacts strongly to variation in demand, reflecting capacity constraints of mortgage originators. This positive comovement of price with quantity reduced the pass-through of quantitative easing. We also find a notable upward trend in this price between 2008 and 2014, ...
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作者：Niepelt, Dirk
作者单位：University of Bern; Centre for Economic Policy Research - UK; University of Bern
摘要：We analyze the role of retail central bank digital currency (CBDC) and reserves when banks exert deposit market power and liquidity transformation entails externalities. Optimal monetary architecture minimizes the social costs of liquidity provision, and optimal monetary policy follows modified Friedman rules. Interest rates on reserves and CBDC should differ. Calibrations robustly suggest that CBDC provides liquidity more efficiently than deposits unless the central bank must refinance banks ...
