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作者：Davila, Eduardo
作者单位：Yale University
摘要：This paper characterizes the optimal transaction tax in an equilibrium model of financial markets. If investors hold heterogeneous beliefs unrelated to their fundamental trading motives and the planner calculates welfare using any single belief, a positive tax is optimal, regardless of the magnitude of fundamental trading. Under some conditions, the optimal tax is independent of the planner's belief. The optimal tax can be implemented by adjusting its value until total volume equals fundamenta...
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作者：Hanley, Kathleen Weiss
作者单位：Lehigh University
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作者：Schilling, Linda M.
作者单位：Washington University (WUSTL); Washington University (WUSTL)
摘要：This paper analyzes a regulator's optimal strategic delay of resolving banks when the regulator's announcement of the intervention delay endogenously affects the depositors' run propensity. Given intervention, the regulator either liquidates the remaining illiquid assets (prompt corrective action) or continues managing the assets at a reduced skill level (resolution under receivership). In either case, I show that if the regulator tolerates fewer withdrawals until intervention, the depositors ...
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作者：Kelly, Bryan; Palhares, Diogo; Pruitt, Seth
作者单位：Yale University; National Bureau of Economic Research; Arizona State University; Arizona State University-Tempe; Arizona State University; Arizona State University-Tempe
摘要：We propose a conditional factor model for corporate bond returns with five factors and time-varying factor loadings. We have three main empirical findings. First, our factor model excels in describing the risks and returns of corporate bonds, improving over previously proposed models in the literature by a large margin. Second, our model recommends a systematic bond investment portfolio whose high out-of-sample Sharpe ratio suggests that the credit risk premium is notably larger than previousl...
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作者：Bogousslavsky, Vincent; Collin-Dufresne, Pierre
作者单位：Boston College; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Center for Economic & Policy Research (CEPR)
摘要：We examine the dynamics of liquidity using a comprehensive sample of U.S. stocks in the post-decimalization period. Motivated by a continuous-time inventory model, we compute a high-frequency measure of order imbalance volatility to proxy for the inventory risk faced by liquidity providers. We show that high-frequency order imbalance volatility is an important driver of liquidity and explains the often positive time-series relation between spread and volume for large stocks, which seems to run...
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作者：Li, Jiasun
作者单位：George Mason University
摘要：When a group of investors with dispersed private information jointly invest in a risky project, how should they divide the project's profit? We show that a simple contract dividing profits in proportion to investors' risk tolerances may facilitate information aggregation by altering investors' risk-taking incentives when they decide on how investment strategies respond to private information. Our results provide a contracting-based approach for information aggregation, which is an alternative ...
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作者：Davydiuk, Tetiana; Richard, Scott; Shaliastovich, Ivan; Yaron, Amir
作者单位：Carnegie Mellon University; University of Wisconsin System; University of Wisconsin Madison; University of Pennsylvania; National Bureau of Economic Research; Bank of Israel; Carnegie Mellon University
摘要：We use market data on corporate bonds and equities to measure the value of U.S. corporate assets and their payouts to investors. In contrast to equity dividends, total corporate payouts are highly volatile, turn negative when corporations raise capital, and are acyclical. At the same time, corporate asset returns are similar to returns on equity, and both are exposed to fluctuations in economic growth. To reconcile this evidence, we argue that acyclical but volatile net repurchases mask the ex...
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作者：He, Alex Xi; Le Maire, Daniel
作者单位：University System of Maryland; University of Maryland College Park; University of Copenhagen; University System of Maryland; University of Maryland College Park
摘要：We study the causal effect of liquidity constraints on individual labor market outcomes by exploiting the 1992 mortgage reform in Denmark, which for the first time allowed homeowners to borrow against housing equity for nonhousing purposes. Following the reform, liquidity-constrained homeowners increased debt levels and had higher earnings growth and lower employment rates. The option to borrow against housing equity enabled liquidity-constrained individuals to move to high-wage jobs and inves...
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作者：Crouzet, Nicolas; Eberly, Janice
作者单位：Northwestern University; Northwestern University
摘要：In recent years, U.S. investment has been lackluster, despite rising valuations. Key explanations include growing rents and growing intangibles. We propose and estimate a framework to quantify their roles. The gap between valuations-reflected in average Q-and investment-reflected in marginal q-can be decomposed into three terms: the value of installed intangibles; rents generated by physical capital; and an interaction term, measuring rents generated by intangibles. The intangible related term...
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作者：Thanassoulis, John
作者单位：University of Warwick
摘要：Misconduct is widespread. Practices such as misselling, pump and dump, and money laundering cause harm while raising profits. This paper presents a mechanism that can determine what sorts of misconduct can be sustained in competitive equilibrium in concentrated markets, oligopoly settings, and markets with many small competing firms. The model studied allows general demand and distinguishes types of ethical dilemma using current psychological understanding. The paper shows, for example, that m...
