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作者：Chen, Xin; An, Li; Wang, Zhengwei; Yu, Jianfeng
作者单位：Audencia; Shenzhen University; Tsinghua University
摘要：Exploiting a screen display feature whereby the order of stock display is determined by the stock's listing code, we lever a novel identification strategy and study how the interaction between overconfidence and limited attention affect asset pricing. We find that stocks displayed next to those with higher returns in the past two weeks are associated with higher returns in the future week, which are reverted in the long run. This is consistent with our conjectures that investors tend to trade ...
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作者：Axelson, Ulf; Makarov, Igor
作者单位：University of London; London School Economics & Political Science
摘要：We show that information aggregation in primary financial markets fails precisely when investors hold socially useful information for screening projects. Being wary of the Winner's Curse, less optimistic investors refrain from making financing offers, since their offers would be accepted only when a project is unviable. Their information is therefore lost. The Winner's Curse and associated information loss grow with the number of informed market participants, so that larger markets can lead to...
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作者：Corhay, Alexandre; Kind, Thilo; Kung, Howard; Morales, Gonzalo
作者单位：University of Toronto; University of London; London Business School; Centre for Economic Policy Research - UK; Bank of Canada; University of London; London Business School
摘要：This paper examines how the transmission of government portfolio risk arising from maturity operations depends on the stance of monetary/fiscal policy. Accounting for risk premia in the fiscal theory allows the government portfolio to affect expected inflation, even in a frictionless economy. The effects of maturity rebalancing on expected inflation in the fiscal theory depend directly on the conditional nominal term premium, giving rise to an optimal debt-maturity policy that is state-depende...
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作者：Jiang, Jingwen; Kelly, Bryan; Xiu, Dacheng
作者单位：University of Chicago; Yale University; Yale University
摘要：We reconsider trend-based predictability by employing flexible learning methods to identify price patterns that are highly predictive of returns, as opposed to testing predefined patterns like momentum or reversal. Our predictor data are stock-level price charts, allowing us to extract the most predictive price patterns using machine learning image analysis techniques. These patterns differ significantly from commonly analyzed trend signals, yield more accurate return predictions, enable more ...
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作者：Bryzgalova, Svetlana; Pavlova, Anna; Sikorskaya, Taisiya
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK
摘要：We document a rapid increase in retail trading in options in the United States. Facilitated by payment for order flow (PFOF) from wholesalers executing retail orders, retail trading recently reached over 60% of total market volume. Nearly 90% of PFOF comes from three wholesalers. Exploiting new flags in transaction-level data, we isolate wholesaler trades and build a novel measure of retail options trading. Our measure comoves with equity-based retail activity proxies and drops significantly d...
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作者：Kopytov, Alexandr
作者单位：University of Rochester
摘要：I present a dynamic general equilibrium model in which commonality in bank assets endogenously changes over the business cycle and shapes systemic risk. To reduce individual risks, banks diversify, increasing portfolio overlap and hence the similarity of their exposures to fundamental shocks. Systemic financial crises burst at the end of credit booms when productive investment opportunities are exhausted, banks' diversification incentives are strong, and their portfolios are highly correlated....
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作者：Ring, Marius a. k.
作者单位：University of Texas System; University of Texas Austin
摘要：Using the dispersion in stock returns during the financial crisis as a source of exogenous variation in the wealth of Norwegian entrepreneurs who held listed stocks, I show that adverse shocks to the wealth of business owners had large effects on their firms' financing, employment, and investment. The effects on investment and employment are driven by young firms, that obtain differentially less bank financing following an owner wealth shock. The effects on employment operate primarily through...
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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：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...
