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作者：Chernov, Mikhail; Creal, Drew
作者单位：University of California System; University of California Los Angeles
摘要：The currency depreciation rate is often computed as the ratio of foreign to domestic pricing kernels. Using bond prices alone to estimate these kernels leads to currency puzzles: the inability of models to match violations of uncovered interest parity and the volatility of exchange rates. This happens because of the FX bond disconnect, the inability of bonds to span exchange rates. Incorporating innovations to the pricing kernel that affect exchange rates but not bonds helps resolve the puzzle...
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作者：Kyle, Albert S. S.; Obizhaeva, Anna A. A.; Wang, Yajun
作者单位：University System of Maryland; University of Maryland College Park; New Economic School; City University of New York (CUNY) System; Baruch College (CUNY); City University of New York (CUNY) System; Baruch College (CUNY)
摘要：We study return predictability using a model of speculative trading among competitive traders who agree to disagree about the precision of private information. Although traders apply Bayes' Law consistently, returns are predictable. In addition to trading on long-term fundamental value, traders also trade on perceived short-term opportunities arising from foreseen future disagreement, as in a Keynesian beauty contest. Contradicting conventional wisdom, this short-term speculation dampens price...
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作者：Sockin, Michael; Xiong, Wei
作者单位：University of Texas System; University of Texas Austin; Princeton University; National Bureau of Economic Research
摘要：We examine decentralization of digital platforms through tokenization as an innovation to resolve the conflict between platforms and users. By delegating control to users, tokenization through utility tokens acts as a commitment device that prevents a platform from exploiting users. This commitment comes at the cost of not having an owner with an equity stake who, in conventional platforms, would subsidize participation to maximize the platform's network effect. This trade-off makes utility to...
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作者：Becker, Bo; Ivashina, Victoria
作者单位：Stockholm School of Economics; Centre for Economic Policy Research - UK; European Corporate Governance Institute; Harvard University; National Bureau of Economic Research
摘要：We show that over the past half-century, innovative disruptions were central to understanding corporate defaults. In a given year, industries experiencing abnormally high venture capital or initial public offering activity subsequently see higher default rates, higher segment exits by conglomerates, and higher yields on bonds issued by the firms in these industries. Overall, we find that disruption is a broad phenomenon, negatively affecting incumbent firms across the spectrum of age, valuatio...
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作者：Hazelkorn, Todd M. M.; Moskowitz, Tobias J. J.; Vasudevan, Kaushik
作者单位：Yale University
摘要：Deviations from the law of one price between futures and spot prices-the futures-cash basis-capture information about liquidity demand for equity market exposure in global markets. We show that the basis comoves with dealer and investor futures positions, is contemporaneously positively correlated with futures and spot market returns, and negatively predicts futures and spot returns. These findings are consistent with the futures-cash basis reflecting liquidity demand that is common to futures...
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作者：Fleckenstein, Matthias; Longstaff, Francisa A.
作者单位：University of Delaware; University of California System; University of California Los Angeles; National Bureau of Economic Research; University of California System; University of California Los Angeles
摘要：We present a new approach for estimating small business equity returns. This approach applies the Merton (1974) credit model to the returns on entrepreneurial business credit card debt securitizations and solves for the implied equity returns for the small businesses owned by the cardholders. The estimated small business equity premium is 10.74%. The standard deviation of small business equity returns is 56.37%. We validate the methodology by applying it to investment-grade corporate bonds and...
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作者：Fonseca, Julia
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：Governments regulate debt collectors to protect consumers from predatory practices. These restrictions may lower repayment, reducing the supply of mainstream credit and increasing demand for alternative credit. Using individual credit record data and a difference-in-differences design comparing consumers in states that tighten restrictions on debt collection to those in neighboring states that do not, I find that restricting collections reduces access to mainstream credit and increases payday ...
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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：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：[Anonymous]
