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作者：Parlour, Christine A.; Rajan, Uday; Walden, Johan
作者单位：University of California System; University of California Berkeley; University of Michigan System; University of Michigan
摘要：We examine how the payment processing role of banks affects their lending activity. In our model, banks operate in separate zones, and issue claims to entrepreneurs who purchase some inputs outside their own zone. Settling bank claims across zones incurs a cost. In equilibrium, a liquidity externality arises when zones are sufficiently different in their outsourcing propensities-a bank may restrict its own lending because it needs to hold liquidity against claims issued by another bank. Our wo...
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作者：Barras, Laurent; Gagliardini, Patrick; Scaillet, Olivier
作者单位：University of Luxembourg; Universita della Svizzera Italiana; University of Geneva
摘要：We develop a flexible and bias-adjusted approach to jointly examine skill, scalability, and value-added across individual funds. We find that skill and scalability (i) vary substantially across funds, and (ii) are strongly related, as great investment ideas are difficult to scale up. The combination of skill and scalability produces a value-added that (i) is positive for the majority of funds, and (ii) approaches its optimal level after an adjustment period (possibly due to investor learning)....
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作者：Auh, Jun Kyung; Landoni, Mattia
作者单位：Yonsei University; Federal Reserve System - USA; Federal Reserve Bank - Boston
摘要：We study secured lending contracts using a proprietary, loan-level database of bilateral repurchase agreements containing groups of simultaneous loans backed by multiple tranches within a securitization. We show that lower-quality loans (i.e., loans backed by lower-rated collateral) have higher margins and spreads. We calibrate a model using collateral asset prices and find that lower-quality loans are riskier despite the higher margins, yet cheaper for the borrower. This finding is consistent...
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作者：Gurkaynak, Refet; Karasoy-can, Hatice Gokce; Lee, Sang Seok
作者单位：Ihsan Dogramaci Bilkent University; Center for Economic & Policy Research (CEPR); Central Bank of the Republic of Turkey
摘要：We show that firm liability structure and associated cash flows matter for firm behavior and that financial market participants price stocks accordingly. Stock price reactions to monetary policy announcements depend on the type and maturity of debt issued by the firms and the forward guidance provided by the Fed, both at and away from the zero lower bound. Further, the marginal stock market participant knows the current liability structures of firms and does not rely on rules of thumb. The cas...
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作者：Nagel, Stefan
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作者：Schallheim, Jim
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作者：Liu, Yukun; Tsyvinski, Aleh; Wu, X., I
作者单位：University of Rochester; Yale University; National Bureau of Economic Research; University of California System; University of California Berkeley
摘要：We find that three factors-cryptocurrency market, size, and momentum-capture the cross-sectional expected cryptocurrency returns. We consider a comprehensive list of price- and market-related return predictors in the stock market and construct their cryptocurrency counterparts. Ten cryptocurrency characteristics form successful long-short strategies that generate sizable and statistically significant excess returns, and we show that all of these strategies are accounted for by the cryptocurren...
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作者：Kondor, Peter; Pinter, Gabor
作者单位：University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; Bank of England
摘要：We propose a new measure of private information in decentralized markets-connections-which exploits the time variation in the number of dealers with whom a client trades in a time period. Using trade-level data for the U.K. government bond market, we show that clients perform better when having more connections as their trades predict future price movements. Time variation in market-wide connections also helps explain yield dynamics. Given our novel measure, we present two applications suggest...
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作者：Barber, Brad M.; Huang, Xing; 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 Berkeley; University of California System; University of California Irvine
摘要：We study the influence of financial innovation by fintech brokerages on individual investors' trading and stock prices. Using data from Robinhood, we find that Robinhood investors engage in more attention-induced trading than other retail investors. For example, Robinhood outages disproportionately reduce trading in high-attention stocks. While this evidence is consistent with Robinhood attracting relatively inexperienced investors, we show that it is also driven in part by the app's unique fe...
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作者：Jermann, Urban J.; Wei, Bin; Yue, Vivian Z.
作者单位：University of Pennsylvania; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Emory University; Center for Economic & Policy Research (CEPR)
摘要：This paper studies China's recent exchange rate policy for the renminbi (RMB). We demonstrate empirically that a two-pillar policy is in place, aiming to balance exchange rate flexibility and RMB index stability via market and basket pillars. We further extend and validate the formulation that incorporates the so-called countercyclical factor. Theoretically, we develop a flexible-price monetary model for the RMB in which the two-pillar policy arises endogenously as an optimal response of the g...
