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作者：Maurin, Vincent
作者单位：Stockholm School of Economics
摘要：This paper proposes a theory of excess price fluctuations in over-the-counter secondary markets. When heterogeneous assets trade under asymmetric information, a quality effect emerges: high liquidity lowers the quality of the pool of sellers and decreases future liquidity. Cyclical equilibria can arise even without fundamental shocks. In a cycle, investors speculate by bidding up the price of low-quality assets, anticipating a high resale price at the peak. When this resale effect is strong, c...
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作者：Gomez-Cram, Roberto
作者单位：University of London; London Business School
摘要：I find that returns are predictably negative for several months after the onset of recessions, becoming high only thereafter. I identify business cycle turning points by estimating a state-space model using macroeconomic data. Conditioning on the business cycle further reveals that returns exhibit momentum in recessions, whereas in expansions they display the mild reversals expected from discount rate changes. A strategy exploiting this pattern produces positive alphas. Using analyst forecast ...
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作者：Behn, Markus; Haselmann, Rainer; Vig, Vikrant
作者单位：European Central Bank; Goethe University Frankfurt; Centre for Economic Policy Research - UK; University of London; London Business School; Northwestern University
摘要：Using loan-level data from Germany, we investigate how the introduction of model-based capital regulation affected banks' ability to absorb shocks. The objective of this regulation was to enhance financial stability by making capital requirements responsive to asset risk. Our evidence suggests that banks optimized model-based regulation to lower their capital requirements. Banks systematically underreported risk, with underreporting more pronounced for banks with higher gains from it. Moreover...
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作者：Greenwood, Robin; Hanson, Samuel G.; Shleifer, Andrei; Sorensen, Jakob Ahm
作者单位：Harvard University; National Bureau of Economic Research; Harvard University; Copenhagen Business School
摘要：Using historical data on postwar financial crises around the world, we show that the combination of rapid credit and asset price growth over the prior three years, whether in the nonfinancial business or the household sector, is associated with a 40% probability of entering a financial crisis within the next three years. This compares with a roughly 7% probability in normal times, when neither credit nor asset price growth is elevated. Our evidence challenges the view that financial crises are...
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作者：Lochstoer, Lars A.; Muir, Tyler
作者单位：National Bureau of Economic Research
摘要：We provide evidence that agents have slow-moving beliefs about stock market volatility that lead to initial underreaction to volatility shocks followed by delayed overreaction. These dynamics are mirrored in the VIX and variance risk premiums, which reflect investor expectations about volatility, and are also supported in both surveys and firm-level option prices. We embed these expectations into an asset pricing model and find that the model can account for a number of stylized facts about ma...
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作者：Eisenbach, Thomas M.; Lucca, David O.; Townsend, Robert M.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Massachusetts Institute of Technology (MIT)
摘要：We estimate a structural model of resource allocation on work hours of Federal Reserve bank supervisors to disentangle how supervisory technology, preferences, and resource constraints impact bank outcomes. We find a significant effect of supervision on bank risk and large technological scale economies with respect to bank size. Consistent with macroprudential objectives, revealed supervisory preferences disproportionately weight larger banks, especially post-2008 when a resource reallocation ...
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作者：Welch, Ivo
作者单位：University of California System; University of California Los Angeles
摘要：Robinhood investors increased their holdings in the March 2020 COVID bear market, indicating an absence of collective panic and margin calls. This steadfastness was rewarded in the subsequent bull market. Despite unusual interest in some experience stocks (e.g., cannabis stocks), they tilted primarily toward stocks with high past share volume and dollar-trading volume (themselves mostly big stocks). From mid-2018 to mid-2020, an aggregated crowd consensus portfolio (a proxy for the household-e...
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作者：Acharya, Viral V.; Bergant, Katharina; Crosignani, Matteo; Eisert, Tim; Mccann, Fergal
作者单位：National Bureau of Economic Research; Centre for Economic Policy Research - UK; International Monetary Fund; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; European Central Bank; Central Bank of Ireland
摘要：We analyze how regulatory constraints on household leverage-in the form of loan-to-income and loan-to-value limits-affect residential mortgage credit and house prices as well as other asset classes not directly targeted by the limits. Loan-level data suggest that mortgage credit is reallocated from low- to high-income borrowers and from urban to rural counties. This reallocation weakens the feedback between credit and house prices and slows house price growth in hot housing markets. Banks whos...
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作者：Catherine, Sylvain; Chaney, Thomas; Huang, Zongbo; Sraer, David; Thesmar, David
作者单位：University of Pennsylvania; University of Southern California; Institut d'Etudes Politiques Paris (Sciences Po); Center for Economic & Policy Research (CEPR); The Chinese University of Hong Kong, Shenzhen; University of California System; University of California Berkeley; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
摘要：This paper quantifies the aggregate effects of financing constraints. We start from a standard dynamic investment model with collateral constraints. In contrast to the existing quantitative literature, our estimation does not target the mean leverage ratio to identify the scope of financing frictions. Instead, we use a reduced-form coefficient from the recent corporate finance literature that connects exogenous debt capacity shocks to corporate investment. Relative to a frictionless benchmark,...
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作者：Liu, Yukun; Matthies, Ben
作者单位：University of Rochester; University of Notre Dame
摘要：This paper documents the existence of a persistent component in consumption growth. We take a novel approach using news coverage to capture investor concern about economic growth prospects. We provide evidence that consumption growth is highly predictable over long horizons-our measure explains between 23% and 38% of cumulative future consumption growth at the five-year horizon and beyond. Furthermore, we show a strong connection between this predictability and asset prices. Innovations to our...
