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作者：Schallheim, Jim
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作者：Pan, Yihui; Pikulina, Elena S.; Siegel, Stephan; Wang, Tracy Yue
作者单位：Utah System of Higher Education; University of Utah; University of British Columbia; University of Washington; University of Washington Seattle; University of Minnesota System; University of Minnesota Twin Cities
摘要：We examine equity markets' reaction to the first-time disclosure of the CEO-worker pay ratio by U.S. public companies in 2018. We find that firms disclosing higher pay ratios experience significantly lower abnormal announcement returns. Firms whose shareholders are more inequality-averse experience a more negative market response to high pay ratios. Furthermore, during 2018 more inequality-averse investors rebalance their portfolios away from stocks with a high pay ratio relative to other inve...
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作者：Granja, Joao; Leuz, Christian; Rajan, Raghuram G.
作者单位：University of Chicago
摘要：The average distance of U.S. banks from their small corporate borrowers increased before the global financial crisis, especially for banks in competitive counties. Small distant loans are harder to make, so loan quality deteriorated. Surprisingly, such lending intensified as the Fed raised interest rates from 2004. Why? We show that banks' responses to higher rates led bank deposits to shift into competitive counties. Short-horizon bank management recycled these inflows into risky loans to dis...
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作者：Demiroglu, Cem; Franks, Julian; Lewis, Ryan
作者单位：Koc University; University of London; London Business School; University of Colorado System; University of Colorado Boulder
摘要：The average difference between the court value and postemergence market value of newly issued stocks in Chapter 11 reorganizations exceeds 50%. We show that public dissemination of transactions in defaulted bonds reduces this difference by 23% and largely eliminates interclaimant wealth transfers. The effects of dissemination are only significant when the bonds are sufficiently traded around the court valuation date and when they receive significant amounts of postemergence equity, indicating ...
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作者：Koijen, Ralph S. J.; Yogo, Motohiro
作者单位：University of Chicago; National Bureau of Economic Research; Centre for Economic Policy Research - UK; Princeton University
摘要：Variable annuities, which package mutual funds with minimum return guarantees over long horizons, accounted for $1.5 trillion or 35% of U.S. life insurer liabilities in 2015. Sales decreased and fees increased during the global financial crisis, and insurers made guarantees less generous or stopped offering guarantees to reduce risk exposure. These effects persist in the low-interest rate environment after the global financial crisis, and variable annuity insurers suffered large equity drawdow...
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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：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：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...
