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作者：Nagel, Stefan
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作者：Kacperczyk, Marcin; Perignon, Christophe; Vuillemey, Guillaume
作者单位：Imperial College London; Hautes Etudes Commerciales (HEC) Paris
摘要：Using high-frequency, granular panel data on short-term debt securities issued in Europe, we study the existence, empirical boundaries, and fragility of private assets' safety. We show that only securities with the shortest maturities, issued by banks (certificates of deposit, or CDs), benefit from a safety premium. The supply of such CDs responds positively to excess safety demand. During periods of stress, this relation vanishes for all issuers of private securities, even though their aggreg...
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作者：Zhang, Shaojun
作者单位：University System of Ohio; Ohio State University
摘要：Limited stock market participation can potentially explain the disconnect between international asset prices and macro quantities. An incomplete markets model in which risk sharing for stockholders is high generates highly correlated equity returns and relatively smooth exchange rates. Risk sharing for nonstockholders is limited because of their nonparticipation in stock markets and borrowing constraints, reducing the aggregate consumption correlation and the correlation between aggregate cons...
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作者：Jiang, Wei; Ou, Jitao; Zhu, Zhongyan
作者单位：Columbia University; Hong Kong Baptist University
摘要：This study analyzes the motivations for and consequences of funds' credit default swap (CDS) investments using mutual funds' quarterly holdings from pre- to postfinancial crisis. Funds invest in CDS when facing unpredictable liquidity needs. Funds sell more in reference entities when the CDS is liquid relative to the underlying bonds and buy more when the CDS-bond basis is more negative. To enhance yield, funds engage in negative basis trading and sell CDS with the highest spreads within ratin...
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作者：Ruiz-Verdu, Pablo; Singh, Ravi
作者单位：Universidad Carlos III de Madrid
摘要：We analyze how boards' reputational concerns influence executive compensation and the use of hidden pay. Independent boards reduce disclosed pay to signal their independence, but are more likely than manager-friendly boards to use hidden pay or to distort incentive contracts. Stronger reputational pressures lead to lower disclosed pay, weaker managerial incentives, and higher hidden pay, whereas greater transparency of executive compensation has the opposite effects. Although reputational conc...
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作者：Gomes, Joao F.; Schmid, Lukas
作者单位：University of Pennsylvania; University of Southern California; Center for Economic & Policy Research (CEPR)
摘要：We develop a general equilibrium model linking the pricing of stocks and corporate bonds to endogenous movements in corporate leverage and aggregate volatility. The model features heterogeneous firms making optimal investment and financing decisions and connects fluctuations in macroeconomic quantities and asset prices to movements in the cross section of firms. Empirically plausible movements in leverage produce realistic asset return dynamics. Countercyclical leverage drives predictable vari...
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作者：Meling, Tom Grimstvedt
作者单位：University of Bergen
摘要：In this paper, I explore a reform at the Oslo Stock Exchange to assess the causal effect of posttrade trader anonymity on stock liquidity and trading volume. Using a regression discontinuity approach, I find that anonymity leads to a reduction in bid-ask spreads of 40% and an increase in trading volume of more than 50%. The increase in trading volume is accounted for largely by increased trading activity by institutional investors, while retail investors do not adjust their trading behavior in...
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作者：Sandulescu, Mirela; Trojani, Fabio; Vedolin, Andrea
作者单位：University of Michigan System; University of Michigan; Universita della Svizzera Italiana; University of Geneva; University of Geneva; Boston University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：We provide a theoretical framework to uncover in a model-free way the relationships among international stochastic discount factors (SDFs), stochastic wedges, and financial market structures. Exchange rates are in general different from the ratio of international SDFs in incomplete markets, as captured by a stochastic wedge. We show theoretically that this wedge can be zero in incomplete and integrated markets. Market segmentation breaks the strong link between exchange rates and international...
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作者：Linnainmaa, Juhani T.; Melzer, Brian T.; Previtero, Alessandro
作者单位：Dartmouth College; National Bureau of Economic Research; Indiana University System; Indiana University Bloomington
摘要：A common view of retail finance is that conflicts of interest contribute to the high cost of advice. Within a large sample of Canadian financial advisors and their clients, however, we show that advisors typically invest personally just as they advise their clients. Advisors trade frequently, chase returns, prefer expensive and actively managed funds, and underdiversify. Advisors' net returns of -3% per year are similar to their clients' net returns. Advisors do not strategically hold expensiv...
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作者：Greenwald, Daniel L.; Landvoigt, Tim; Van Nieuwerburgh, Stijn
作者单位：Massachusetts Institute of Technology (MIT); University of Pennsylvania; Columbia University
摘要：Shared appreciation mortgages (SAMs) feature mortgage payments that adjust with house prices. They are designed to stave off borrower default by providing payment relief when house prices fall. Some argue that SAMs may help prevent the next foreclosure crisis. However, home owners' gains from payment relief are mortgage lenders' losses. A general equilibrium model in which financial intermediaries channel savings from saver to borrower households shows that indexation of mortgage payments to a...
