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作者：Kang, Wenjin; Rouwenhorst, K. Geert; Tang, Ke
作者单位：Shanghai University of Finance & Economics; Shanghai Institute of International Finance & Economics; Yale University; Tsinghua University
摘要：This paper studies the dynamic interaction between the net positions of traders and risk premiums in commodity futures markets. Short-term position changes are driven mainly by the liquidity demands of noncommercial traders, while long-term variation is driven primarily by the hedging demands of commercial traders. These two components influence expected futures returns with opposite signs. The gains from providing liquidity by commercials largely offset the premium they pay for obtaining pric...
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作者：Frydman, Cary; Wang, Baolian
作者单位：University of Southern California; State University System of Florida; University of Florida
摘要：We test whether the display of information causally affects investor behavior in a high-stakes trading environment. Using investor-level brokerage data from China and a natural experiment, we estimate the impact of a shock that increased the salience of a stock's purchase price but did not change the investor's information set. We employ a difference-in-differences approach and find that the salience shock causally increased the disposition effect by 17%. We use microdata to document substanti...
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作者：Chen, Hui; Michaux, Michael; Roussanov, Nikolai
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; University of Southern California; University of Pennsylvania
摘要：Mortgage refinancing activity associated with extraction of home equity contains a strongly countercyclical component consistent with household demand for liquidity. We estimate a structural model of liquidity management featuring countercyclical idiosyncratic labor income uncertainty, long- and short-term mortgages, and realistic borrowing constraints. We empirically evaluate its predictions for households' choices of leverage, liquid assets, and mortgage refinancing using microlevel data. Ta...
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作者：Diamond, Douglas W.; Hu, Yunzhi; Rajan, Raghuram G.
作者单位：National Bureau of Economic Research; University of North Carolina; University of North Carolina Chapel Hill
摘要：Why do firms choose high debt when they anticipate high valuations, and underperform subsequently? We propose a theory of financing cycles where the importance of creditors' control rights over cash flows (pledgeability) varies with industry liquidity. The market allows firms take on more debt when they anticipate higher future liquidity. However, both high anticipated liquidity and the resulting high debt limit their incentives to enhance pledgeability. This has prolonged adverse effects in a...
