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作者：Nagel, Stefan
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作者：Dahlquist, Magnus; Setty, Ofer; Vestman, Roine
作者单位：Stockholm School of Economics; Centre for Economic Policy Research - UK; Tel Aviv University; Stockholm University
摘要：We characterize the optimal default fund in a defined contribution (DC) pension plan. Using detailed data on individuals' holdings inside and outside the pension system, we find substantial heterogeneity within and between passive and active investors in terms of labor income, financial wealth, and stock market participation. We build a life-cycle consumption-savings model, with a DC pension account and an opt-out/default choice, that produces realistic investor heterogeneity. Relative to a co...
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作者：Azar, Jose; Schmalz, Martin C.; Tecu, Isabel
作者单位：University of Navarra; IESE Business School; University of Michigan System; University of Michigan; European Corporate Governance Institute; Charles River Associates
摘要：Many natural competitors are jointly held by a small set of large institutional investors. In the U.S. airline industry, taking common ownership into account implies increases in market concentration that are 10 times larger than what is presumed likely to enhance market power by antitrust authorities. Within-route changes in common ownership concentration robustly correlate with route-level changes in ticket prices, even when we only use variation in ownership due to the combination of two la...
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作者：Weber, Matthias; Duffy, John; Schram, Arthur
作者单位：Vilnius University; Bank of Lithuania; Vilnius University; University of St Gallen; University of California System; University of California Irvine; European University Institute; University of Amsterdam
摘要：An important feature of bond markets is the relationship between the initial public offering (IPO) price and the probability that the issuer defaults. On the one hand, the default probability affects the IPO price; on the other hand, the IPO price affects the default probability. It is a priori unclear whether agents can competitively price such assets. Our paper is the first to explore this question. To do so, we use laboratory experiments. We develop two flexible bond market models that are ...
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作者：Bessembinder, Hendrik; Jacobsen, Stacey; Maxwell, William; Venkataraman, Kumar
作者单位：Arizona State University; Arizona State University-Tempe; Southern Methodist University
摘要：We study trading costs and dealer behavior in U.S. corporate bond markets from 2006 to 2016. Despite a temporary spike during the financial crisis, average trade execution costs have not increased notably over time. However, dealer capital commitment, turnover, block trade frequency, and average trade size decreased during the financial crisis and thereafter. These declines are attributable to bank-affiliated dealers, as nonbank dealers have increased their market commitment. Our evidence indi...
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作者：Gromb, Denis; Vayanos, Dimitri
作者单位：Hautes Etudes Commerciales (HEC) Paris; University of London; London School Economics & Political Science
摘要：We develop a model in which financially constrained arbitrageurs exploit price discrepancies across segmented markets. We show that the dynamics of arbitrage capital are self-correcting: following a shock that depletes capital, returns increase, which allows capital to be gradually replenished. Spreads increase more for trades with volatile fundamentals or more time to convergence. Arbitrageurs cut their positions more in those trades, except when volatility concerns the hedgeable component. F...
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作者：Herskovic, Bernard
作者单位：University of California System; University of California Los Angeles
摘要：In this paper, I examine asset pricing in a multisector model with sectors connected through an input-output network. Changes in the network are sources of systematic risk reflected in equilibrium asset prices. Two characteristics of the network matter for asset prices: network concentration and network sparsity. These two production-based asset pricing factors are determined by the structure of the network and are computed from input-output data. Consistent with the model predictions, I find ...
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作者：Scharfstein, David S.
作者单位：Harvard University; National Bureau of Economic Research
摘要：In this paper, I examine the effect of pension policy on the structure of financial systems around the world. In particular, I explore the hypothesis that policies that promote pension savings also promote the development of capital markets. I present a model that endogenizes the extent to which savings are intermediated through banks or capital markets, and derive implications for corporate finance, household finance, banking, and the size of the financial sector. I then present a number of f...
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作者：Hartzmark, Samuel M.; Shue, Kelly
作者单位：University of Chicago; Yale University; National Bureau of Economic Research
摘要：A contrast effect occurs when the value of a previously observed signal inversely biases perception of the next signal. We present the first evidence that contrast effects can distort prices in sophisticated and liquid markets. Investors mistakenly perceive earnings news today as more impressive if yesterday's earnings surprise was bad and less impressive if yesterday's surprise was good. A unique advantage of our financial setting is that we can identify contrast effects as an error in percep...
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作者：Garleanu, Nicolae; Pedersen, Lasse Heje
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; New York University; Centre for Economic Policy Research - UK
摘要：We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more easily, more money is allocated to active management, fees are lower, and asset prices are more efficient. Informed managers outperform after fees, uninformed managers underperform, while the average manager'...
