-
作者：Alan, Sule; Cemalcilar, Mehmet; Karlan, Dean; Zinman, Jonathan
作者单位：University of Essex; Koc University; Northwestern University; National Bureau of Economic Research; Dartmouth College
摘要：Lower prices produce higher demand... or do they? A bank's direct marketing to holders of free checking accounts shows that a large discount on 60% APR overdrafts reduces overdraft usage, especially when bundled with a discount on debit card or autodebit transactions. In contrast, messages mentioning overdraft availability without mentioning price increase usage. Neither change persists long after the messages stop. These results do not square easily with classical models of consumer choice an...
-
作者：Defusco, Anthony A.
作者单位：Northwestern University
摘要：I empirically analyze how changes in access to housing collateral affect homeowner borrowing behavior. To isolate the role of collateral constraints from that of wealth effects, I exploit the fully anticipated expiration of resale price controls on owner-occupied housing in Montgomery County, Maryland. I estimate a marginal propensity to borrow out of housing collateral that ranges between $0.04 and $0.13 and is correlated with homeowners' initial leverage. Additional analysis of residential i...
-
作者：Barillas, Francisco; Shanken, Jay
作者单位：Emory University; National Bureau of Economic Research
摘要：A Bayesian asset pricing test is derived that is easily computed in closed form from the standard F-statistic. Given a set of candidate traded factors, we develop a related test procedure that permits the computation of model probabilities for the collection of all possible pricing models that are based on subsets of the given factors. We find that the recent models of Hou, Xue, and Zhang (2015a, 2015b) and Fama and French (2015, 2016) are dominated by a variety of models that include a moment...
-
作者：Karpoff, Jonathan M.; Wittry, Michael D.
作者单位：University of Washington; University of Washington Seattle
摘要：We argue and demonstrate empirically that a firm's institutional and legal context has first-order effects in tests that use state antitakeover laws for identification. A priori, the size and direction of a law's effect on a firm's takeover protection depends on (i) other state antitakeover laws, (ii) preexisting firm-level takeover defenses, and (iii) the legal regime as reflected by important court decisions. In addition, (iv) state antitakeover laws are not exogenous for many easily identif...
-
作者：Schwert, Michael
作者单位：University System of Ohio; Ohio State University
摘要：This paper investigates the mechanisms behind the matching of banks and firms in the loan market and the implications of this matching for lending relationships, bank capital, and credit provision. I find that bank-dependent firms borrow from well-capitalized banks, while firms with access to the bond market borrow from banks with less capital. This matching of bank-dependent firms with stable banks smooths cyclicality in aggregate credit provision and mitigates the effects of bank shocks on t...
-
作者：Jones, Christopher S.; Shemesh, Joshua
作者单位：University of Southern California
摘要：We find that option returns are significantly lower over nontrading periods, the vast majority of which are weekends. Our evidence suggests that nontrading returns cannot be explained by risk, but rather are the result of widespread and highly persistent option mispricing driven by the incorrect treatment of stock return variance during periods of market closure. The size of the effect implies that the broad spectrum of finance research involving option prices should account for nontrading eff...
-
作者：Perignon, Christophe; Thesmar, David; Vuillemey, Guillaume
作者单位：Hautes Etudes Commerciales (HEC) Paris; Massachusetts Institute of Technology (MIT); Center for Economic & Policy Research (CEPR)
摘要：We empirically explore the fragility of wholesale funding of banks, using transaction-level data on short-term, unsecured certificates of deposit in the European market. We do not observe a market-wide freeze during the 2008 to 2014 period. Yet, many banks suddenly experience funding dry-ups. Dry-ups predict, but do not cause, future deterioration in bank performance. Furthermore, during periods of market stress, banks with high future performance tend to increase reliance on wholesale funding...
-
作者：Kurlat, Pablo
作者单位：Stanford University
摘要：This paper proposes a theory of liquidity dynamics. Illiquidity results from asymmetric information. Observing the historical track record teaches agents how to interpret public information and helps overcome information asymmetry. However, an illiquidity trap can arise: too much asymmetric information leads to the breakdown of trade, which interrupts learning and perpetuates illiquidity. Liquidity falls in response to unexpected events that lead agents to question their valuation models (espe...
-
作者：Bianchi, Milo
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
摘要：We match administrative panel data on portfolio choices with survey measures of financial literacy. When we control for portfolio risk, the most literate households experience 0.4% higher annual returns than the least literate households. Distinct portfolio dynamics are the key determinant of this difference. More literate households hold riskier positions when expected returns are higher, they more actively rebalance their portfolios and do so in a way that holds their risk exposure relativel...
-
作者：Engelberg, Joseph E.; Reed, Adam V.; Ringgenberg, Matthew C.
作者单位：University of California System; University of California San Diego; University of North Carolina; University of North Carolina Chapel Hill; Utah System of Higher Education; University of Utah
摘要：Short sellers face unique risks, such as the risk that stock loans become expensive and the risk that stock loans are recalled. We show that short-selling risk affects prices among the cross-section of stocks. Stocks with more short-selling risk have lower returns, less price efficiency, and less short selling.
