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作者：Ioannidou, Vasso; Ongena, Steven
作者单位：Tilburg University; European Central Bank
摘要：This paper studies loan conditions when firms switch banks. Recent theoretical work on bank-firm relationships motivates our matching models. The dynamic cycle of the loan rate that we uncover is as follows: a loan granted by a new (outside) bank carries a loan rate that is significantly lower than the rates on comparable new loans from the firm's current (inside) banks. The new bank initially decreases the loan rate further but eventually ratchets it up sharply. Other loan conditions follow a...
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作者：Roussanov, Nikolai
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：Social status concerns influence investors' decisions by driving a wedge in attitudes toward aggregate and idiosyncratic risks. I model such concerns by emphasizing the desire to get ahead of the Joneses, which implies that aversion to idiosyncratic risk is lower than aversion to aggregate risk. The model predicts that investors hold concentrated portfolios in equilibrium, which helps rationalize the small premium for undiversified entrepreneurial risk. In the model, status concerns are more i...
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作者：Beck, Thorsten; Levine, Ross; Levkov, Alexey
作者单位：Tilburg University; Tilburg University; Brown University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Boston
摘要：We assess the impact of bank deregulation on the distribution of income in the United States. From the 1970s through the 1990s, most states removed restrictions on intrastate branching, which intensified bank competition and improved bank performance. Exploiting the cross-state, cross-time variation in the timing of branch deregulation, we find that deregulation materially tightened the distribution of income by boosting incomes in the lower part of the income distribution while having little ...
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作者：Grenadier, Steven R.; Malenko, Andrey
作者单位：Stanford University
摘要：Traditional real options models demonstrate the importance of the option to wait due to uncertainty over future shocks to project cash flows. However, there is often another important source of uncertainty: uncertainty over the permanence of past shocks. Adding Bayesian uncertainty over the permanence of past shocks augments the traditional option to wait with an additional option to learn. The implied investment behavior differs significantly from that in standard models. For example, investm...
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作者：Boyson, Nicole M.; Stahel, Christof W.; Stulz, Rene M.
作者单位：Northeastern University; George Mason University; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：Defining contagion as correlation over and above that expected from economic fundamentals, we find strong evidence of worst return contagion across hedge fund styles for 1990 to 2008. Large adverse shocks to asset and hedge fund liquidity strongly increase the probability of contagion. Specifically, large adverse shocks to credit spreads, the TED spread, prime broker and bank stock prices, stock market liquidity, and hedge fund flows are associated with a significant increase in the probabilit...
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作者：Green, Richard C.; Li, Dan; Schuerhoff, Norman
作者单位：Carnegie Mellon University; University of Lausanne; Swiss Finance Institute (SFI)
摘要：We study price discovery in municipal bonds, an important OTC market. As in markets for consumer goods, prices rise faster than they fall. Round-trip profits to dealers on retail trades increase in rising markets but do not decrease in falling markets. Further, effective half-spreads increase or decrease more when movements in fundamentals favor dealers. Yield spreads relative to Treasuries also adjust with asymmetric speed in rising and falling markets. Finally, intraday price dispersion is a...
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作者：Bruguier, Antoine J.; Quartz, Steven R.; Bossaerts, Peter
作者单位：California Institute of Technology; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：Experimental evidence has consistently confirmed the ability of uninformed traders, even novices, to infer information from the trading process. After contrasting brain activation in subjects watching markets with and without insiders, we hypothesize that Theory of Mind (ToM) helps explain this pattern, where ToM refers to the human capacity to discern malicious or benevolent intent. We find that skill in predicting price changes in markets with insiders correlates with scores on two ToM tests...
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作者：Cesarini, David; Johannesson, Magnus; Lichtenstein, Paul; Sandewall, Oerjan; Wallace, Bjorn
作者单位：New York University; New York University; Stockholm School of Economics; Karolinska Institutet
摘要：Individuals differ in how they construct their investment portfolios, yet empirical models of portfolio risk typically account only for a small portion of the cross-sectional variance. This paper asks whether genetic variation can explain some of these individual differences. Following a major pension reform Swedish adults had to form a portfolio from a large menu of funds. We match data on these investment decisions with the Swedish Twin Registry and find that approximately 25% of individual ...
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作者：Karpoff, Jonathan M.; Lou, Xiaoxia
作者单位：University of Washington; University of Washington Seattle; University of Delaware
摘要：We examine whether short sellers detect firms that misrepresent their financial statements, and whether their trading conveys external costs or benefits to other investors. Abnormal short interest increases steadily in the 19 months before the misrepresentation is publicly revealed, particularly when the misconduct is severe. Short selling is associated with a faster time-to-discovery, and it dampens the share price inflation that occurs when firms misstate their earnings. These results indica...
