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作者：Brandt, Michael W.; Santa-Clara, Pedro
作者单位：Duke University; National Bureau of Economic Research; University of California System; University of California Los Angeles
摘要：We present a novel approach to dynamic portfolio selection that is as easy to implement as the static Markowitz paradigm. We expand the set of assets to include mechanically managed portfolios and optimize statically in this extended asset space. We consider conditional portfolios, which invest in each asset an amount proportional to conditioning variables, and timing portfolios, which invest in each asset for a single period and in the risk-free asset for all other periods. The static choice ...
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作者：Barclay, Michael J.; Hendershott, Terrence; Kotz, Kenneth
作者单位：University of Rochester; University of California System; University of California Berkeley
摘要：This paper examines the choice of trading venue by dealers in U.S. Treasury securities to determine when services provided by human intermediaries are difficult to replicate in fully automated trading systems. When Treasury securities go off the run their trading volume drops by more than 90%. This decline in trading volume allows us to test whether intermediaries' knowledge of the market and its participants can uncover hidden liquidity and facilitate better matching of customer orders in les...
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作者：Noe, Thomas H.; Rebello, Michael J.; Wang, Jun
作者单位：Tulane University; Louisiana State University System; Louisiana State University
摘要：We consider a competitive and perfect financial market in which agents have heterogeneous cash flow valuations. Instead of assuming that agents are endowed with rational expectations, we model their behavior as the product of adaptive learning. Our results demonstrate that adaptive learning affects security design profoundly, with securities mispriced even in the long run and optimal designs trading off underpricing against intrinsic value maximization. The evolutionary dominant security desig...
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作者：Dell'Ariccia, Giovanni; Marquez, Robert
作者单位：International Monetary Fund; Centre for Economic Policy Research - UK; Arizona State University; Arizona State University-Tempe
摘要：We examine how the informational structure of loan markets interacts with banks' strategic behavior in determining lending standards, lending volume, and the aggregate allocation of credit. We show that, as banks obtain private information about borrowers and information asymmetries across banks decrease, banks may loosen their lending standards, leading to an equilibrium with deteriorated bank portfolios, lower profits, and expanded aggregate credit. These lower standards are associated with ...
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作者：Ericsson, Jan; Renault, Olivier
作者单位：McGill University; University of Warwick
摘要：We develop a structural bond valuation model to simultaneously capture liquidity and credit risk. Our model implies that renegotiation in financial distress is influenced by the illiquidity of the market for distressed debt. As default becomes more likely, the components of bond yield spreads attributable to illiquidity increase. When we consider finite maturity debt, we find decreasing and convex term structures of liquidity spreads. Using bond price data spanning 15 years, we find evidence o...
