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作者：Hilpert, Christian; Hirth, Stefan; Szimayer, Alexander
作者单位：Sun Yat Sen University; Aarhus University; Danish Finance Institute; University of Hamburg
摘要：We propose a novel framework for investigating learning dynamics on the debt market. Observing a firm's survival of apparently distressed periods, the market eliminates asset value estimates that are too low to be consistent with the observed survival. Therefore, the firm's cost of debt becomes lower for given financials. Relative to a perfect information setting, the firm strategically delays default to benefit from a subsequently lower cost of debt. Default comes as a surprise, as it reveals...
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作者：Chen, Xia; Cheng, Qiang; Luo, Ting
作者单位：Singapore Management University; Tsinghua University
摘要：In this paper, we evaluate the economic value of a blockchain application. In the context of asset-backed securities (ABS) issuance in China, where some ABS are issued with blockchain technology and others are not, we find that the use of blockchain significantly reduces the coupon yield at issuance. Compared with other ABS, those issued using blockchain technology experience a decrease of 31.4 basis points in the yield spread, which corresponds to a relative decrease of 13%. We further docume...
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作者：Choi, Jaewon; Huh, Yesol; Shin, Sean Seunghun
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Yonsei University; Federal Reserve System - USA; Federal Reserve System Board of Governors; Aalto University
摘要：The convention when calculating corporate bond trading costs is to estimate bid-ask spreads that customers pay, implicitly assuming that dealers always provide liquidity to customers. We show that, contrary to this assumption, customers increasingly provide liquidity following the adoption of post-2008 banking regulations, and thus, conventional bid-ask spread measures underestimate the cost of dealers' liquidity provision. Among large trades wherein dealers use inventory capacity, customers p...
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作者：Simchi-Levi, David
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作者：Jung, Hae Won (Henny); Subramanian, Ajay; Zeng, Qi
作者单位：University of Melbourne; University System of Georgia; Georgia State University
摘要：We develop a dynamic equilibrium model to derive the endogenous relations among firms' ownership structures, managerial incentives, and asset returns. Ownership concentration is positively related to managerial incentives (PPS) but is negatively related to its expected stock (dollar) return, and volatility. If initial block ownership is above (below) its steady-state level, block ownership and managerial PPS decrease (increase) over time to their steady-state levels, whereas the expected stock...
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作者：Kadan, Ohad; Liu, Fang; Tang, Xiaoxiao
作者单位：Arizona State University; Arizona State University-Tempe; Cornerstone Research; University of Texas System; University of Texas Dallas
摘要：We propose a methodology for estimating option-implied, forward-looking variances and covariances of assets and portfolios, which may not possess actively traded options. Our approach relies on the observation that, if asset returns follow a factor structure, then the variances and covariances of the factors span the systematic variances and covariances of assets. We implement the methodology empirically and show that our forward-looking moment estimates provide useful implications for the pre...
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作者：Matejka, Michal; Mahlendorf, Matthias D.; Schaeffer, Utz
作者单位：Arizona State University; Arizona State University-Tempe; Frankfurt School Finance & Management; WHU - Otto Beisheim School of Management
摘要：Using current performance to set future targets can discourage effort and reduce performance. Our study examines whether this ratchet effect also undermines incentives of high-level managers and executives. We use a dynamic model to show that empirical tests used in prior literature can falsely reject the null hypothesis of no ratchet effect. We also motivate a new test that can better detect the adverse incentives effects of target setting. Specifically, we show that the ratchet effect can be...
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作者：Farronato, Chiara; Fong, Jessica; Fradkin, Andrey
作者单位：Harvard University; University of Michigan System; University of Michigan; Boston University
摘要：Network effects are often used to justify platform strategies such as acquisitions and subsidies that aggregate users to a single dominant platform. However, when users have heterogeneous preferences, a single platform may not be as effective as multiple platforms from both a strategic perspective and an antitrust perspective. We study the role of network effects and platform differentiation in the context of a merger between the two largest platforms for pet-sitting services. To obtain causal...
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作者：Bolton, Gary E.; Ferecatu, Alina; Kusterer, David J.
作者单位：University of Texas System; University of Texas Dallas; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of Cologne
摘要：Reputation feedback systems assign feedback scores to traders with the aim of separating them according to reliability. There is now a substantial amount of literature on what these mechanisms do well and not so well. Conspicuously absent is a theoretical framework to guide thinking on improving these systems. Here we construct a prototype market, stylized and conceptual in nature, but also suitable for laboratory testing. We use the prototype to examine competing approaches to eliciting feedb...
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作者：Schwerter, Frederik
作者单位：Frankfurt School Finance & Management; University of Cologne
摘要：Social reference points have been identified to be important determinants of individuals' welfare. We investigate the consequences of social reference points for risk taking in a laboratory experiment. In the main treatments, risk-taking subjects observe the predetermined earnings of peer subjects when making a risky choice. We exogenously manipulate peers' earnings and find a significant treatment effect: decision makers make less risk-averse choices in the case of larger peers' earnings. The...
