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作者：Egan, Mark; MacKay, Alexander; Yang, Hanbin
作者单位：Harvard University; University of Virginia; University of London; London Business School
摘要：We present a portfolio choice demand model that allows for the nonparametric estimation of investors' (subjective) expectations and risk preferences. Using comprehensive 401(k)-plan-level data from 2009 through 2019, we explore heterogeneity in asset allocations using our empirical framework. We recover investors' beliefs about each asset and examine the implications and potential sources of those beliefs. Heterogeneity in expectations across investors accounts for twice as much variation in p...
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作者：Ernst, Thomas; Spatt, Chester
作者单位：University of Maryland College Park; University System of Maryland; University of Maryland College Park; Carnegie Mellon University
摘要：Option wholesalers specialize in purchasing and executing against retail option order flow. Orders are internalized via auctions (which provide price improvement) and the limit order book. Designated market makers (DMMs) have a key advantage in internalizing limit order book trades: they obtain the first five contracts of any order they bring to an exchange where they are a DMM. We exploit variation in DMM assignments and allocation rules to highlight how these rules create a barrier to entry ...
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作者：Backman, Claes; Moran, Patrick; Van Santen, Peter
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of London; London School Economics & Political Science; University of Groningen
摘要：How does the design of debt repayment schedules affect household borrowing? To answer this question, we exploit a Swedish policy reform that eliminated interest-only mortgages for loan-to-value ratios above 50%. We document substantial bunching at the threshold, leading to 5% lower borrowing. Wealthy borrowers drive the results, challenging credit constraints as the primary explanation. We develop a model to evaluate the mechanisms driving household behavior and find that much of the effect co...
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作者：Horenstein, Alex; Vasquez, Aurelio; Xiao, Xiao
作者单位：University of Miami; Instituto Tecnologico Autonomo de Mexico; University of Cambridge
摘要：We explore the factor structure in delta-hedged equity option returns. A sparse latent factor model generates a correlation of 0.90 or higher between average and predicted option returns. A comparable performance is achieved with a characteristic-based model containing four factors: the equally weighted option portfolio, a factor based on the difference between historical and implied volatilities, a factor based on the ratio of corporate cash holdings to the total value of the firm's assets, a...
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作者：Sammon, Marco; Shim, John J.
作者单位：Harvard University; University of Notre Dame
摘要：We find that firms are the primary sellers who clear the market for index fund buying, providing shares at a nearly one-for-one rate. Most demand-side institutions trade in the same direction as index funds rather than accommodating passive demand. We use two instruments for index fund demand and show that firms causally respond to exogenous passive demand, with prices serving as the coordinating mechanism. Firms satisfy passive demand mostly through nonprimary market issuance, for example, th...
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作者：Zhong, Hongda; Zhou, Zhen
作者单位：University of Texas System; University of Texas Dallas; Centre for Economic Policy Research - UK; Tsinghua University
摘要：Many regulations aim to promote coordination among creditors in bankruptcy by ex post restricting their ability to exit distressed firms. However, such restrictions may harm creditors' ex ante incentives to stay invested, thereby worsening coordination outcomes. We build a dynamic coordination model to show how this force shapes creditor runs, bankruptcy filings, and regulation designs. Intriguingly, filing for bankruptcy early, thereby preserving more assets for latecomers, can prolong firm l...
