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作者：Baker, Scott R.; Balthrop, Justin; Johnson, Mark J.; Kotter, Jason; Pisciotta, Kevin
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Nebraska System; University of Nebraska Lincoln; Brigham Young University; University of Kansas
摘要：We estimate the causal effect of online sports betting on households' investment, spending, and debt management decisions using household transaction data and a staggered difference-in-differences framework. Following legalization, sports betting spreads quickly, with both the number of participants and frequency of bets increasing over time. This increase does not displace other gambling or consumption but significantly reduces savings, as risky bets crowd out positive expected value investme...
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作者：Schroth, Josef
作者单位：Bank of Canada
摘要：Are banks safer when they hold more safe assets? This paper builds a model in which banks supply liquidity services through uninsured deposits. Define a safe asset as an asset with both low payoff risk and high pledgeability. Banks consider equity costly and because of safe assets' low payoff risk prefer to fund them largely with deposits. High pledgeability makes this feasible. The rise in banks' deposit supply increases deposit rates and forces banks to deviate from socially desirable levels...
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作者：Sikorskaya, Taisiya
作者单位：University of Chicago
摘要：Institutions facilitate short-selling by lending from their holdings, but what they hold is endogenous. This paper examines how institutional demand, driven by investment mandates (benchmarking), affects short-selling. In a model where benchmarked managers lend from their holdings, both lending supply and equilibrium price are higher for the benchmark asset, and so is shorting demand (due to inflated price). A quasi-experiment using Russell index reconstitution shows that stocks with more benc...
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作者：Cohn, Jonathan B.; Johnson, Travis L.; Liu, Zack; Wardlaw, Malcolm I.
作者单位：University of Texas System; University of Texas Austin; University of Houston System; University of Houston; University System of Georgia; University of Georgia
摘要：Confounding events can cause false positives when testing the relationship between short-term returns around a quasi-experimental event and firm characteristics. We show that this risk is severe in practice - return characteristic relationships are often statistically significant at the 1% level on over 30% of all trading days. Benchmarking a relationship against the distribution of the same relationship on pre-event days is effective at addressing the problem. We introduce a novel GLS variati...
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作者：Avramov, Doron; Ge, Shuyi; Li, Shaoran; Linton, Oliver
作者单位：Reichman University; Nankai University; Peking University; University of Cambridge
摘要：This paper introduces a Peer Index (PI) constructed from economically motivated peer networks that summarizes (i) the strength of a firm's peers and (ii) the firm's position within its peer group. PI predicts stock returns and earnings surprises over short and long horizons. Machine-learning models based solely on firm-level characteristics do not subsume PI's predictive power, supporting the interpretation that it captures genuine cross-stock information. Lag-augmented local projections show ...
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作者：Carpenter, Jennifer N.; Lu, Fangzhou; Whitelaw, Robert F.
作者单位：New York University; University of Hong Kong; National Bureau of Economic Research
摘要：We propose a new approach to modeling bond risk and risk premia, inspired by the equity risk-return literature, which does not impose the tight restrictions found in models that generate closed-form bond prices. We estimate the joint dynamics of the volatility and Sharpe ratio of principal-component bond-factor portfolios for the US and China. Predictors include yield curve variables and, for the US, VIX. We document complex time-varying relations between the price and quantity of interest rat...
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作者：Fuchs, Maximilian; Stroebel, Johannes; Terstegge, Julian
作者单位：Copenhagen Business School; New York University; National Bureau of Economic Research; University of Michigan System; University of Michigan
摘要：We study the effects of carbon price uncertainty on firms' decisions to decarbonize their operations. We first use information on the pricing of options on emission allowances in the European Emissions Trading System to create the Carbon VIX, a market-based high-frequency measure of carbon price uncertainty. Carbon price uncertainty is high, varies substantially over time, and experiences persistent shocks around major climate policy events. To explore the effects of carbon price uncertainty o...
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作者：Kaviani, Mahsa; Maleki, Hosein; Savor, Pavel
作者单位：University of Delaware; Rutgers University System; Rutgers University New Brunswick; DePaul University
摘要：Using close elections as an empirical setting, this paper examines the drivers and consequences of politically motivated lending by U.S. banks, with a special focus on resulting benefits. We first show that firms with ties to members of Congress receive more favorable loan terms, despite no observable improvements in performance or default risk. The effect is especially pronounced among banks facing regulatory challenges - such as FDIC enforcement actions, corporate misconduct investigations, ...
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作者：Frame, W. Scott; Gerardi, Kristopher; Mayer, Erik J.; Xu, Billy Y.; Zhao, Lawrence Chengzhi
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; University of Wisconsin System; University of Wisconsin Madison; University of Rochester; Texas Tech University System; Texas Tech University
摘要：This study examines the effect of Department of Justice lawsuits in the 2010s against large lenders for alleged fraud in the Federal Housing Administration (FHA) mortgage insurance program. The suits led to over $5 billion in settlements and caused targeted banks and their peers to precipitously exit the FHA market. Difference-in-differences and triple-differences tests exploiting geographic variation in exposure to exiting banks show an 18% reduction in FHA lending in heavily exposed areas. T...
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作者：Huang, Teng; Sacchetto, Stefano
作者单位：NEOMA Business School; Universidade Nova de Lisboa
摘要：We study the rationale behind firms' investment in risky financial assets by formulating and estimating a dynamic model in which firms allocate their precautionary savings to both safe and risky securities. In equilibrium, risky financial asset holdings are positively related to the sensitivity of a firm's financing deficit to the risky asset returns-the financing deficit beta. Using a comprehensive sample of US corporate financial asset holdings, we find evidence of a positive correlation bet...
