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作者：Nurisso, George C.
作者单位：State University System of Florida; University of Florida
摘要：Short sellers convey negative information to securities lenders when borrowing shares. I model how this information generates novel interactions between institutional investors' lending and trading decisions. Lower lending fees improve information quality by facilitating more shorting, but also make it less costly for lenders to strategically recall shares to enhance their trading profits. Lenders may then need to raise fees to commit not to recall shares and thereby attract short sellers. Con...
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作者：Kulkarni, Sheisha; Truffa, Santiago; Iberti, Gonzalo
作者单位：University of Virginia; Universidad Adolfo Ibanez; University Diego Portales
摘要：Hidden fees can distort consumer decision-making. In response, regulators historically have (a) improved disclosure to make fees more salient or (b) standardized products to restrict what fees can be charged. We use Chilean administrative data and a multi-stage natural experiment to separately identify the effects of disclosure and standardization on repayment. We find that disclosure reduces delinquencies by 13.7 percentage points (40%) and default by 1.68 percentage points (98%), whereas sta...
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作者：Griffin, John M.; Kruger, Samuel; Mahajan, Prateek
作者单位：University of Texas System; University of Texas Austin
摘要：Pandemic fraud is geographically concentrated and stimulated local purchases, with effects on prices. Recipients of fraudulent Paycheck Protection Program (PPP) funds significantly increased their home purchasing rate compared to recipients of non-fraudulent PPP funds, and house prices in high-fraud ZIP codes increased 5.8 percentage points more than in low-fraud ZIP codes within the same county. In a horse race, pandemic fraud is one of the largest and most robust factors explaining house pri...
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作者：Tham, Wing Wah; Baslandze, Salome; Sojli, Elvira; Liu, Leo
作者单位：University of New South Wales Sydney; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; University of Technology Sydney
摘要：This paper studies the interaction between process and product innovations and their distinct role in firm growth dynamics. We differentiate empirically and theoretically two types of process innovations: foundational processes that advance production technology and cost-reducing processes that enhance existing production efficiency. We develop an innovation model of product varieties with quality heterogeneity to illustrate how these innovations impact firm growth differently and highlight ho...
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作者：Ammann, Manuel; Cochardt, Alexander; Cohen, Lauren; Heller, Stephan
作者单位：University of St Gallen; Harvard University; National Bureau of Economic Research
摘要：We provide novel evidence suggestive of insider trading through concealed relationships identified using information from over 100,000 Facebook profiles and their 35 million friends. Focusing on connections between fund managers and firm officers, we demonstrate that hidden ties are linked to substantial abnormal returns averaging 135 basis points per month (exceeding 16% alpha annually, t-stat = 3.54) across the universe of mutual funds and public firms. These hidden ties emerge as the most p...
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作者：Seegmiller, Bryan
作者单位：Northwestern University
摘要：Stocks with similar characteristics but different levels of ownership by financial institutions have returns and risk premia that comove very differently with shocks to the risk-bearing capacity of dealer banks. After observable stock characteristics are accounted for, excess returns on more intermediated stocks have higher betas on contemporaneous shocks to intermediary willingness to take risk and are more predictable by state variables that proxy for intermediary health. Intermediary risk-b...
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作者：Berndt, Antje; Helwege, Jean; Liu, Amanda; Packer, Frank
作者单位：Australian National University; University of California System; University of California Riverside; Bank for International Settlements (BIS)
摘要：We develop a general equilibrium model in which firms issue nearly redundant securities to investor clienteles with participation constraints, with prices and demand determined endogenously in primary and secondary markets. The model characterizes how issuance costs, market frictions, and investor composition shape firms' funding choices, equilibrium prices, and asset allocations. We test the model's predictions using data from the Malaysian corporate bond market following the introduction of ...
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作者：Pang, Hao
作者单位：University of Texas System; University of Texas Dallas
摘要：I show that the overreaction of the long-term yield forecasts to yield news, evidenced in recent studies, results directly from the overreaction of long-horizon inflation forecasts to inflation news. Motivated by this finding, I study how agents form inflation expectations across forecast horizons. Short-horizon survey forecasts underreact, while long-horizon forecasts overreact to inflation news. To reconcile this behavior, I implement a long-run bias, building on the widely shared intuition ...
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作者：Cookson, J. Anthony; Fox, Corbin; Gil-Bazo, Javier; Imbet, Juan F.; Schiller, Christoph
作者单位：University of Colorado System; University of Colorado Boulder; Clemson University; Barcelona School of Economics; Pompeu Fabra University; Universite PSL; Universite Paris-Dauphine; University System of Ohio; Ohio State University
摘要：After the run on Silicon Valley Bank (SVB) in March 2023, U.S. regional banks entered a period of significant distress. We quantify social media's role in this distress using comprehensive Twitter data. During the SVB run period, banks with high pre-existing exposure to Twitter lost 4.3 percentage points more stock market value. Moreover, Twitter pre-exposure interacts significantly with classical run risks to predict greater run severity and greater deposit outflows during Q1-2023, effects un...
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作者：Korteweg, Arthur; Panageas, Stavros; Systla, Anand
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：We evaluate private equity (PE) performance using investor-specific stochastic discount factors, and examine whether public pension plans could benefit from changing their allocation to PE. Plans invest in PE funds with higher than average risk-adjusted performance. This is mainly due to access to successful managers, not superior selection skill. Decomposing returns into risk-compensation and alpha, we find that some plans obtain higher PE returns by taking more risk without earning higher, a...
