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作者：Drechsler, Itamar; Savov, Alexi; Schnabl, Philipp; Wang, Olivier
作者单位：University of Pennsylvania; National Bureau of Economic Research; New York University
摘要：The deposit franchise is valuable because banks pay below-market deposit rates. However, if depositors leave, its value vanishes. This can trigger runs by uninsured depositors, even if banks hold fully liquid assets. Because the franchise value increases with interest rates, runs are more harmful, and hence likelier, when rates are high. Banks can deter runs by shortening asset duration, but this risks insolvency if rates fall. Avoiding both runs and insolvency requires capital covering the po...
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作者：Li, Jian; Yu, Haiyue
作者单位：Columbia University
摘要：The link between corporate bond credit spreads and secondary market illiquidity in the cross section has grown stronger since 2005, resulting in a higher liquidity component in credit spreads. Using U.S. investor holdings data, we show that short-term investors (e.g., mutual funds/exchange-traded funds [ETFs]) increase trading activities in the secondary market, amplifying the effect of secondary market frictions on prices. We provide a model featuring heterogeneous investors with different tr...
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作者：Choukhmane, Taha; De Silva, Tim
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Stanford University
摘要：We study the role of risk preferences and frictions in portfolio choice using variation in 401(k) default options. Patterns of active choice in response to different default funds imply that, absent participation frictions, 94% of investors prefer holding stocks, with an equity share of retirement wealth declining with age-patterns markedly different from observed allocations. We use this quasi-experiment to estimate a life-cycle model and find a relative risk aversion of 2.5, elasticity of in...
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作者：Azarmsa, Ehsan; Shapiro, Joel
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; University of Oxford
摘要：We present a model of competition between environmental, social, and governance (ESG) raters who acquire information about multiple unrelated categories and sell ratings. Raters specializing in different categories maximize the amount of information transmitted and surplus, and can be an equilibrium outcome. When investors place a high value on ESG performance across multiple categories, the unique equilibrium is for the raters to generalize-splitting their effort among the categories, resulti...
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作者：Calvet, Laurent E.; Campbell, John Y.; Gomes, Francisco; Sodini, Paolo
作者单位：Universite Cote d'Azur; Centre for Economic Policy Research - UK; Harvard University; National Bureau of Economic Research; University of London; London Business School; Stockholm School of Economics
摘要：This paper estimates the cross-sectional distribution of Epstein-Zin preferences using the wealth and risky portfolio shares of a large panel of Swedish households. We find modestly heterogeneous risk aversion (standard deviation 0.97, median 7.50) and a meaningfully heterogeneous and right-skewed time preference rate (TPR; standard deviation 7.31%, median 4.08%) and elasticity of intertemporal substitution (EIS; standard deviation 3.17, median 0.70). Risk aversion and the EIS are only very we...
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作者：Binfare, Matteo; Zimmerschied, Kyle E.
作者单位：University of Missouri System; University of Missouri Columbia; University of Arkansas System; University of Arkansas Fayetteville
摘要：We study the asset allocation and investment performance of U.S. private foundations that support the charitable sector. Large foundations generated positive risk-adjusted returns before 2008, driven by early access to private equity and venture capital funds, but have underperformed since. The median foundation underperforms by more than 100 bps. Foundations with concentrated stock holdings achieve higher returns but assume more risk. Due to the constraints imposed by the 5% minimum spending ...
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作者：Dittmar, Robert F.; Hsu, Alex; Roussellet, Guillaume; Simasek, Peter
作者单位：Rice University; University System of Georgia; Georgia Institute of Technology; McGill University; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We examine the relative pricing of nominal Treasury bonds and Treasury inflation-protected securities in the presence of U.S. default risk. Hedged breakeven inflation is significantly positively related to U.S. default risk, driven by correlation between shocks to default risk and both shocks to inflation swap premia and Treasury yields. To understand the mechanisms through which default risk is related to inflation swaps and sovereign yields, we estimate an affine term structure model to capt...
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作者：Pikulina, Elena s.; Ferreira, Daniel
作者单位：University of British Columbia; University of London; Centre for Economic Policy Research - UK; London School Economics & Political Science; European Corporate Governance Institute
摘要：We introduce the concept of subtle discrimination-biased acts that cannot be objectively ascertained as discriminatory. When candidates compete for promotions by investing in skills, firms' subtle biases induce discriminated candidates to overinvest when promotions are low-stakes (to distinguish themselves from favored candidates) but underinvest in high-stakes settings (anticipating low promotion probabilities). This asymmetry implies that subtle discrimination raises profits in low-productiv...
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作者：Lagaras, Spyridon
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：Mergers are associated with large and persistent earnings declines for incumbent employees in target firms. Linking employer-employee administrative data with information on merger activity in Brazil, I find the negative effects concentrate on employees who exit target firms and reflect displacement in the short run and wage declines in the long run. Low-skilled, managerial, and older employees fare worse. Overall, I conclude that mergers are followed by substantial reallocation costs reflecti...
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作者：Gonzalez, Rodrigo Barbone; Khametshin, Dmitry; Peydro, Jose-luis; Polo, Andrea
作者单位：Central Bank of Brazil; Luiss Guido Carli University
摘要：We show that FX interventions can be effective, particularly in attenuating global financial spillovers. We exploit global financial shocks and Brazilian central bank interventions in FX derivatives using three matched administrative registers: bank credit (to firms), foreign credit to banks, and employer-employees. After the U.S. Taper Tantrum (followed by emerging markets' FX turbulence), Brazilian banks with more foreign debt cut credit supply, reducing firm-level employment. A subsequent l...
