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作者：Kutai, Ari; Nathan, Daniel; Wittwer, Milena
作者单位：Tel Aviv University; Bank of Israel; Boston College
摘要：We leverage the unique institutional feature that the Israeli government bond market operates on an exchange rather than over-the-counter to analyze whether and why having an exchange affects market liquidity during a crisis. We document how the liquidity crisis in March 2020 affected the Israeli government bond market and conduct difference-indifferences analyses, comparing bid-ask spreads in exchange markets, such as the Israeli government bond market, with markets lacking an exchange. Our f...
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作者：Ivanov, Ivan T.; Zimmermann, Tom; Heinrich, Nathan W.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Chicago; University of Cologne; University of Cologne; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We examine the effectiveness of recent federal disclosure regulation aiming to improve transparency in the $4 trillion municipal bond market. Governments fail to disclose material private placements 50%-60% of the time and, conditional on disclosure, filings often omit contract details essential for bond pricing. Noncompliant issuers are significantly riskier than compliers, with disclosure decreasing in the potential of privately placed debt to adversely affect bondholders. We show that discl...
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作者：Amiram, Dan; Lyandres, Evgeny; Rabetti, Daniel
作者单位：Tel Aviv University; National University of Singapore
摘要：How competition affects manipulation by firms of information about important attributes of their products and how such information manipulation impacts firms' shortterm and long-term performance are open empirical questions. We use a setting that is especially suitable for answering these questions-centralized crypto exchanges, on which information manipulation takes the form of inflated trading volume. We find that static and dynamic competition measures are positively associated with volume ...
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作者：Ghazi, Soroush; Schneider, Mark; Strauss, Jack
作者单位：University of Alabama System; University of Alabama Tuscaloosa; University of Denver
摘要：A positive relation between the conditional mean and conditional volatility of aggregate stock returns, although viewed as a fundamental law of finance, has been challenging to find empirically. We consider a representative agent asset pricing model with Knightian uncertainty and demonstrate that this risk-return trade-off depends on the agent's ambiguity attitude (reflecting the agent's degree of optimism or pessimism). The model predicts that the conditional equity premium is increasing in m...
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作者：Arenas, Andreu; Calsamiglia, Caterina
作者单位：University of Barcelona; ICREA; Centre for Economic Policy Research - UK; IZA Institute Labor Economics
摘要：The Gale-Shapley algorithm is one of the most popular college allocation mechanisms around the world. A crucial policy question in its setting is designing admission priorities for students, understanding how they disadvantage certain demographic groups, and whether these differences relate to differences in college performance potential. Studying a policy change in Spain, we find a negative effect of increasing the weight of standardized highstakes exams on female college admission grades, dr...
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作者：Kantak, Preetesh
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：Using a measure of local long-run growth prospects, I uncover a novel link between economic fundamentals and house prices. Whereas excess housing returns are positively associated with economic growth prospects, housing valuations are negatively associated with shocks to growth prospects. I document an explanation in metro-area consumption: housing consumption is asymmetrically exposed to economic prospects in that it expands more quickly when prospects are strong than it contracts when prospe...
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作者：Kim, Chongho; Park, Jihwon; Sul, Edward
作者单位：Seoul National University (SNU); City University of New York (CUNY) System; Baruch College (CUNY); George Washington University
摘要：We examine the effect of the Markets in Financial Instruments Directive (MiFID) II's controversial unbundling provision on corporate voluntary disclosure. Although prior research has largely focused on changes in sell-side research post-MiFID II, changes in voluntary disclosure and their effects on the information environment are less known. We find that European Union (EU) firms significantly increased the propensity and frequency of management earnings guidance issuance after MiFID II enactm...
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作者：Abbassi, Puriya; Iyer, Rajkamal; Peydro, Jose-Luis; Soto, Paul E.
作者单位：Deutsche Bundesbank; Imperial College London; ICREA; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We study short-term and medium-term changes in bank risk-taking as a result of supervision and the associated real effects. For identification, we exploit the European Central Bank's asset-quality-review (AQR) in conjunction with security and credit registers. After the AQR announcement, reviewed banks reduce riskier securities and credit supply, with the greatest effect on riskiest securities. We find negative spillovers on asset prices and firm-level credit availability. Moreover, nonbanks w...
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作者：Cao, Jing; Liu, Tracy Xiao; Ma, Rong; Sun, Ang
作者单位：Tsinghua University; China Agricultural University; Renmin University of China; Renmin University of China
摘要：Policies geared toward environmental and economic improvement could unexpectedly lead to negative consequences in other dimensions. Such cases raise a red flag to economists and policymakers who aim to deliver comprehensive and sensible policy evaluations. This article investigates antisocial behaviors in response to the Clean Winter Heating Policy (CWHP), which seeks to improve outdoor air quality. Our results show that participating villagers are more likely to violate laws to burn agricultu...
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作者：Cen, Ling; Hertzel, Michael; Schiller, Christoph
作者单位：Chinese University of Hong Kong; Arizona State University; Arizona State University-Tempe
摘要：We develop a measure of the speed of firm-level information diffusion, study how it is affected by limited attention, and examine its effect on real corporate decisions. Using local flu epidemics as exogenous attention shocks, we show that inattention from dual-covering analysts and cross-holding institutions reduces the speed of information diffusion from customer to supplier stock prices. We find that the speed of information diffusion along the supply chain affects the price feedback effect...
