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这是“金融学前沿论文速递”第1455篇推送
编辑:李雨 审核:魏启帆
仅用于学术交流，原文版权归原作者和原发刊所有
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Block trade contracting
From Man vs. Machine to Man + Machine: The art and AI of stock analyses
Inflation and Disintermediation
Disclosing and cooling-off: An analysis of insider trading rules
The credit supply channel of monetary policy tightening and its distributional impacts
Racial disparities in the Paycheck Protection Program
The cross-border effects of bank capital regulation
原刊和作者：
Journal of Financial Economics 2024年10月
Markus Baldauf (University of British Columbia)
Christoph Frei (University of Alberta)
Joshua Mollner (Northwestern University)
We study the optimal execution problem in a principal–agent setting. A client contracts to purchase from a dealer. The dealer hedges, buying from the market, creating temporary and permanent price impact. The client chooses a contract, which specifies payment as a function of market prices; hidden action precludes conditioning on the dealer’s hedging trades. We show the first-best benchmark is theoretically achievable with an unrestricted contract set. We then consider weighted-average-price contracts, which are commonly used. In the continuous-time limit, the optimal weighting entails a constant density at interior times and discrete masses at the extremes.
From Man vs. Machine to Man + Machine: The art and AI of stock analyses
原刊和作者：
Journal of Financial Economics 2024年10月
Sean Cao (University of Maryland)
Wei Jiang (Emory University)
Junbo Wang (Louisiana State University)
Baozhong Yang (Georgia State University)
An AI analyst trained to digest corporate disclosures, industry trends, and macroeconomic indicators surpasses most analysts in stock return predictions. Nevertheless, humans win “Man vs. Machine” when institutional knowledge is crucial, e.g., involving intangible assets and financial distress. AI wins when information is transparent but voluminous. Humans provide significant incremental value in “Man + Machine”, which also substantially reduces extreme errors. Analysts catch up with machines after “alternative data” become available if their employers build AI capabilities. Documented synergies between humans and machines inform how humans can leverage their advantage for better adaptation to the growing AI prowess.
Inflation and Disintermediation
原刊和作者：
Journal of Financial Economics 2024年10月
Isha Agarwal (University of British Columbia)
Matthew Baron (Cornell University)
We test a bank credit channel through which unexpected increases in inflation lead to short-run macroeconomic fluctuations. For identification, we study an unexpected U.S. inflation increase in early 1977 and exploit differences in state-level reserve requirements for Federal Reserve nonmember banks, which create differences in banks’ inflation exposures. More exposed banks reduce lending, lowering local house prices and construction employment. We provide evidence for potential mechanisms, including a bank net wealth and a loan misallocation channel. Our results suggest that an important consequence of inflation is its impairment of the banking sector.
Disclosing and cooling-off: An analysis of insider trading rules
原刊和作者：
Journal of Financial Economics 2024年10月
Jun Deng (University of International Business and Economics)
Huifeng Pan (University of International Business and Economics)
Hongjun Yan (DePaul University）
Liyan Yang (University of Toronto)
We analyze two insider-trading regulations recently introduced by the Securities and Exchange Commission: mandatory disclosure and “cooling-off period”. The former requires insiders disclose trading plans at adoption, while the latter mandates a delay period before trading. These policies affect investors’ trading profits, risk sharing, and hence their welfare. If the insider has sufficiently large hedging needs, in contrast to the conventional wisdom from “sunshine trading”, disclosure reduces the welfare of all investors. In our calibration, a longer cooling-off period benefits speculators, and its implications for the insider and hedgers depend on whether the disclosure policy is already in place.
The credit supply channel of monetary policy tightening and its distributional impacts
原刊和作者：
Journal of Financial Economics 2024年10月
Joshua Bosshardt (Federal Housing Finance Agency)
Marco Di Maggio (Imperial College Business School and NBER)
Ali Kakhbod (UC Berkeley Haas Business School)
Amir Kermani (UC Berkeley Haas Business School and NBER)
This paper studies how tightening monetary policy transmits to the economy through the mortgage market and sheds new light on the distributional consequences at both individual and regional levels. We specifically examine the sharp increase in mortgage interest rates during 2022 and 2023. We find that almost all of the decline in mortgages compared to prior years was concentrated in loans that would have had a debt-to-income (DTI) ratio above underwriting thresholds. These effects are even more pronounced for minority and middle-income borrowers. Additionally, regions more affected by the thresholds exhibited greater reductions in mortgage originations, house prices, and consumption.
Racial disparities in the Paycheck Protection Program
原刊和作者：
Journal of Financial Economics 2024年10月
Sergey Chernenko (Purdue University)
David Scharfstein(Harvard Business School)
Consistent with contemporaneous research, we document that minority-owned firms were more likely than observationally similar white-owned firms to receive PPP loans from nonbank lenders than from banks. However, we show that this substitution to nonbanks was only partial, resulting in significantly lower PPP take-up by minority-owned firms, particularly Black-owned ones. Location and firm characteristics explain about two-thirds of the 25 percentage point disparity in PPP take-up by Black-owned firms. While there was greater substitution to nonbanks in more racially biased locations, overall take-up was still lower in those locations. Access to professional help with applications facilitated use of nonbanks and mitigated disparities.
The cross-border effects of bank capital regulation
原刊和作者：
Journal of Financial Economics 2024年10月
Saleem Bahaj (University College London, Bank of England and CEPR)
Frederic Malherbe (University College London and CEPR)
We study the international coordination of bank capital requirements under a host-country rule: the requirement depends on where the borrower, not the bank, is located. In such a regime, countries compete for scarce bank equity capital. Raising a country’s requirement may generate bank capital outflows as well as inflows. We pin down the condition for the sign of the capital flow and the associated externality, and highlight the policy implications. Absent collaboration, overshooting is likely: individual countries have an incentive to increase Basel III’s Counter-Cyclical Capital Buffer too much in good times and cut it too much in bad times.
原文：
https://www.sciencedirect.com/journal/journal-of-financial-economics/vol/160/suppl/C
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