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这是“金融学前沿论文速递”第1454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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Concealed carry
Financial market concentration and misallocation
The short-termism trap: Catering to informed investors with limited horizons
The effects of policy interventions to limit illegal money lending
Importance of transaction costs for asset allocation in foreign exchange markets
The reserve supply channel of unconventional monetary policy
Borrow now, pay even later: A quantitative analysis of student debt payment plans
High-frequency trading in the stock market and the costs of options market making
Monetary tightening and U.S. bank fragility in 2023: Mark-to-market losses and uninsured depositor runs?
Are cryptos different? Evidence from retail trading
原刊和作者：
Journal of Financial Economics 2024年9月
Spencer Andrews (The Office of Financial Research)
Riccardo Colacito (Kenan-Flagler Business School and NBER)
Mariano Croce (Bocconi University, CEPR, Baffi and IGIER)
Federico Gavazzoni (BI Norwegian Business School)
The slope carry takes a long (short) position in the long-term bonds of countries with steeper (flatter) yield curves. The traditional carry takes a long (short) position in countries with high (low) short-term rates. We document that: (i) the slope carry return is slightly negative (strongly positive) in the pre (post) 2008 period, whereas it is concealed over longer samples; (ii) the traditional carry return is lower post-2008; and (iii) expected global growth and inflation declined post-2008. We connect these findings through an equilibrium model in which countries feature heterogeneous exposure to news shocks about global output and global inflation.
Financial market concentration and misallocation
原刊和作者：
Journal of Financial Economics 2024年9月
Daniel Neuhann (University of Texas at Austin)
Michael Sockin (University of Texas at Austin)
How does financial market concentration affect capital allocation? We propose a complete-markets model in which real investment and financial price impact are jointly determined in general equilibrium. We identify a two-way feedback mechanism whereby price impact induces misallocation and misallocation raises price impact. The mechanism is stronger if productivity is low or productivity dispersion is high. Given rising dispersion, the model can rationalize trends in corporate discount rates, cash holdings, investment, asset prices, and capital reallocation over the last two decades, even when market concentration is relatively stable. Overall, our findings suggest that financial market concentration may hamper allocative efficiency.
The short-termism trap: Catering to informed investors with limited horizons
原刊和作者：
Journal of Financial Economics 2024年9月
James Dow (London Business School)
Jungsuk Han (Seoul National University)
Francesco Sangiorgi（Frankfurt School of Finance and Management）
Does the stock market exert short-term pressure on listed firms, do they respond, and is this response value reducing? We show that limited investor horizons indeed have those consequences, as follows. First, informative stock prices increase firm value; in our model, they reduce the agency cost of incentivizing managers. Second, short project maturity improves stock price informativeness by catering to informed investors with short horizons. Third, since informed trading capital is a scarce resource, attracting informed investors cannot increase an individual firm’s price informativeness in equilibrium: it simply destroys shareholder value. This “short-termism trap” can potentially destroy up to 100% of the benefits of stock market listing.
The effects of policy interventions to limit illegal money lending
原刊和作者：
Journal of Financial Economics 2024年9月
Kaiwen Leong (Griffith University)
Huailu Li (Fudan University and Shanghai Institute of International Finance and Economics)
Nicola Pavanini (Tilburg University and Centre for Economic Policy Research）
Christoph Walsh (Tilburg University and Centre for Economic Policy Research)
We estimate a structural model of borrowing and lending in the illegal
money lending market using a unique panel survey of 1,090 borrowers
taking out 11,032 loans from loan sharks. We use the model to evaluate
the effects of interventions aimed at limiting this market. We find that
an enforcement crackdown that occurred during our sample period
increased lenders’ unit cost of harassment and interest rates, while
lowering volume of loans, lender profits and borrower welfare. Policies
removing borrowers in the middle of the repayment ability distribution,
reducing gambling or reducing time discounting are also effective at
lowering lender profitability.
Importance of transaction costs for asset allocation in foreign exchange markets
原刊和作者：
Journal of Financial Economics 2024年9月
Ilias Filippou (Florida State University)
Thomas Maurer (The University of Hong Kong)
Luca Pezzo (University of New Orleans)
Mark Taylor (Washington University and Centre for Economic Policy Research)
Transaction costs have a first-order effect on the performance of currency portfolios. Proportional costs based on quoted bid–ask spread are relatively small, but when a fund is large, costs due to the trading volume price impact are sizable and quickly erode returns, leaving many popular strategies unprofitable. A mean–variance-transaction-cost optimized approach (MVTC) that accounts for costs in the optimization efficiently tackles the problem with only relatively minor negative implications on before-cost profitability. MVTC is robust even when the price impact of trading is severe. Finally, we introduce an accurate extrapolation approach to expand the sample of the realized Amihud measure of Ranaldo and Santucci de Magistris (2022) from 12 to 26 currencies and from 2012 back in time to 1986.
The reserve supply channel of unconventional monetary policy
原刊和作者：
Journal of Financial Economics 2024年9月
William Diamond (University of Pennsylvania)
Zhengyang Jiang(Northwestern University and NBER)
Yiming Ma (Columbia Business School)
We find that central bank reserves injected by QE crowd out bank lending. We estimate a structural model with cross-sectional instrumental variables for deposit and loan demand. Our results are determined by the elasticity of loan demand and the impact of reserve holdings on the cost of supplying loans. The reserves injected by QE raise loan rates by 7.4 basis points, and each dollar of reserves reduces bank lending by 7.7 cents. Our results imply that a large injection of central bank reserves has the unintended consequence of crowding out bank loans because of bank balance sheet costs.
Borrow now, pay even later: A quantitative analysis of student debt payment plans
原刊和作者：
Journal of Financial Economics 2024年9月
Michael Boutros (University of Toronto)
Nuno Clara (Duke University)
Francisco Gomes (London Business School and CEPR)
In the U.S., student debt is currently the second largest component of consumer debt. Households are required to repay these loans early in their lifecycle, when marginal utility is particularly high. We study alternative contracts that offer partial or full payment deferral until later in life. We calibrate an economy with the current contracts, and then solve for counterfactual equilibria. The alternative contracts yield large welfare gains, which are robust to assumptions about the behavior of the lenders and borrower preferences. The gains are similar to those that could come from the debt relief program currently being considered in the U.S., but without its adverse fiscal implications.
High-frequency trading in the stock market and the costs of options market making
原刊和作者：
Journal of Financial Economics 2024年9月
Mahendrarajah Nimalendran (University of Florida)
Khaladdin Rzayev (University of Edinburgh, Koç University, and London School of Economics)
Satchit Sagade (Nasdaq and Leibniz Institute for Financial Research SAFE)
We investigate how high-frequency trading (HFT) in equity markets affects options market liquidity. We find that increased aggressive HFT activity in the stock market leads to wider bid–ask spreads in the options market through two main channels. First, options market makers’ quotes are exposed to sniping risk from HFTs exploiting put–call parity violations. Second, informed trading in the options market further amplifies the impact of HFT in equity markets on the liquidity of options by simultaneously increasing the options bid–ask spread and intensifying aggressive HFT activity in the underlying market.
Monetary tightening and U.S. bank fragility in 2023: Mark-to-market losses and uninsured depositor runs?
原刊和作者：
Journal of Financial Economics 2024年9月
Erica Xuewei Jiang (University of Southern California)
Gregor Matvos (Northwestern University and NBER)
Tomasz Piskorski (Columbia University and NBER)
Amit Seru (Stanford Graduate School of Business, Hoover Institution, Stanford Institute for Economic Policy Research, and NBER)
We develop a conceptual framework and an empirical methodology to analyze the effect of rising interest rates on the value of U.S. bank assets and bank stability. We mark-to-market the value of banks’ assets due to interest rate increases from Q1 2022 to Q1 2023, revealing an average decline of 10 %, totaling about $2 trillion in aggregate. We present a model illustrating how asset value declines due to higher rates can lead to self-fulfilling solvency runs even when banks’ assets are fully liquid. Banks with high asset losses, low capital, and, critically, high uninsured leverage are most fragile. A case study of the failed Silicon Valley Bank confirms the model insights. Our empirical measures of bank fragility suggest that, in the absence of regulatory intervention, many U.S. banks would have been at risk of self-fulfilling solvency runs.
Are cryptos different? Evidence from retail trading
原刊和作者：
Journal of Financial Economics 2024年9月
Shimon Kogan (Reichman University and the Wharton School)
Igor Makarov (London School of Economics)
Marina Niessner (Indiana University)
Antoinette Schoar (MIT)
Trading in cryptocurrencies grew rapidly over the last decade, dominated by retail investors. Using data from eToro, we show that retail traders are contrarian in stocks and gold, yet the same traders follow a momentum-like strategy in cryptocurrencies. The differences are not explained by individual characteristics, investor composition, inattention, differences in fees, or preference for lottery-like assets. We conjecture that retail investors have a model where cryptocurrency price changes affect the likelihood of future widespread adoption, which leads them to further update their price expectations in the same direction.
原文：
https://www.sciencedirect.com/journal/journal-of-financial-economics/vol/159/suppl/C
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