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这是“金融学前沿论文速递”第1451篇推送
编辑:李甜 审核:艾小群
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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The social signal
Discrimination in the payments chain
Refinancing cross-subsidies in the mortgage market
The death of a regulator: Strict supervision, bank lending, and business activity
How do Treasury dealers manage their positions?
Intermediation frictions in debt relief: Evidence from CARES Act forbearance
原刊和作者：
Journal of Financial Economics 2024年8月
J. Anthony Cookson (University of Colorado at Boulder)
Runjing Lu (University of Alberta)
William Mullins (University of California)
Marina Niessner (Indiana University )
We examine social media attention and sentiment from three major platforms: Twitter, StockTwits, and Seeking Alpha. We find that, even after controlling for firm disclosures and news, attention is highly correlated across platforms, but sentiment is not: its first principal component explains little more variation than purely idiosyncratic sentiment. Using market events, we attribute differences across platforms to differences in users (e.g., professionals versus novices) and differences in platform design (e.g., character limits in posts). We also find that sentiment and attention contain different return-relevant information. Sentiment predicts positive next-day returns, but attention predicts negative next-day returns. These results highlight the importance of considering both social media sentiment and attention, and of distinguishing between different investor social media platforms.
Discrimination in the payments chain
原刊和作者：
Journal of Financial Economics 2024年8月
Anna Costello(University of Chicago)
Michael Minnis(University of Chicago)
Irina Rabinovich (Billtrust)
We examine whether discrimination affects customers’ willingness to pay their suppliers. Using a dataset of detailed trade credit networks, we find that when facing a macroeconomic shock, customers delay payments to their suppliers with female or black trade credit officers at a 10%–20% higher rate relative to their payments to non-minorities. These results hold after controlling for a host of economic differences between minority groups and non-minority groups. In particular, we exploit the complexity of the supply chain network – wherein suppliers transact with multiple customers in each month and customers transact with multiple suppliers in each month – to estimate within-relationship changes in payment behavior during periods of financial hardship. Results indicate that the largest increases in payment delays are between customers that are classified as having racial or gender biases and suppliers that have minority lead credit officers. The results suggest that biased beliefs and preferences play a critical role in trade credit.
Refinancing cross-subsidies in the mortgage market
原刊和作者：
Journal of Financial Economics 2024年8月
Jack Fisher (Harvard Business School)
Alessandro Gavazza (London School of Economics)
Lu Liu（University of Pennsylvania）
Tarun Ramadorai（Imperial College London）
Jagdish Tripathy（Bank of England）
In household finance markets, inactive households can implicitly cross-subsidize active households who promptly respond to financial incentives. We assess the magnitude and distribution of cross-subsidies in the mortgage market. To do so, we build a structural model of household mortgage refinancing and estimate it on rich administrative data covering the stock of outstanding mortgages in the UK. We estimate sizeable cross-subsidies that flow from relatively poorer households and those located in less-wealthy areas towards richer households and those located in wealthier areas. Our work highlights how the design of household finance markets can contribute to wealth inequality.
The death of a regulator: Strict supervision, bank lending, and business activity
原刊和作者：
Journal of Financial Economics 2024年8月
João Granja (University of Chicago)
Christian Leuz（University of Chicago, CEPR & NBER）
We exploit the extinction of the thrift supervisor (OTS) to analyze the effects of supervision on bank lending and bank management. We first show that the OTS replacement resulted in stricter supervision of former OTS banks. Next, we analyze the ensuing lending effects and show that former OTS banks on average increase small business lending by roughly 10 percent. This increase is concentrated in well-capitalized banks and especially in banks that changed management practices following the supervisory transition. These findings suggest that stricter supervision operates not only through the enforcement of loss recognition and capital adequacy, but can also act as a catalyst for operational changes that correct deficiencies in bank management and lending practices, which in turn increase lending.
How do Treasury dealers manage their positions?
原刊和作者：
Journal of Financial Economics 2024年8月
Michael Fleming (Federal Reserve Bank of New York)
Giang Nguyen（Pennsylvania State University）
Joshua Rosenberg（United Texas Bank）
Using 31 years of data (1990–2020) on U.S. Treasury dealer positions, we find that Treasury issuance is the main driver of dealers’ weekly inventory changes. Such inventory fluctuations are only partially offset in adjacent weeks and not significantly hedged with futures. Dealers are compensated for inventory risk by means of subsequent price appreciation of their holdings. Amid increased balance sheet costs attributable to post-crisis regulatory changes, dealers significantly reduce their position taking and layoff inventory faster. Moreover, the increased participation of non-dealers (investment funds) in the primary market contributes to diminishing compensation for inventory risk taken on at auctions.
Intermediation frictions in debt relief: Evidence from CARES Act forbearance
原刊和作者：
Journal of Financial Economics 2024年8月
You Suk Kim (Federal Reserve Board)
Donghoon Lee(Federal Reserve Bank of New York)
Tess Scharlemann（Federal Reserve Board）
James Vickery（Federal Reserve Bank of Philadelphia）
We study how intermediaries – mortgage servicers – shaped the implementation of mortgage forbearance during the COVID-19 pandemic and use servicer-level variation to trace out the causal effects of forbearance on borrowers. Forbearance provision varied widely across servicers. Small servicers, nonbanks, and especially nonbanks with small liquidity buffers, facilitated fewer forbearances and saw a higher incidence of forbearance-related complaints. Easier access to forbearance substantially increased mortgage nonpayment but also reduced delinquencies outside of forbearance. Part of the liquidity from forbearance was used to reduce credit card debt, but most was saved or used for nondurable consumption.
原文：
https://www.sciencedirect.com/journal/journal-of-financial-economics/vol/158/suppl/C
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