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Disclosing and cooling-off: An analysis of insider trading rules 披露与冷却:内幕交易规则分析
IF 10.4 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-08-01 DOI: 10.1016/j.jfineco.2024.103913

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.

我们分析了证券交易委员会最近出台的两项内幕交易法规:强制披露和 "冷静期"。前者要求内幕交易者在通过交易计划时披露交易计划,后者则规定交易前有一个延迟期。这些政策会影响投资者的交易利润、风险分担,进而影响他们的福利。如果内部人有足够大的对冲需求,与 "阳光交易 "的传统观点不同,信息披露会降低所有投资者的福利。在我们的校准中,较长的冷却期有利于投机者,其对内部人和对冲者的影响取决于是否已经实施了信息披露政策。
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引用次数: 0
From Man vs. Machine to Man + Machine: The art and AI of stock analyses 从 "人机大战 "到 "人+机":股票分析的艺术与人工智能
IF 10.4 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-07-22 DOI: 10.1016/j.jfineco.2024.103910

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.

接受过消化企业信息披露、行业趋势和宏观经济指标培训的人工智能分析师在股票回报预测方面超过了大多数分析师。不过,当机构知识至关重要时,例如涉及无形资产和财务困境时,人类在 "人机大战 "中胜出。当信息透明但数量庞大时,人工智能会胜出。在 "人工+机器 "中,人类提供了巨大的增量价值,同时也大大减少了极端错误。在 "替代数据 "可用后,如果分析师的雇主建立了人工智能能力,分析师就能赶上机器。记录在案的人类与机器之间的协同作用为人类如何利用自身优势更好地适应日益强大的人工智能提供了参考。
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引用次数: 0
Block trade contracting 阻止贸易签约
IF 10.4 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-07-19 DOI: 10.1016/j.jfineco.2024.103901

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.

我们研究的是委托代理环境下的最优执行问题。客户与交易商签订购买合同。交易商进行套期保值,从市场上买入,对价格产生暂时和永久的影响。客户选择合同,合同规定付款是市场价格的函数;隐藏行动排除了对交易商套期保值交易的条件限制。我们的研究表明,理论上第一最优基准是可以通过不受限制的合约集实现的。然后,我们考虑了常用的加权平均价格合约。在连续时间极限中,最优加权需要在内部时间具有恒定密度,而在极端时间具有离散质量。
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引用次数: 0
Are cryptos different? Evidence from retail trading 加密货币与众不同吗?来自零售交易的证据
IF 10.4 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-07-06 DOI: 10.1016/j.jfineco.2024.103897
Shimon Kogan , Igor Makarov , Marina Niessner , Antoinette Schoar

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.

过去十年中,加密货币交易增长迅速,散户投资者占主导地位。通过使用 eToro 的数据,我们发现散户交易者在股票和黄金交易中采取逆向投资策略,而在加密货币交易中则采取类似动量的策略。个人特征、投资者构成、注意力不集中、费用差异或对彩票类资产的偏好都无法解释这种差异。我们推测,散户投资者有一种模式,即加密货币的价格变化会影响未来被广泛采用的可能性,从而导致他们进一步更新其价格预期,使其朝着同一方向发展。
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引用次数: 0
Monetary tightening and U.S. bank fragility in 2023: Mark-to-market losses and uninsured depositor runs? 货币紧缩与 2023 年美国银行的脆弱性:按市值计价损失和无担保储户挤兑?
IF 10.4 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-07-04 DOI: 10.1016/j.jfineco.2024.103899
Erica Xuewei Jiang , Gregor Matvos , Tomasz Piskorski , Amit Seru

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.

我们建立了一个概念框架和一种实证方法来分析利率上升对美国银行资产价值和银行稳定性的影响。我们对 2022 年第一季度至 2023 年第一季度因利率上升而导致的银行资产价值进行了按市值计价,结果显示资产价值平均下降了 10%,总计约 2 万亿美元。我们提出了一个模型,说明即使在银行资产具有完全流动性的情况下,利率上升导致的资产价值下降也会导致偿付能力的自我实现。资产损失率高、资本金低,以及关键的未保险杠杆率高的银行最为脆弱。对倒闭的硅谷银行的案例研究证实了模型的洞察力。我们对银行脆弱性的实证测量表明,如果没有监管部门的干预,许多美国银行都会面临偿付能力自我实现挤兑的风险。
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引用次数: 0
High-frequency trading in the stock market and the costs of options market making 股票市场的高频交易与期权做市成本
IF 10.4 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-07-03 DOI: 10.1016/j.jfineco.2024.103900
Mahendrarajah Nimalendran , Khaladdin Rzayev , Satchit Sagade

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.

我们研究了股票市场的高频交易(HFT)如何影响期权市场的流动性。我们发现,股票市场中高频交易活动的增加通过两个主要渠道导致期权市场的买卖价差扩大。首先,期权做市商的报价面临 HFT 利用看跌-看涨平价违规行为的狙击风险。其次,期权市场上的知情交易进一步扩大了股票市场上的 HFT 对期权流动性的影响,因为它同时扩大了期权的买卖价差,并加剧了相关市场上激进的 HFT 活动。
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引用次数: 0
Borrow now, pay even later: A quantitative analysis of student debt payment plans 现在借,以后还:学生债务偿还计划的定量分析
IF 10.4 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-06-25 DOI: 10.1016/j.jfineco.2024.103898
Michael Boutros , Nuno Clara , Francisco Gomes

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.

在美国,学生债务目前是消费者债务的第二大组成部分。家庭需要在其生命周期的早期偿还这些贷款,而此时的边际效用特别高。我们研究了提供部分或全部还款延期至晚年的替代合同。我们用当前的合同对经济进行校准,然后求解反事实均衡。替代合同产生了巨大的福利收益,这些收益对贷款人行为和借款人偏好的假设是稳健的。这些收益与美国目前正在考虑的债务减免计划可能带来的收益类似,但不会产生不利的财政影响。
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引用次数: 0
The reserve supply channel of unconventional monetary policy 非常规货币政策的储备供应渠道
IF 10.4 1区 经济学 Q1 Business, Management and Accounting Pub Date : 2024-06-21 DOI: 10.1016/j.jfineco.2024.103887
William Diamond , Zhengyang Jiang , Yiming Ma

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.

我们发现,中央银行通过量化宽松注入的准备金挤出了银行贷款。我们利用存款和贷款需求的横截面工具变量估计了一个结构模型。我们的结果取决于贷款需求的弹性以及储备金持有量对贷款供应成本的影响。量化宽松注入的准备金使贷款利率上升了 7.4 个基点,每 1 美元的准备金使银行贷款减少了 7.7 美分。我们的研究结果表明,由于银行资产负债表的成本,中央银行大量注入储备金会产生挤出银行贷款的意外后果。
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引用次数: 0
Importance of transaction costs for asset allocation in foreign exchange markets 交易成本对外汇市场资产配置的重要性
IF 8.9 1区 经济学 Q1 Business, Management and Accounting Pub Date : 2024-06-19 DOI: 10.1016/j.jfineco.2024.103886
Ilias Filippou , Thomas A. Maurer , Luca Pezzo , Mark P. Taylor

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.

交易成本对货币投资组合的表现有一阶影响。基于报价买卖价差的比例成本相对较小,但当基金规模较大时,交易量价格影响所导致的成本则相当可观,并迅速侵蚀收益,使许多流行策略无利可图。在优化过程中考虑成本的均值方差-交易成本优化方法(MVTC)能有效解决这一问题,对成本前盈利能力的负面影响相对较小。即使交易对价格的影响非常严重,MVTC 也是稳健的。最后,我们引入了一种精确的外推法,将 Ranaldo 和 Santucci de Magistris(2022 年)的已实现 Amihud 度量的样本从 12 种货币扩展到 26 种货币,并从 2012 年追溯到 1986 年。
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引用次数: 0
The effects of policy interventions to limit illegal money lending 限制非法放贷的政策干预效果
IF 8.9 1区 经济学 Q1 Business, Management and Accounting Pub Date : 2024-06-15 DOI: 10.1016/j.jfineco.2024.103894
Kaiwen Leong , Huailu Li , Nicola Pavanini , Christoph Walsh

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.

我们通过对 1090 名从高利贷公司获得 11032 笔贷款的借款人进行独特的面板调查,估算出非法放贷市场的借贷结构模型。我们利用该模型评估了旨在限制该市场的干预措施的效果。我们发现,在样本期内发生的执法打击行动增加了放贷人的单位骚扰成本和利率,同时降低了贷款量、放贷人利润和借款人福利。剔除处于还款能力分布中间的借款人、减少赌博或减少时间折扣的政策也能有效降低贷款人的利润率。
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引用次数: 0
期刊
Journal of Financial Economics
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