Working Papers

These papers are working drafts of research which often appear in final form in academic journals. The published versions may differ from the working versions provided here.

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Claudia Robles-Garcia
May 30, 2019

Mortgage brokers acting as expert advisors for households often receive commission payments from lenders. This paper empirically analyzes the effects on welfare and market structure of regulations restricting this form of broker compensation. Loan-level data...

Charles M. C. Lee, Edward M. Watts
May 9, 2019

This study examines how an increase in tick size affects algorithmic trading (AT), fundamental information acquisition (FIA), and the price discovery process around earnings announcements (EAs). Leveraging the SEC’s randomized “Tick Size Pilot” experiment, we...

Anat R. Admati, Martin F. Hellwig
April 30, 2019

We take issue with claims that the funding mix of banks, which makes them fragile and crisis-prone, is efficient because it reflects special liquidity benefits of bank debt. Even aside from neglecting the systemic damage...

Juliane Begenau, Saki Bigio, Jeremy Majerovitz
April 2019

This paper presents five facts on the behavior of U.S. banks between 2007 and 2015 that impose useful restrictions on the formulation of a bank problem. (1) Market to book leverage ratio diverged significantly during...

Zhengyang Jiang, Arvind Krishnamurthy, Hanno Lustig
March 19, 2019

We develop a theory that links the U.S. dollar’s valuation in FX markets to foreign investors’ demand for U.S. safe assets. When the convenience yield that foreign investors derive from holding U.S. safe assets increases,...

Stefano Giglio, Matteo Maggiori, Johannes Stroebel, Stephen Utkus
March 2019

We administer a newly-designed survey to a large panel of retail investors who have substantial wealth invested in financial markets. The survey elicits beliefs that are crucial for macroeconomics and finance, and matches respondents with...

Juliane Begenau
January 14, 2019

Accepted at the Journal of Financial Economics

This paper develops a quantitative dynamic general equilibrium model in which households’ preferences for safe and liquid assets constitute a violation of Modigliani and Miller. I show that...

Barney Hartman-Glaser, Benjamin Hébert
January 6, 2019

We model the widespread failure of contracts to share risk using available indices. A borrower and lender can share risk by conditioning repayments on an index. The lender has private information about the ability of...

Matteo Maggiori, Krishna Rao, Johannes Stroebel, Andreas Weber

Revise and Resubmit at the Journal of Political Economy

We explore what private market data can tell us about the appropriate discount rates for valuing investments in climate change abatement. We estimate the term structure...

Claudia Robles-Garcia, NIkos Artavanis, Daniel Paravisini, Amit Seru, Margarita Tsoutsoura

This paper develops a new approach to isolate and quantify the extent to which deposit withdrawals are due to liquidity, exposure to policy risk, or expectations about how other depositors will behave. We use high...

Shai Bernstein, Rebecca Diamond, Timothy James McQuade, Beatriz Pousada
November 6, 2018

We characterize the contribution of immigrants to US innovation, both through their direct productivity as well as through their indirect spillover effects on their native collaborators. To do so, we link patent records to a...

Mark Egan, Gregor Matvos, Amit Seru
October 2018

We examine whether firms have an informational advantage in selecting arbitrators in consumer arbitration, and the impact of the arbitrator selection process on outcomes. We collect a novel data set containing roughly 9,000 arbitration cases...

Greg Buchak, Gregor Matvos, Tomas Piskorski, Amit Seru
October 2018

We study which types of activities migrate to the shadow banking sector, why migration occurs in some sectors, and not others, and the quantitative importance of this migration. We explore this question in the $10...

Darrell Duffie
September 10, 2018

This note explains a new type of auction based on an existing derivatives risk-management technique known as “compression.” A compression auction can be used to convert centrally cleared contracts on an underlying benchmark, such as...

Juliane Begenau, Tim Landvoigt
September 2018

WFA Award for Best Paper on Financial Institutions

How does the shadow banking system respond to changes in capital regulation of commercial banks? We propose a tractable quantitative general equilibrium model with regulated and unregulated banks...

Lin William Cong, Charles M. C. Lee, Yuanyu Qu, Tao Shen
August 20, 2018

This study reports on the current state-of-affairs in the funding of entrepreneurship and innovations in China and provides a broad survey of academic findings on the subject. We discuss the implications of these findings for...

Paul Pfleiderer
August 2018

Forthcoming at Economica

In this essay I discuss how theoretical models in finance and economics are used in ways that make them “chameleons” and how chameleons devalue the intellectual currency and muddy policy debates....

Saumitra Jha, Moses Shayo
July 26, 2018

How can we help individuals handle financial decisions in an increasingly complex environment? We explore an easily scalable avenue for improving financial understanding: learning by online trading in stocks. We randomly assign 1345 adults incentives...

Darrell Duffie
July 19, 2018

In the years leading up to the financial crisis that began in 2007, the core of the financial system was vulnerable to major shocks emanating from any of a variety of sources. While this particular...

Laura Blattner, Luísa Farinha, Francisco Rebelo
June 26, 2018

Winner 2017 BlackRock Applied Research Award

AQR Top Finance Graduate Award 2018

We provide evidence that a weak banking sector contributed to low productivity following the European debt crisis. An unexpected increase in capital requirements...