Current Working Papers

2021

Dynamic Strategic Corporate Finance: A Tug of War with Financial Frictions
Ulrich Doraszelski, Joao Gomes and Felix Nockher

Can Monetary Policy Create Fiscal Capacity?
Vadim Elenev, Tim Landvoigt, Patrick Shultz and Stijn Van Nieuwerburgh

Credit Cycles with Market-Based Household Leverage
William Diamond and Tim Landvoigt

Public Employee Pensions and Municipal Insolvency
Sean Myers

Mutual Fund Flows and Performance in (Imperfectly) Rational Markets?
Nikolai Roussanov, Hongxun Ruan and Yanhao Wei

A Model of Two Days: Discrete News and Asset Prices
Jessica A. Wachter and Yicheng Zhu

The Oligopoly Lucas Tree
Winston Wei Dou, Yan Ji and Wei Wu

Duration-Based Valuation of Corporate Bonds
Jules H. van Binsbergen and Michael Schwert

Countercyclical Income Risk and Portfolio Choices: Evidence from Sweden
Sylvain Catherine, Paolo Sodini and Yapei Zhang

Common Fund Flows: Flow Hedging and Factor Pricing
Winston Wei Dou, Leonid Kogan and Wei Wu

Competition Network, Distress Propagation, and Stock Returns
Mingming Ao, Winston Wei Dou, Shane A. Johnson and Wei Wu

The Day that WTI Died: Asset Prices and Firm Production Decisions
Erik P. Gilje, Robert Ready, Nick Roussanov and Jérôme P. Taillard

Corporate Responses to Stock Price Fragility
Richard Friberg, Itay Goldstein and Kristine W. Hankins

Bank Transparency and Deposit Flows
Qi Chen, Itay Goldstein, Zeqiong Huang and Rahul Vashishtha

The Interdependence of Bank Capital and Liquidity
Elena Carletti, Itay Goldstein and Agnese Leonello

Liquidity Transformation and Fragility in the US Banking Sector
Qi Chen, Itay Goldstein, Zeqiong Huang and Rahul Vashishtha

Housing Prices and Real Investment: Collateral vs. Crowding-Out Effects
Itay Goldstein and Deeksha Gupta

CEO Stress, Aging, and Death
Mark Borgschulte, Marius Guenzel, Canyao Liu and Ulrike Malmendier

Dynamic Banking with Non-Maturing Deposits
Urban Jermann and Haotian Xiang

Non-Sovereign Stores of Value
Urban J. Jermann

Real Cash Flow Expectations and Asset Prices
Ricardo De la O and Sean Myers

Heterogeneous Passthrough from TFP to Wages
Mons Chan, Sergio Salgado and Ming Xu

The Economic Burden of Pension Shortfalls: Evidence from House Prices
Darren Aiello, Asaf Bernstein, Mahyar Kargar, Ryan Lewis and Michael Schwert

The Effects of Transparency on OTC Market-Making
Ryan Lewis and Michael Schwert

Pricing Without Mispricing
Jianan Liu, Tobias J. Moskowitz and Robert F. Stambaugh

Dissecting Green Returns
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor

Systemic Risk and Monetary Policy: The Haircut Gap Channel of the Lender of Last Resort
Martina Jasova, Luc Laeven, Caterina Mendicino, Jose-Luis Peydro and Dominik Supera

Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models
Xu Cheng, Winston Wei Dou and Zhipeng Liao

FinTech Lending and Cashless Payments
Pulak Ghosh, Boris Vallee and Yao Zeng

Getting to the Core:  Inflation Risks Within and Across Asset Classes
Xian Fang, Yang Liu and Nikolai Roussanov

Bad News Bankers:  Underwriter Reputation and Contagion in Pre-1914 Sovereign Debt Markets
Sasha Indarte

Private Renegotiations and Government Interventions in Debt Chains
Vincent Glode and Christian C. Opp

Arbitraging Covered Interest Rate Parity Deviations and Bank Lending
Lorena Keller

A Model of Two Days:  Discrete News and Asset Prices
Jessica A. Wachter and Yicheng Zhu

Social Security and Trends in Wealth Inequality
Sylvain Catherine, MaxMiller and Natasha Sarin

Technical Change and Entrepreneurship
Sergio Salgado

Common Ownership and Innovation Efficiency
Xuelin Li, Tong Liu and Lucian A. Taylor

The Two-Pillar Policy for the RMB
Urban Jermann, Bin Wei and Vivian Z. Yue

The Real Effects of Modern Information Technologies
Itay Goldstein, Shijie Yang and Luo Zuo

Bank Heterogeneity and Financial Stability
Itay Goldstein, Alexandr Kopytov, Lin Shen and Haotian Xiang

Financial Fragility in the COVID-19 Crisis:  The Case of Investment Funds in Corporate Bond Markets
Antonio Falato, Itay Goldstein and Ali Hortacsu

Monetary Transmission through Bank Balance Sheet Synergies
William Diamond, Zhenyang Jiang and Yiming Ma

Conflicts of Interest in Municipal Bond Advising and Underwriting
Daniel G. Garrett

A Horizon-Based Decomposition of Mutual Fund Value Added  Using Transaction
Jules van Binsbergen, Jungsuk Han, Hongxun Ruan and Ran Xing

The Effectiveness of Life-Preserving Investments in Times of COVID-19
Jules H. van Binsbergen and Christian C. Opp

2020

Duration-Based Stock Valuation:  Reassessing Stock Market Performance and Volatility
Jules H. van Binsbergen

Common Fund Flows:  Flow Hedging and Factor Pricing
Winston Wei Dou, Leonid Kogan and Wei Wu

Equilibrium Asset Pricing with Leverage and Default 
Joao F. Gomes and Lukas Schmid

Should the U.S. Government Issue Floating Rate Notes?
Jonathan S. Hartley and Urban Jermann

Financial Fragility with SAM
Daniel L. Greenwald, Tim Landvoigt and Stijn van Nieuwerburgh

Contracts with (Social) Benefits:  The Implementation of Impact Investing  
Christopher Geczy, Jessica S. Jeffers, David K, Musto and Anne M. Tucker

Executive Stock Options and Systemic Risk
Christopher Armstrong, Allison Nicoletti and Frank Zhou

Do Managers Learn from Institutional Investors Through Direct Interactions?
Rachel Xi Zhang

CLO Performance
Larry Corell, Michal R. Roberts and Michael Schwert

Proactive Capital Structure Adjustments:  Evidence from Corporate Filings
Arthyr Korteseg, Michael Schwert and Ilya A. Strebulaev

Sustainable Investing in Equilibrium
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor

Macroeconomic Models for Monetary Policy:  A Critical Review from a Finance Perspective
Winston Wei Dou, Andrew W. Lo, Ameya Muley and Harald Uhlig

External Financing and Customer Capital:  A Financial Theory of Markups
Winston Wei Dou and Yan Ji

Can the Covid Bailouts Save the Economy?
Vadim Elenev, Tim Landvoigt and Stijn van Nieuwerburgh

Economics of Leveraged Buyouts: Theory and Evidence from the UK Private Equity Industry
Alexander Belyakov

Student Loans and Social Mobility
Mehran Ebrahimian

The Financial Origins of the Rise and Fall of American Inflation
Itamar Drechsler, Alexi Savov and Philipp Schnabl

Liquidity and VolatilityI
tamar Drechsler, Alan Moreira and Alexi Savov

Renegotiation in Debt Chains
Vincent Glode and Christian Opp

Bank Debt versus Mutual Fund Equity in Liquidity Provision
Yiming Ma, Kairong Xiao and Yao Zeng

Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity
Yiming Ma, Kairong Xiao and Yao Zeng

The Distributional Effects of Student Loan Forgiveness
Sylvain Catherine and Constantine Yannelis

Cheap Thrills: the Price of Leisure and the Global Decline in Work Hours
Alexandr Kopytov, Nikolai Roussanov and Mathieu Taschereau-Dumouchel

Mutual Fund Flows and Performance in (Imperfectly) Rational Markets?
Nikolai Roussanov, Hongxun Ruan and Yanhao Wei

In too Deep:  The Effect of Sunk Costs on Corporate Investment
Marius Guenzel

Feedback and Contagious Distressed Competition
Hui Chen, Winston Wei Dou, Hingye Guo and  Yan Ji

The Impact of Social Insurance on Household Debt
Gideon Bornsein and Sasha Indarte

The Day that WTI Died:  Asset Prices and Firm Production Decisions
Erik Gilje, Robert Ready, Nick Roussanov and Jerome P. Taillard

Man vs. Machine Learning:  The Term Structure of Earnings Expectations and Conditional Biases
Jules H. van Binsbergen, Xiao Han and Alejandro Lopez-Lira

Is the United States a Lucky Survivor:  A Hierarchical Bayesian Approach
Jules H. van Binsbergen, Sophia Hua and Jessica A. Wachter

Sovereign default and the decline in interest rates
Max Miller, James D. Paron, and Jessica A. Wachter