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Household Debt: Facts, Puzzles, Theories, and Policies

Zinman, Jonathan - National Bureau of Economic Research (NBER) - 2014

Borrowing decisions affect most households, with large stakes and implications for subfields as varied as macroeconomics and industrial organization. I review theoretical and empirical work on household debt: its prevalence, level, growth, and composition, as well as various measures of consumer...

Persistent link: https://www.econbiz.de/10010951247

Hedge Fund Leverage

Ang, Andrew; Gorovyy, Sergiy; Inwegen, Gregory B. van - National Bureau of Economic Research (NBER) - 2011

. Hedge fund leverage is lowest in early 2009 when the market leverage of investment banks is highest. Changes in hedge fund …

Persistent link: https://www.econbiz.de/10008839465

Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse

Weidenmier, Marc; Bernstein, Asaf; Hughson, Eric - National Bureau of Economic Research (NBER) - 2014

Heightened counterparty risk during the recent financial crisis has raised questions about the role clearinghouses play in global financial stability. Empirical identification of the effect of centralized clearing on counterparty risk is challenging because of the co-incidence of macro-economic...

Persistent link: https://www.econbiz.de/10010969403

Defined Contribution Pension Plans: Sticky or Discerning Money?

Sialm, Clemens; Starks, Laura; Zhang, Hanjiang - National Bureau of Economic Research (NBER) - 2013

Participants in defined contribution (DC) retirement plans rarely adjust their portfolio allocations, suggesting that their investment choices and consequent money flows are sticky and not discerning. Yet, the participants' inertia could be offset by the DC plan sponsors, who adjust the plan's...

Persistent link: https://www.econbiz.de/10010951220

Collateral Valuation and Borrower Financial Constraints: Evidence from the Residential Real Estate Market

Agarwal, Sumit; Ben-David, Itzhak; Yao, Vincent - National Bureau of Economic Research (NBER) - 2013

Financially constrained borrowers have the incentive to influence the appraisal process in order to increase borrowing or reduce the interest rate. We document that the average valuation bias for residential refinance transactions is above 5%. The bias is larger for highly leveraged...

Persistent link: https://www.econbiz.de/10010703331

Momentum Trading, Return Chasing, and Predictable Crashes

Ghysels, Eric; Jagannathan, Ravi; Chabot, Benjamin - National Bureau of Economic Research (NBER) - 2014

We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and return over the past 140 years of one of the most popular mechanical trading strategies — momentum. We find that momentum has earned abnormally high risk-adjusted returns — a...

Persistent link: https://www.econbiz.de/10011096567

Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending

Voth, Hans-Joachim; Koudijs, Peter - National Bureau of Economic Research (NBER) - 2014

What determines risk-bearing capacity and the amount of leverage in financial markets? Using unique archival data on collateralized lending, we show that personal experience can affect individual risk-taking and aggregate leverage. When an investor syndicate speculating in Amsterdam in 1772 went...

Persistent link: https://www.econbiz.de/10010951446

Tax-Efficient Asset Management: Evidence from Equity Mutual Funds

Sialm, Clemens; Zhang, Hanjiang - National Bureau of Economic Research (NBER) - 2015

Investment taxes have a substantial impact on the performance of taxable mutual fund investors. Mutual funds can reduce the tax burdens of their shareholders by avoiding securities that are heavily taxed and by avoiding realizing capital gains that trigger higher tax burdens to the funds’...

Persistent link: https://www.econbiz.de/10011240568

The Behavior of Intoxicated Investors: The role of institutional investors in propagating the crisis of 2007-2008

Manconi, Alberto; Massa, Massimo; Yasuda, Ayako - National Bureau of Economic Research (NBER) - 2010

Using a novel data of institutional investors' bond holdings, we examine a transmission of the crisis of 2007-2008 from the securitized bond market to the corporate bond market via joint ownership of these bonds by investors. We posit that, ceteris paribus, corporate bonds held by investors with...

Persistent link: https://www.econbiz.de/10008624623

Financing as a Supply Chain: The Capital Structure of Banks and Borrowers

Gornall, William; Strebulaev, Ilya A. - National Bureau of Economic Research (NBER) - 2013

We develop a model of the joint capital structure decisions of banks and their borrowers. Strikingly high bank leverage … that highly levered financial intermediaries are the most efficient. Low asset volatility enables banks to safely take on … taking by banks, but increased risk taking by firms. Capital regulation lowers bank leverage but can lead to compensating …

Persistent link: https://www.econbiz.de/10010711816

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