This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the distribution of loans returns. I use this model to describe the investment opportunity set of lenders using mean-variance analysis with a Value at Risk constraint. I also obtain closed...

I model and structurally estimate the equilibrium rates and volumes on the Triparty repo market to study how imperfect competition affects monetary policy implementation. Even in this systemically important market, where seemingly homogeneous repos trade, I document persistent rate differences...

The peer-to-peer loan market was designed to bring together borrowers and lenders without banks as middlemen. Yet over time P2P lending platforms have evolved into new intermediaries, performing essentially all tasks related to loan evaluation. By contrast, lenders are overwhelmingly passive and...

Using the Ibbotson/Sinquefield data documenting the returns of long-term corporate and government bonds, Asvanunt and Richardson [2017] find a sizable investment-grade credit premium that is also statistically significant after accounting for exposure to equity, size, value and momentum factors....

Using newly-mandated disclosures, we show some fund managers retain a fraction of securities lending income by employing in-house lending agents. In a model with heterogeneous investors, we find this retention leads funds to "reach for lending fees" by overweighting high-fee stocks that...

Decomposing lending fees into predicted (fair) and residual (premium or discount) fees reveals overpricing among a third of hard-to-borrow stocks: those for which borrowers pay a premium. Despite paying the highest fees, they are the only profitable shorters. Their net annualized profits of 5%...

Changes in credit supply induce large and frequent variations in households' access to unsecured debt. They generate a novel financial precautionary motive, which compounds the classical motive associated with idiosyncratic income risk, as borrowers accumulate risk-free bonds to hedge against...

Theory of financial intermediation gives contradicting answers to the question whether banks should diversify or focus their loan portfolios. Our aim is to find out which of the two strategies is predominant in the German banking market. To this end we measure diversification for all German...

Banks face a tradeoff between diversifying and focusing their loan portfolio. In this paper we carry out an empirical study for the German market to shed light on the question whether or not the benefits of risk sharing outweigh those of specialization. We use data from the Bundesbank's...

We use a unique dataset of German banks' exposure to interest rate risk to derive the following statements about their exposure to this risk and their earnings from term transformation. The systematic factor for the exposure to interest rate risk moves in sync with the shape of the term...