来源：金融学前沿论文速递
期刊：《Review of Financial Studies》
本期期卷：2022年11月
目录
01 The Rise of Finance Companies and FinTech Lenders in Small Business Lending
02 Why Do Firms Borrow Directly from Nonbanks?
03 Small Bank Lending in the Era of Fintech and Shadow Banks: A Sideshow?
04 When FinTech Competes for Payment Flows
05 The Good, the Bad, and the Missed Boom
06 Macroeconomic Attention and Announcement Risk Premia
07 Decision Weights for Experimental Asset Prices Based on Visual Salience
08 Risk Price Variation: The Missing Half of Empirical Asset Pricing
09 Covered Interest Parity Arbitrage
10 Global Portfolio Rebalancing and Exchange Rates
01
The Rise of Finance Companies and FinTech Lenders in Small Business Lending
原刊和作者
Review of Financial Studies 2022年11月
Manasa Gopal (Georgia Institute of Technology)
Philipp Schnabl (NYU Stern, NBER and CEPR)
Abstract
We document that finance companies and FinTech lenders increased lending to small businesses after the 2008 financial crisis. We show that most of the increase substituted for a reduction in bank lending. In counties in which banks had a larger market share before the crisis, finance companies and FinTech lenders increased their lending more. We find no effect of reduced bank lending on employment, wages, and new business creation by 2016. Our results suggest that finance companies and FinTech lenders are major suppliers of credit to small businesses and played an important role in the recovery from the 2008 financial crisis.
02
Why Do Firms Borrow Directly from Nonbanks?
原刊和作者
Review of Financial Studies 2022年11月
Sergey Chernenko (Purdue University)
Isil Erel (Ohio State University, NBER and ECGI)
Robert Prilmeier (Tulane University)
Abstract
Analyzing hand-collected credit agreements for a sample of middle-market firms over 2010–2015, we find that one-third of all loans are directly extended by nonbank financial intermediaries. Two-thirds of such nonbank lending can be attributed to bank regulations that constrain banks’ ability to lend to unprofitable and highly levered borrowers. Firms with negative EBITDA and debt/EBITDA greater than six are 32% and 15% more likely to borrow from nonbanks. These firms pay significantly higher interest rates, especially following the 2013 leveraged loan guidance revisions. Nonbank borrowers also receive different nonprice terms compared to firms borrowing from banks.
03
3Small Bank Lending in the Era of Fintech and Shadow Banks: A Sideshow?
原刊和作者
Review of Financial Studies 2022年11月
Taylor Begley (University of Kentucky)
Kandarp Srinivasan (Northeastern University)
Abstract
Amid the emerging dominance of nonbanks, small banks use key financing advantages to persist in the mortgage market. We provide evidence of the heterogeneous impact of two shocks to the supply of mortgage credit: postcrisis regulatory burden and GSE financing cost changes. Small banks exploit regulation disproportionately affecting the largest four banks (Big4) and their ability to lend on balance sheet to strongly substitute for the retreating Big4. The erasure of guarantee fee (g-fee) discounts for large lenders facilitates small bank growth in GSE lending. Small banks also grow balance sheet loans in areas more exposed to g-fee hikes.
04
When FinTech Competes for Payment Flows
原刊和作者
Review of Financial Studies 2022年11月
Christine Parlour (University of California-Berkeley)
Uday Rajan (University of Michigan)
Haoxiang Zhu (MIT Sloan School of Management and NBER)
Abstract
We study the impact of FinTech competition in payment services when a monopolist bank uses payment data to learn about consumers’ credit quality. Competition from FinTech payment providers disrupts this information spillover. The bank’s price for payment services and its loan offers are affected. FinTech competition promotes financial inclusion, may hurt consumers with a strong bank preference, and has an ambiguous effect on the loan market. Both FinTech data sales and consumer data portability increase bank lending, but the effects on consumer welfare are ambiguous. Under mild conditions, consumer welfare is higher under data sales than with data portability.
05
The Good, the Bad, and the Missed Boom
原刊和作者
Review of Financial Studies 2022年11月
Enrico Perotti (University of Amsterdam, Tinbergen Institute and CEPR)
Magdalena Rola-Janicka (Tilburg University)
Abstract
Some credit booms result in financial crises. While excessive risk-taking could plausibly explain the boom-to-bust cycle, many investors do not anticipate increasing risk. We show that credit booms may be misunderstood as being driven by high productivity because opaque bank assets disguise risk incentives. Balanced funding relative to productive prospects can sustain prudent lending (good boom), whereas funding imbalances may induce high risk exposure and boost asset prices (bad boom) or lead to asset underpricing and insufficient lending (missed boom). Rational agents drawing inference from prices make mistakes that can amplify the effect of funding imbalances and propagate risk.
06
Macroeconomic Attention and Announcement Risk Premia
原刊和作者
Review of Financial Studies 2022年11月
Adlai Fisher (University of British Columbia)
Charles Martineau (University of Toronto)
Jinfei Sheng (University of California)
Abstract
We construct macroeconomic attention indexes (MAI), which are new measures of attention to different macroeconomic risks, including unemployment and monetary policy. Individual MAI tend to increase around related announcements and following changes in related fundamentals. Further, bad news raises attention more than good news. For unemployment and FOMC, attention predicts announcement risk premiums and implied volatility changes with large economic magnitudes. Our findings support theories of endogenous attention and announcement risk premiums, while demonstrating future research directions, including that announcements can raise new concerns. Macroeconomic announcements are important not only for contents and timing but also for attention.
07
Decision Weights for Experimental Asset Prices Based on Visual Salience
原刊和作者
Review of Financial Studies 2022年11月
Devdeepta Bose (California Institute of Technology)
Henning Cordes (University of Münster)
Sven Nolte (Radboud University Nijmegen)
Judith Christiane Schneider (Leibniz University Hannover)
Colin Farrell Camerer (California Institute of Technology)
Abstract
We apply a machine-learning algorithm, calibrated using general human vision, to predict the visual salience of prices of stock price charts. We hypothesize that the visual salience of adjacent prices increases the decision weights on returns computed from those prices. We analyze the inferred impact of these weights in two experimental studies that use either historical price charts or simpler artificial sequences. We find that decision weights derived from visual salience are associated with experimental investments. The predictability is not subsumed by statistical features and goes beyond established models.
08
Risk Price Variation: The Missing Half of Empirical Asset Pricing
原刊和作者
Review of Financial Studies 2022年11月
Andrew Patton (Duke University)
Brian Weller (Amazon.com)
Abstract
Equal compensation across assets for the same risk exposures is a bedrock of asset pricing theory and empirics. Yet real-world frictions can violate this equality and create apparently high Sharpe ratio opportunities. We develop new methods for asset pricing with cross-sectional heterogeneity in compensation for risk. We extend k-means clustering to group assets by risk prices and introduce a formal test for whether differences in risk premiums across market segments are too large to occur by chance. We find significant evidence of cross-sectional variation in risk prices for almost all combinations of test assets, factor models, and time periods considered.
09
Covered Interest Parity Arbitrage
原刊和作者
Review of Financial Studies 2022年11月
Dagfinn Rime (BI Norwegian Business School)
Andreas Schrimpf (Bank for International Settlements and CEPR)
Olav Syrstad (Norges Bank)
Abstract
To understand deviations from covered interest parity (CIP), it is crucial to account for heterogeneity in funding costs across both banks and currency areas. For most market participants, the no-arbitrage relation holds fairly well when implemented using marginal funding costs and risk-free investment instruments. However, a few high-rated banks do enjoy CIP-arbitrage opportunities. Dealers avert inventory imbalances stemming from lower-rated banks’ usage of FX swaps to obtain dollar funding by inducing opposite (arbitrage) flows from high-rated banks. Arbitrage trades are difficult to scale, however, because funding costs increase as soon as arbitrageurs increase positions.
10
Global Portfolio Rebalancing and Exchange Rates
原刊和作者
Review of Financial Studies 2022年11月
Nelson Camanho (Queen Mary University of London)
Harald Hau (University of Geneva, CEPR and Swiss Finance Institute)
Hélène Rey (London Business School, CEPR and NBER)
Abstract
We examine international equity allocations at the fund level and show how excess foreign returns influence portfolio rebalancing, capital flows, and currencies. Our equilibrium model of incomplete foreign exchange (FX) risk trading where exchange rate risk partially segments international equity markets is consistent with the observed dynamics of equity returns, exchange rates, and fund-level capital flows. We document that rebalancing is more intense under higher FX volatility and find heterogeneous rebalancing behavior across different fund characteristics. A granular instrumental variable approach identifies a positive currency supply elasticity.
原文：https://academic.oup.com/rfs/issue/35/11
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