Resolving the Zero-Beta Rate Puzzle

Rong Wang

Duke University

Fiscal Imbalances and Asset Returns: Cross-Sector Economic Fluctuations under the Aggregate Budget Constraint

Junxiong Gao², Alberto Plazzi¹, Rossen Valkanov³, Yan Xu⁴

1: Universita' della Svizzera italiana and SFI; 2: Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University; 3: Rady School of Management, University of California San Diego; 4: Hong Kong University

The Implied Equity Term Structure

Tomas Jankauskas², Lieven Baele¹, Joost Driessen¹

1: Tilburg University; 2: Federal Reserve New York

Fundamental Volatility

Xiaoyan Zhang¹, Tong Yao², Hsianghung Tien²

1: PBC School of Finance, Tsinghua University; 2: University of Iowa, United States of America

Limits To (Machine) Learning

Zhimin Chen¹, Bryan Kelly², Semyon Malamud³

1: Nanyang Technological University; 2: AQR Capital Management, Yale School of Management, and NBER; 3: Swiss Finance Institute, EPFL, and CEPR

On the Moments of the Stochastic Discount Factor

Ian Martin¹, Ran Shi²

1: London School of Economics; 2: University of Colorado Boulder

Investment, Debt and Taxes

Mark Leary¹, John Graham², Hyunseob Kim³, YoungJun Song⁴

1: Washington University in St. Louis; 2: Duke University; 3: Federal Reserve Bank of Chicago; 4: San Diego State University

EPS-Maximizing Capital Structure

Itzhak Ben-David¹, Alexander Chinco²

1: The Ohio State University; 2: Michigan State University

The Real Effects of Valuation Mistakes:\\ Estimates from Mergers and Acquisitions

Johan Hombert¹, Alexei Ovchinnikov¹, François Derrien¹, Philip Valta²

1: HEC Paris; 2: University of Bern

Why Bank Net Interest Margins Are Stable - Insights from the Asset Side

Tanja Brieden

Vienna Graduate School of Finance and University of Vienna

Corporate Debt Structure Around the World

Alireza Aghaee¹, Lorenzo Bretscher², Stefano Rossi³

1: Imperial College Business School; 2: University of Lausanne; 3: Bocconi University

Valuation Models

Francesca Bastianello¹, Paul Décaire², Marius Guenzel³

1: Chicago Booth; 2: Arizona State University; 3: Wharton

Scale Economies in Liquidity Provision: Evidence from Designated Market Makers

Mauricio Larrain¹, Vincent Van Kervel², Jorge Sabat³

1: Universidad de los Andes, Chile; 2: Universidad de los Andes, Chile; 3: Universidad Andres Bello, Chile

Sparse Portfolios and Benchmarking in Corporate Bond Markets

Zheng Li¹, Anna Pavlova¹, Taisiya Sikorskaya²

1: London Business School; 2: University of Chicago

Latency and the Look-Ahead Bias in Trade and Quote Data

Robert Battalio¹, Craig Holden², Matthew Pierson³, John Shim¹, Jun Wu³

1: University of Notre Dame; 2: Indiana University; 3: WRDS, University of Pennsylvania

The European Best Bid and Offer (EBBO): From Fragmented Feeds to a Consolidated Tape

Lisa Kaminski, Ralf Laschinger, Ryan Riordan

LMU Munich

Smart Contracting in Network Markets

Darrell Duffie¹, Chaojun Wang²

1: Stanford Graduate School of Business; 2: The Wharton School, University of Pennsylvania

Unpacking Retail Trading Costs: the Role of Options Trading and Limit Order Usage

Yashar Barardehi², Vincent Bogousslavsky³, Dmitriy Muravyev¹

1: University of Illinois Urbana-Champaign; 2: Chapman University; 3: Boston College

Facing Default?

Pranav Garg¹, Marius Guenzel², Shimon Kogan³, Marina Niessner⁴, Kelly Shue¹

1: Yale; 2: Wharton; 3: Reichman University; 4: Indiana

Prime Broker Credit Supply and the Stock Market: Evidence on Hedge Fund Transmission

Nicholas Zarra, Daniel Barth

Federal Reserve Board

Liquidity Flows to Bank-Affiliated Broker Dealers: Insights from Volumes and Prices

Jennie Bai¹, Erik Bostrom², Sebastian Infante², Victoria Ivashina³

1: Georgetown University; 2: Federal Reserve Board; 3: HBS

Do Institutional Investors Trade on Covenant Violations?

Anthony Saunders¹, Sascha Steffen², Paulina Verhoff²

1: NYU Stern School of Business; 2: Frankfurt School of Finance & Management

Getting Called: The Risks of Investor Liquidity Provision to Private Funds

Tiange Ye

USC Marshall

Catastrophic Climate Risk and The Limits of Private Markets.

Adam Solomon

New York University

Do GSEs Subsidize Mortgage Lending?

Thomas Flanagan

The Ohio State University

Taxes and Default Risk: Evidence From Establishment-Level Data

Mara Faccio¹, Stefano Manfredonia²

1: Fordham University; 2: Purdue University

The “Chilling” Effect of Climate Laws on Cross-Border Mergers and Acquisitions

Tong Li¹, Dragon Yongjun Tang², Fei Xie³

1: Xiamen University; 2: The University of Hong Kong; 3: University of Delaware

Tax Incentives and Venture Capital Risk-Taking

Murillo Campello^1,2, Guilherme Junqueira¹

1: University of Florida; 2: NBER

The Labor Market Effects of Carbon Pricing

Andreas Fuster¹, Gazi Kabas², Vincenzo Pezone³, Kasper Roszbach⁴

1: EPFL & SFI; 2: Tilburg University; 3: Luiss; 4: Norges Bank

Credit Cycles and Creditor Rights

Martin Kornejew¹, Shohini Kundu², Karsten Müller³

1: Bocconi University; 2: UCLA Anderson; 3: NUS Business School

Sovereign Credit Risk, U.S. Monetary Policy, and the Role of Financial Intermediaries

Johannes Poeschl¹, Ivan Shaliastovich², Ram Yamarthy³

1: European Central Bank; 2: University of Wisconsin-Madison; 3: Federal Reserve Board of Governors

Exchange Rate Expectations and Currency Demand

Leonie Bräuer

University of Geneva and Swiss Finance Institute

Segmented Dollar Funding

Peteris Kloks¹, Edouard Mattille³, Angelo Ranaldo^1,2

1: University of Basel; 2: Swiss Finance Institute; 3: University of New South Wales, UNSW Business School

Monetary Policy Predicts Currency Movements

Sohnke Bartram¹, Mark Grinblatt², Yan Xu³

1: University of Warwick; 2: UCLA; 3: HKU

Segmented Financial Integration

Liliana Varela

London School of Economics

Managing Emerging Market Currency Risk

Nanyu Chen¹, Haonan Zhou²

1: Columbia Business School; 2: University of Hong Kong

When Competition Backfires: Broker Learning and Commission Fees

Xindan Li², Baolian Wang³, Wei Xiong¹, Xuewei Yang², Yinhong Zhao¹

1: Princeton University; 2: Nanjing University; 3: University of Florida

Institutional Investors’ Subjective Risk Premia: Time Variation and Disagreement

Spencer Couts¹, Andrei Goncalves², Yicheng Liu³, Johnathan Loudis⁴

1: Price School of Public Policy, University of Southern California; 2: Fisher College of Business, The Ohio State University; 3: Fisher College of Business, The Ohio State University; 4: Mendoza College of Business, University of Notre Dame

Analysts' Belief Formation in Their Own Words

Shikun {Barry} Ke

Yale School of Management

The Market’s Mirror: Revealing Investor Disagreement with LLMs

Vineet Bhagwat¹, J. Anthony Cookson², Chukwuma Dim¹, Marina Niessner³

1: George Washington University; 2: Penn State University; 3: Indiana University

Bias and Predictability in Analysts' Beliefs

Federico Bastianello

London Business School

Correlation neglect in asset prices

Hongye Guo¹, Jessica Wachter²

1: University of Hong Kong; 2: The Wharton School, University of Pennsylvania, and NBER

Productivity Enables Security: The Economics of Blockchain Settlement

Campbell Harvey¹, Kose John², Fahad Saleh³

1: Duke University; 2: NYU Stern School of Business; 3: University of Florida

The Value of Contingent Liquidity from Banks to Nonbank Financiers

Chi {Clara} Xu

The Wharton School of the University of Pennsylvania

Deposit Competition Beyond Rates

Matteo Benetton¹, Ben Hebert², Tim McQuade³

1: Berkeley Haas; 2: Stanford GSB; 3: Berkeley Haas

Bank Opacity and Deposit Rates

Ana Babus¹, Maryam Farboodi², Gabriela Stockler³

1: Washington University in St. Louis & CEPR; 2: MIT Sloan, NBER & CEPR; 3: Universitat Pompeu Fabra & BSE

Strategic Bankruptcy and Corporate Negligence

Samuel Antill¹, Xu Tian², Toni Whited³

1: Harvard Business School; 2: University of Georgia; 3: University of Michigan

How Do Government Guarantees Affect Deposit Supply?

Thomas Flanagan¹, Edward Kim², Shohini Kundu³, Amiyatosh Purnanandam⁴

1: The Ohio State University; 2: University of Michigan; 3: UCLA; 4: University of Texas at Austin