Resolving the Zero-Beta Rate Puzzle

Rong Wang

Duke University

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

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

Facing Default?

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

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

Do GSEs Subsidize Mortgage Lending?

Thomas Flanagan

The Ohio State University

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

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

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

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

EPS-Maximizing Capital Structure

Itzhak Ben-David¹, Alexander Chinco²

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

Sparse Portfolios and Benchmarking in Corporate Bond Markets

Zheng Li¹, Anna Pavlova¹, Taisiya Sikorskaya²

1: London Business School; 2: University of Chicago

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

Nicholas Zarra, Daniel Barth

Federal Reserve Board

Taxes and Default Risk: Evidence From Establishment-Level Data

Mara Faccio¹, Stefano Manfredonia²

1: Fordham University; 2: Purdue University

Exchange Rate Expectations and Currency Demand

Leonie Bräuer

University of Geneva and Swiss Finance Institute

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

The Value of Contingent Liquidity from Banks to Nonbank Financiers

Chi {Clara} Xu

The Wharton School of the University of Pennsylvania

The Implied Equity Term Structure

Tomas Jankauskas², Lieven Baele¹, Joost Driessen¹

1: Tilburg University; 2: Federal Reserve New York

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

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

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

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

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

Analysts' Belief Formation in Their Own Words

Shikun {Barry} Ke

Yale School of Management

Deposit Competition Beyond Rates

Matteo Benetton¹, Ben Hebert², Tim McQuade³

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

Fundamental Volatility

Xiaoyan Zhang¹, Tong Yao², Hsianghung Tien²

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

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

Tanja Brieden

Vienna Graduate School of Finance and University of Vienna

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

Lisa Kaminski, Ralf Laschinger, Ryan Riordan

LMU Munich

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

Tax Incentives and Venture Capital Risk-Taking

Murillo Campello^1,2, Guilherme Junqueira¹

1: University of Florida; 2: NBER

Monetary Policy Predicts Currency Movements

Sohnke Bartram¹, Mark Grinblatt², Yan Xu³

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

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

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

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

Corporate Debt Structure Around the World

Alireza Aghaee¹, Lorenzo Bretscher², Stefano Rossi³

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

Smart Contracting in Network Markets

Darrell Duffie¹, Chaojun Wang²

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

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

Tiange Ye

USC Marshall

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

Segmented Financial Integration

Liliana Varela

London School of Economics

Bias and Predictability in Analysts' Beliefs

Federico Bastianello

London Business School

Strategic Bankruptcy and Corporate Negligence

Samuel Antill¹, Xu Tian², Toni Whited³

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

On the Moments of the Stochastic Discount Factor

Ian Martin¹, Ran Shi²

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

Valuation Models

Francesca Bastianello¹, Paul Décaire², Marius Guenzel³

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

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

Catastrophic Climate Risk and The Limits of Private Markets.

Adam Solomon

New York University

Credit Cycles and Creditor Rights

Martin Kornejew¹, Shohini Kundu², Karsten Müller³

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

Managing Emerging Market Currency Risk

Nanyu Chen¹, Haonan Zhou²

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

Correlation neglect in asset prices

Hongye Guo¹, Jessica Wachter²

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

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