Jonathan Fu, Vasso Ioannidou, and Mrinal Mishra ♦ This paper examines how the entry of commercial lenders transforms microfinance markets, focusing on borrower outcomes and market-wide spillovers. Using detailed credit registry data, we show that increased competition improves loan terms…
Arka P. Bandyopadhyay, Dongshin Kim, and Patrick S. Smith ♦ This paper documents adverse selection in Ginnie Mae issuers’ early buyout decisions. Conditional on default, we find a one percentage point increase in interest rate spread increases the probability of…
David Hirshleifer, Chong Huang, and Siew Hong Teoh ♦ In a setting with a tradable value-weighted market index, ambiguity averse investors do not trade, and the index is not mean-variance efficient. But when a passive fund offers the risk-adjusted market…
Paola Pederzoli ♦ This paper investigates crash risk premiums in individual stocks using skewness swaps. These swaps involve buying a stock’s risk-neutral skewness and receiving the realized skewness as a payoff. The strategy’s returns, which measure the skewness risk premium,…
Hitesh Doshi, Hyung Joo Kim, and Sang Byung Seo ♦ The identification of disaster risk has remained a significant challenge due to the rarity of macroeconomic disasters. We show that the interbank market can help characterize the time variation in…
Enrico Onali and Xiaoxia Ye ♦ We are the first to study the interplay between corporate diversification and debt maturity, both theoretically and empirically. Our models predict that diversification mitigates the debt-overhang problem, making long-term debt more attractive in the…
