Conventional estimates of the costs of taking liquidity in options markets are large. Nonetheless, options trading volume is high. We resolve this puzzle by showing that options price changes are predictable at high frequency, and many traders time executions by buying (selling) when the option fair value is close to the ask (bid). Effective spreads of traders who time executions are less than 40% of the size of conventional measures, and the overall average effective spread is one-quarter smaller than conventional estimates. Price impact measures are also affected. These findings alter conclusions about the after-cost profitability of options trading strategies.
论文原文：Dmitriy Muravyev, Neil D Pearson, Options Trading Costs Are Lower than You Think, The Review of Financial Studies, Volume 33, Issue 11, November 2020, Pages 4973–5014
2、衍生品供给和公司对冲：来自2005安全港改革的证据
Derivatives Supply and Corporate Hedging: Evidence from the Safe Harbor Reform of 2005
This article analyzes the importance of supply-side fluctuations for corporate hedging. To establish a causal link, we exploit a regulatory change that allows derivatives counterparties to circumvent the Bankruptcy Code’s automatic stay: the Safe Harbor Reform of 2005. Following the reform-induced expansion in the availability of derivatives, fuel hedging by airlines nearing financial distress (those that benefited most from the reform) significantly increased in comparison with financially sound airlines. We find that the hedging propensity similarly increased in a general sample of nonfinancial firms. In line with theory, we also find that operating performance increased for the affected firms.
论文原文：Erasmo Giambona, Ye Wang, Derivatives Supply and Corporate Hedging: Evidence from the Safe Harbor Reform of 2005, The Review of Financial Studies, Volume 33, Issue 11, November 2020, Pages 5015–5050
3、租用资产负债表空间：中介的资产负债表租用费和衍生品的价值
Renting Balance Sheet Space: Intermediary Balance Sheet Rental Costs and the Valuation of Derivatives
A long-standing asset pricing puzzle is that the funding rates in derivatives contracts often differ from those in cash markets. We propose that the cost of renting intermediary balance sheet space may help resolve this puzzle. We study a persistent basis in what is arguably the largest derivatives market, namely, the interest rate futures market. This basis is strongly related to exogenous measures of intermediary balance sheet usage and proxies for the balance sheet costs imposed by debt overhang problems and capital regulation. These results extend to the cash derivatives bases documented in many of the other largest financial markets.
论文原文：Matthias Fleckenstein, Francis A Longstaff, Renting Balance Sheet Space: Intermediary Balance Sheet Rental Costs and the Valuation of Derivatives, The Review of Financial Studies, Volume 33, Issue 11, November 2020, Pages 5051–5091
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4、注入现金的影响：来自1980年代农场债务危机的证据
The Effect of Cash Injections: Evidence from the 1980s Farm Debt Crisis
What is the effect of cash injections during financial crises? Exploiting county-level variation arising from random weather shocks during the 1980s Farm Debt Crisis, we analyze and measure the effect of local weather-driven cash flow shocks on the real and financial sectors. We show that such cash flow shocks significantly affect a host of economic outcomes, including land values, loan delinquency rates, the probability of bank failure, employment, and wages. Estimates of the effect of local cash flow shocks on county income levels during the financial crisis yield a multiplier of 1.63.
论文原文：Nittai K Bergman, Rajkamal Iyer, Richard T Thakor, The Effect of Cash Injections: Evidence from the 1980s Farm Debt Crisis, The Review of Financial Studies, Volume 33, Issue 11, November 2020, Pages 5092–5130
5、Dodd-Frank之后，证券化市场中的信息效率
Informational Efficiency in Securitization after
Dodd-Frank
We analyze how Dodd-Frank-mandated risk retention affects the information investors extract from issuers’ retention choices in the CMBS market. We show that the required retention level is both binding and stringent. Although this implies issuers cannot signal using the level of retention, we provide a model showing that signaling can occur by varying the retention structure. The model is consistent with spreads being empirically lower in deals with a purely first-loss retention structure. A stated concern of rulemakers is asymmetric information. However, we show that, post-crisis, the level of asymmetric information in this market is quite low.
论文原文：Sean J Flynn, Jr., Andra C Ghent, Alexei Tchistyi, Informational Efficiency in Securitization after Dodd-Frank, The Review of Financial Studies, Volume 33, Issue 11, November 2020, Pages 5131–5172
6、安全抵押，公平信贷：来自商业房地产市场的证据
Safe Collateral, Arm’s-Length Credit: Evidence from the Commercial Real Estate Market
Two main creditors exist in commercial real estate: arm’s-length investors and banks. We model commercial mortgage-backed securities (CMBS) as the less informed source of credit. In equilibrium, these investors fund properties with a low probability of distress, and banks fund properties that may require renegotiation. As a natural experiment, we test the model using the collapse of the CMBS market during 2007–2009, when banks funded both collateral types. Our results show that properties likely to have been securitized were less likely to default or be renegotiated. This suggests that securitization in this market funds safe collateral.
Lamont K Black, John R Krainer, Joseph B Nichols, Safe Collateral, Arm’s-Length Credit: Evidence from the Commercial Real Estate Market, The Review of Financial Studies, Volume 33, Issue 11, November 2020, Pages 5173–5211
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7、投机者和中间人：投资者在住房市场的测量和表现
Speculators and Middlemen: The Strategy and Performance of Investors in the Housing Market
Using data from the Los Angeles area from 1988 to 2012, we study the behavior and sources of returns of individual investors in the housing market. We document the existence of two distinct investor types. The first act as middlemen, purchasing substantially below and reselling above market prices throughout the cycle, improving liquidity and the existing capital stock in the process. The second act as speculators, who primarily enter during the boom, buying and selling at essentially market prices. Neither type anticipated the housing bust. We document similar behavior by speculators and middlemen in 96 other U.S. metro areas.
论文原文：Patrick Bayer, Christopher Geissler, Kyle Mangum, James W Roberts, Speculators and Middlemen: The Strategy and Performance of Investors in the Housing Market, The Review of Financial Studies, Volume 33, Issue 11, November 2020, Pages 5212–5247
By exploiting variation in state capital gains taxation as an instrument, we analyze the economic consequences of housing speculation during the U.S. housing boom in the 2000s. We find that housing speculation, anchored, in part, on extrapolation of past housing price changes, led not only to greater price appreciation, economic expansions, and housing construction during the boom in 2004–2006 but also to more severe economic downturns during the subsequent bust in 2007–2009. Our analysis supports supply overhang and local household demand as two key channels for transmitting these adverse effects.
论文原文：Zhenyu Gao, Michael Sockin, Wei Xiong, Economic Consequences of Housing Speculation, The Review of Financial Studies, Volume 33, Issue 11, November 2020, Pages 5248–5287
9、社区再投资法在抵押借款供给和美国房屋繁荣中的作用
Role of the Community Reinvestment Act in Mortgage Supply and the U.S. Housing Boom
This paper studies the role of the Community Reinvestment Act (CRA) in the U.S. housing boom-bust cycle. I find that enhanced CRA enforcement in 1998 increased the growth rate of mortgage lending by CRA-regulated banks to CRA-eligible census tracts. I show that during the boom period house price growth was higher in the eligible census tracts because of the shift in mortgage supply of regulated banks. Consequently, these census tracts experienced a worse housing bust. I find that CRA-induced mortgages were awarded to borrowers with lower FICO scores and were more frequently delinquent.
Vahid Saadi, Role of the Community Reinvestment Act in Mortgage Supply and the U.S. Housing Boom, The Review of Financial Studies, Volume 33, Issue 11, November 2020, Pages 5288–5332
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10、融资纳入，人力资本和财富积累：来自自由人的储蓄银行的证据
Financial Inclusion, Human Capital, and Wealth Accumulation: Evidence from the Freedman’s Savings Bank
This paper studies how access to financial services among a previously unbanked group affects human capital, labor market, and wealth outcomes. We use novel data from the Freedman’s Savings Bank—created following the American Civil War to serve free Blacks—employing an instrumental variables strategy exploiting the staggered rollout of bank branches. Families with accounts are more likely to have children in school, be literate, work, and have higher occupational income, business ownership, and real estate wealth. Placebo effects are not present using planned but unbuilt branches, or for Whites, suggesting significant positive effects of financial inclusion.
论文原文：Luke C D Stein, Constantine Yannelis, Financial Inclusion, Human Capital, and Wealth Accumulation: Evidence from the Freedman’s Savings Bank, The Review of Financial Studies, Volume 33, Issue 11, November 2020, Pages 5333–5377
