Now showing items 1-11 of 11

    • Are There Too Many Safe Securities? Securitization and the Incentives for Information Production 

      Hanson, Samuel Gregory; Sunderam, Aditya Vikram (2013-04-18)
      We present a model that helps explain several past collapses of securitization markets. Originators issue too many informationally insensitive securities in good times, blunting investor incentives to become informed. The ...
    • Banks as Patient Fixed-Income Investors 

      Hanson, Samuel Gregory; Shleifer, Andrei; Stein, Jeremy C.; Vishny, Robert W. (Elsevier, 2015)
      We examine the business model of traditional commercial banks when they compete with shadow banks. While both types of intermediaries create safe "money-like" claims, they go about this in different ways. Traditional banks ...
    • A Comparative-Advantage Approach to Government Debt Maturity 

      Greenwood, Robin Marc; Hanson, Samuel Gregory; Stein, Jeremy C. (Wiley-Blackwell, 2015-02-19)
      We study optimal government debt maturity in a model where investors derive monetary services from holding riskless short-term securities. In a setting where the government is the only issuer of such riskless paper, it ...
    • An Evaluation of Money Market Fund Reform Proposals 

      Hanson, Samuel Gregory; Scharfstein, David Stuart; Sunderam, Aditya Vikram (2015-09-29)
      U.S. money market mutual funds (MMFs) are an important source of dollar funding for global financial institutions, particularly those headquartered outside the U.S. MMFs proved to be a source of considerable instability ...
    • The Growth and Limits of Arbitrage: Evidence from Short Interest 

      Hanson, Samuel Gregory; Sunderam, Aditya Vikram (Oxford University Press (OUP), 2013-10-07)
      We develop a novel methodology to infer the amount of capital allocated to quantitative equity arbitrage strategies. Using this methodology, which exploits time-variation in the cross section of short interest, we document ...
    • Issuer Quality and Corporate Bond Returns 

      Greenwood, Robin Marc; Hanson, Samuel Gregory (Oxford University Press (OUP), 2013)
      We show that the credit quality of corporate debt issuers deteriorates during credit booms, and that this deterioration forecasts low excess returns to corporate bondholders. The key insight is that changes in the pricing ...
    • A Model of Credit Market Sentiment 

      Greenwood, Robin Marc; Hanson, Samuel Gregory; Jin, Lawrence J. (2016-08-22)
      We present a model of credit market sentiment in which investors form beliefs about future creditworthiness by extrapolating past defaults. Our key contribution is to model the endogenous two-way feedback between credit ...
    • Monetary Policy and Long-Term Real Rates 

      Hanson, Samuel Gregory; Stein, Jeremy C. (Elsevier, 2014-10-28)
      Changes in monetary policy have surprisingly strong effects on forward real rates in the distant future. A 100 basis point increase in the two-year nominal yield on a Federal Open Markets Committee announcement day is ...
    • Monetary Policy and Long-Term Real Rates 

      Hanson, Samuel Gregory; Stein, Jeremy C. (2012-08-08)
      Changes in monetary policy have surprisingly strong effects on forward real rates in the distant future. A 100 basis-point increase in the 2-year nominal yield on an FOMC announcement day is associated with a 42 basis-point ...
    • Mortgage Convexity 

      Hanson, Samuel Gregory (Elsevier, 2014-05-13)
      Most home mortgages in the U.S. are fixed-rate loans with an embedded prepayment option. When long-term rates decline, the effective duration of mortgage-backed securities (MBS) falls due to heightened refinancing expectations. ...
    • The Variance of Non-Parametric Treatment Effect Estimators in the Presence of Clustering 

      Hanson, Samuel; Sunderam, Adi (Massachusetts Institute of Technology Press (MIT Press), 2012)
      Nonparametric estimators of treatment effects are often applied in settings where clustering may be important. We provide a general methodology for consistently estimating the variance of a large class of nonparametric ...