David Xiaoyu Xu

Portfolio Dynamics and the Supply of Safe Securities [Internet Appendix]

QCGBF Young Economist Prize, Finalist
FMCG Best Paper Award in Banking/Financial Institution

The size of a safe (e.g., AAA-rated) tranche backed by risky loans is constrained by potential loan quality deterioration in future years. This constraint can be relaxed by dynamically rebalancing loan portfolios, as applied in the securitization of corporate loans. A theoretical framework for such markets.

What Do Lead Banks Learn from Leveraged Loan Investors? (with Max Bruche and Ralf R. Meisenzahl)

Nowadays it's standard practice that lead banks use bookbuilding to discover syndicate investors' demand and adjust the proposed loan terms accordingly. We find these adjustments highly informative about future loan defaults, which implies nonbank investors have private information about borrower quality that is unknown to banks.

Information Acquisition by Mutual Fund Investors: Evidence from Stock Trading Suspensions (with Clemens Sialm)

Liquidity created by open-end funds induces investors to acquire information about highly illiquid assets in fund portfolios. We analyze this channel in a unique setting: fund holdings with large portfolio weights get scrutinized by investors, leading to informative quantity changes before the information incorporates into prices.

Fund Flows in the Shadow of Stock Trading Regulation (with Xiang Kang)

Best Paper Award, 16th Conference on Asia-Pacific Financial Markets

Intervening the trading of securities generates abnormal flows to mutual funds.

The Geography of Information Acquisition (with Honghui Chen, Yuanyu Qu, Tao Shen, and Qinghai Wang), Journal of Financial and Quantitative Analysis, 2022

An empirical setting where we observe investment professionals' acquisition of private information. We examine how they react to exogenous shocks to the cost of acquiring information.

Subsumes my solo-authored second-year paper, previously circulated as:
Costly Information Acquisition and Investment Decisions: Quasi-Experimental Evidence