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Wallen, Jonathan L. Remove Wallen, Jonathan L. →

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  • 2023
  • Working Paper

The Imperfect Intermediation of Money-Like Assets
By: Jonathan Wallen and Jeremy C. Stein
We study supply-and-demand effects in the U.S. Treasury bill market by comparing the returns on T-bills to the administered policy rate on the Federal Reserve’s reverse repurchase (RRP) facility. In spite of the arguably more money-like properties of an investment in...  View Details
Keywords: Debt Securities; Demand and Consumers; Price
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  • June 2023
  • Supplement

Optimalen Capital Spreadsheet Supplement
By: Malcolm Baker, Elisabeth Kempf and Jonathan Wallen
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  • June 2023
  • Case

Optimalen Capital
By: Malcolm Baker, Elisabeth Kempf and Jonathan Wallen
A new client portfolio manager at a quantitative investment management firm must explain why her firm, Optimalen Capital, has rebalanced a client portfolio with a set of trades that seem unintuitive. In particular, Optimalen has added to its position of Walmart (ticker...  View Details
Keywords: Investments; CAPM; Capital Asset Pricing Model
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  • November 2022 (Revised May 2023)
  • Case

Dicerna
By: Malcolm Baker, Ishita Sen and Jonathan Wallen
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  • 2022
  • Working Paper

Markups to Financial Intermediation in Foreign Exchange Markets
By: Jonathan Wallen
On average from 2013 to 2020, foreign asset managers in net sold forward 1.1 trillion U.S. dollars. This forward sale of dollars hedges the currency mismatch of foreign investment in U.S. dollar assets. By accommodating this demand, U.S. and European banks earn an...  View Details
Keywords: Foreign Exchange; Financial Intermediation; Arbitrage; Market Power; Regulations; Currency; Assets; Interest Rates; Banking Industry
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  • January 2022 (Revised January 2022)
  • Case

The Impact Developers Fund
By: Malcolm Baker, Samuel Gregory Hanson, Jonathan Wallen and Zach Komes
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  • 2022
  • Working Paper

Many Markets Make Good Neighbors: Multimarket Contact and Deposit Banking
By: Jonathan Wallen and John Hatfield
We investigate the relationship between the interest rates offered to consumers in a deposit banking market and the contact that banks in that market have with each other in other markets. We show, in a simple theoretical model, that such overlapping relationships...  View Details
Keywords: Antitrust; Deposit Banking; Market Power; Multimarket Contact; Banks and Banking; Markets; Competition
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  • 2022
  • Working Paper

Segmented Arbitrage
By: Emil Siriwardane, Adi Sunderam and Jonathan L. Wallen
We use arbitrage activity in equity, fixed income, and foreign exchange markets to characterize the frictions and constraints facing intermediaries. The average pairwise correlation between the 29 arbitrage spreads that we study is 21%. These low correlations are...  View Details
Keywords: Financial Intermediation; Arbitrage; Intermediary-based Asset Pricing; Finance; Segmentation
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