Gregor Matvos

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We argue that the continuous limit order book is a flawed market design and propose that financial exchanges instead use frequent batch auctions: uniform-price sealed-bid double auctions conducted at frequent but discrete time intervals, e.g., every 1 second. Our argument has four parts. First, we use millisecond-level direct-feed data from exchanges to(More)
We document the importance of the collateral lending channel for small business employment over the past decade. Small businesses in areas with greater increases in house prices experienced stronger growth in employment than large firms in the same areas and industries. To identify the role of the collateral lending channel separately from aggregate changes(More)
  • Joshua D Rauh, Amir Sufi, Alan Bester, Gregor Matvos, Amit Seru, Jesse Shapiro +1 other
  • 2010
Better measurement of the output produced and capital employed by firms substantially improves the ability to explain capital structure variation in the cross-section. For every firm, we construct the set of other firms producing the same output using the set of product market competitors listed in the firm's public SEC filings. In addition, we improve(More)
PRELIMINARY AND INCOMPLETE, PLEASE DO NOT CITE WITHOUT PERMISSION. We develop and estimate an empirical model of the U.S. banking sector using a new data set covering the largest U.S. banks over the period 2002-2013. Our model incorporates insured depositors and run-prone uninsured depositors who have rich preferences over differentiated banks. Banks(More)
  • Umit Gurun, Gregor Matvos, Amit Seru, Ut Dallas, Chicago Booth, Nber Gurun +2 others
  • 2013
We use a unique dataset that combines information on advertising and mortgages originated by subprime lenders to study whether advertising helped consumers find cheaper mortgages. Lenders who advertise more within a region sell more expensive mortgages, measured as the excess rate of a mortgage after accounting for a broad set of borrower, contract, and(More)
This paper shows that illiquidity in short-term credit markets during the financial crisis may have sharply curtailed the supply of non-bank consumer credit. Using a new data set linking every car sold in the United States to the credit supplier involved in each transaction, we show that the collapse of the asset-backed commercial paper market decimated the(More)
We construct a novel database containing the universe of nancial advisers in the United States from 2005 to 2015, representing approximately 10% of employment of the nance and insurance sector. Roughly 7% of advisers have misconduct records. At some of the largest nancial advisory rms in the United States, more than 15% of advisers have misconduct records.(More)
Do political connections increase bank risk-taking, or do they work as a financial safety net ex post? Using a data set of lobbying activities by US financial institutions, this paper provides empirical evidence that lobbying activities reduce banks' risks under the presence of government bailouts. First, I uncover from an event study the fact that(More)