David Musto

Contracts with (Social) benefits: The implementation of impact investing

Journal of Financial Economics · 2021 · 119 citations

Notes on Bonds: Illiquidity Feedback During the Financial Crisis

Review of Financial Studies · 2018-03-05 · 48 citations

This paper traces the evolution of extreme illiquidity discounts among Treasury securities during the financial crisis; bonds fell more than six percent below more-liquid but otherwise identical notes. Using high-resolution data on market quality and trader identities and characteristics, we find that the discounts amplify through feedback loops, where cheaper, less-liquid securities flow to investors with longer horizons, thereby increasing their illiquidity and thus their appeal to these inves…

Notes on Bonds: Liquidity at All Costs in the Great Recession

SSRN Electronic Journal · 2015-01-01 · 35 citations

Contracts with Benefits: The Implementation of Impact Investing

SSRN Electronic Journal · 2018-01-01 · 20 citations

Does Junior Inherit? Refinancing and the Blocking Power of Second Mortgages

Review of Financial Studies · 2016-09-29 · 19 citations

In most U.S. states, mortgage seniority follows time priority: older mortgages are paid first. This potentially impedes refinancing of senior mortgages because replacement mortgages are junior unless the existing junior lienholders consent to resubordination. We exploit legal variation across states to provide evidence that time priority reduces refinancing, especially of smaller mortgages (suggesting a significant fixed cost of obtaining resubordination) and of mortgages close to the conforming…