How Fast Should Trades Settle?
研究了加快交易结算对市场的影响，发现灵活的交割失败罚款能平衡交易者利益与借贷需求，实现实时结算，而强制自动借贷会引发有害的结算竞赛。
Recent regulatory and industry initiatives aim to streamline post-trade infrastructures. Does faster settlement benefit markets? We build a model of intermediated trading with imperfectly competitive securities lending. Faster settlement benefits impatient traders but increases borrowing needs. We find that flexible failure-to-deliver penalties reduce this tension, disciplining security lender competition and allowing for real-time settlement. Optimal penalties resemble put options on the lending market: they protect traders against high settlement costs but do not eliminate failures to deliver. Mandating automatic security borrowing to prevent failures to deliver triggers a toxic settlement rat race to lock in low borrowing costs. This paper was accepted by Gustavo Manso, finance.