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作者：Kelly, Bryan; Malamud, Semyon; Zhou, Kangying
作者单位：Yale University; National Bureau of Economic Research; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK; Yale University
摘要：Much of the extant literature predicts market returns with simple models that use only a few parameters. Contrary to conventional wisdom, we theoretically prove that simple models severely understate return predictability compared to complex models in which the number of parameters exceeds the number of observations. We empirically document the virtue of complexity in U.S. equity market return prediction. Our findings establish the rationale for modeling expected returns through machine learni...
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作者：Goldstein, Itay; Gupta, Deeksha; Sverchkov, Ruslan
作者单位：University of Pennsylvania; Johns Hopkins University; University of Warwick
摘要：We show that utility tokens can limit the rent-seeking activities of two-sided platforms with market power while preserving efficiency gains due to network effects. We model platforms where buyers and sellers can meet to exchange services. Tokens serve as the sole medium of exchange on a platform and can be traded in a secondary market. Tokenizing a platform commits a firm to give up monopolistic rents associated with the control of the platform, leading to long-run competitive prices. We show...
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作者：Flanagan, Thomas; Purnanandam, Amiyatosh
作者单位：University System of Ohio; Ohio State University; University of Michigan System; University of Michigan
摘要：Financial institutions received investments under the Troubled Asset Relief Program in a bad state of the world but repaid them in a relatively good state. We show that the recipients paid considerably lower returns to taxpayers compared to private-market securities with similar risk over the same investment horizon, resulting in a subsidy of over $50 billion on the preferred equity investment by the government. Ex-post renegotiation of contract terms limited the upside gains received by taxpa...
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作者：Berger, Elizabeth A.; Seegert, Nathan
作者单位：University of Houston System; University of Houston; Utah System of Higher Education; University of Utah
摘要：We investigate the economic value of cash management. In the legal marijuana industry, where only half of businesses have access to cash management services from a financial institution, we examine dispensary profitability using administrative and survey data. Our results show that businesses with cash management charge higher retail prices (8.3%), pay lower wholesale prices (7.3%), and have higher sales volume (19%). Together, these advantages create a 40% increase in profitability. These res...
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作者：Dessaint, Olivier; Foucault, Thierry; Fresard, Laurent
作者单位：INSEAD Business School; Hautes Etudes Commerciales (HEC) Paris; Universita della Svizzera Italiana; INSEAD Business School
摘要：Existing research suggests that alternative data are mainly informative about short-term future outcomes. We show theoretically that the availability of short-term-oriented data can induce forecasters to optimally shift their attention from the long term to the short term because it reduces the cost of obtaining short-term information. Consequently, the informativeness of their long-term forecasts decreases, even though the informativeness of their short-term forecasts increases. We test and c...
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作者：Reuben, Ernesto; Sapienza, Paola; Zingales, Luigi
作者单位：New York University; New York University Abu Dhabi; Northwestern University; University of Chicago; Northwestern University
摘要：We study when preferences for competition are a positive economic trait among high earners and the extent to which this trait can explain the gender gap in income among a master's degree in business administration (MBAs). Consistent with the experimental evidence, preferences for competition are a positive economic trait only for individuals who are not overconfident. Preferences for competition correlate with income only at graduation when bonuses are guaranteed and not a function of performa...
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作者：Zhang, Harold H.; Zhao, Feng; Zhao, Xiaofei
作者单位：University of Texas System; University of Texas Dallas; Georgetown University; University of Texas System; University of Texas Dallas
摘要：Examining the contractual disclosures during the sale of private-label residential mortgage-backed securities before the 2008 financial crisis, we find that textual contents in the risk-factor section predict subsequent losses and yet were not reflected in pricing. Insurance companies, especially life insurers and insurers with low regulatory capital ratios, are more exposed to textual risks. Consistent with issuers hedging litigation risks with disclosure, we find that textual contents are as...
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作者：Hanley, Kathleen Weiss
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作者：Garmaise, Mark J.; Levi, Yaron; Lustig, Hanno
作者单位：National Bureau of Economic Research; Centre for Economic Policy Research - UK; Stanford University
摘要：Using high-frequency spending data, we show that household consumption displays excess sensitivity to salient macroeconomic news, even when the news is not real. When the announced local unemployment rate reaches a 12-month maximum, local news coverage of unemployment increases and local consumers reduce their discretionary spending by 1.5% relative to consumers in areas with the same macroeconomic conditions. Low-income households display greater excess sensitivity to salience. The decrease i...
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作者：Sannino, Francesco
作者单位：Frankfurt School Finance & Management
摘要：I model positive sorting of entrepreneurs across the high and low value-added segments of the venture capital market. Aiming to attract high-quality entrepreneurs, inefficiently many venture capitalists (VCs) commit to provide high value-added by forming small portfolios. This draws the marginal entrepreneur away from the low value-added segment, reducing match quality in the high value-added segment too. There is underinvestment. Multiple equilibria may emerge, and they differ in aggregate in...
