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作者：Duarte, Jefferson; Jones, Christopher s.; Wang, Junbo l.
作者单位：Rice University; University of Southern California; Louisiana State University System; Louisiana State University
摘要：The stylized fact that volatility is not priced in individual equity options does not withstand scrutiny. First, we show that the average return of heavily traded deep out-of-the-money call options on stocks is -116 basis points per day. Second, Fama-MacBeth estimates of the volatility risk premium in stock options are similar to those in S&P 500 Index call options. Third, the mean return of heavily traded delta-hedged at-the-money calls (puts) is -23 (-30) basis points. Fourth, the variance r...
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作者：Krohn, Ingomar; Mueller, Philippe; Whelan, Paul
作者单位：Bank of Canada; University of Warwick; Chinese University of Hong Kong; University of Warwick
摘要：The U.S. dollar appreciates in the run-up to foreign exchange (FX) fixes and depreciates thereafter, tracing a W-shaped return pattern around the clock. Return reversals for the top nine traded currencies over a 21-year period are pervasive and highly statistically significant, and they imply daily swings of more than one billion U.S. dollars based on spot volumes. Using natural experiments, we document the existence of a published reference rate determines the timing of intraday return revers...
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作者：Gofman, Michael; Jin, Zhao
作者单位：Hebrew University of Jerusalem
摘要：We document an unprecedented brain drain of Artificial Intelligence (AI) professors from universities from 2004 to 2018. We find that students from the affected universities establish fewer AI startups and raise less funding. The brain-drain effect is significant for tenured professors, professors from top universities, and deep-learning professors. Additional evidence suggests that unobserved city- and university-level shocks are unlikely to drive our results. We consider several economic cha...
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作者：Povel, Paul; Strobl, Guenter
作者单位：University of Houston System; University of Houston; University of Vienna
摘要：We analyze a principal-agent model in which an effort-averse agent can manipulate a publicly observable performance report. The principal cannot observe the agent's cost of effort, her effort choice, and whether she manipulated the report. An optimal contract links compensation to the realized output and the (possibly manipulated) report. Manipulation can be beneficial to the principal because it can make the report more informative about the agent's effort choice, thereby reducing the agent's...
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作者：Jorring, Adam Tejs
作者单位：University of Massachusetts System; University of Massachusetts Amherst
摘要：Using detailed account-level data, this paper explores how financial sophistication affects consumers' spending responses to changes in income. I document that, controlling for liquidity, financially unsophisticated consumers display significant spending responses to predictable decreases in their disposable income. Furthermore, they have lower savings rates, fewer liquid savings, and higher debt-to-income ratios, leaving them more exposed to income shocks. Robustness tests, supported by anecd...
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作者：Bhattacharya, Utpal; Kumar, Amit; Visaria, Sujata; Zhao, Jing
作者单位：Hong Kong University of Science & Technology; Singapore Management University; City St Georges, University of London; Hong Kong Polytechnic University
摘要：We arranged for trained undercover men and women to pose as potential clients and visit all 65 local financial advisory firms in Hong Kong. At financial planning firms, but not at securities firms, women were more likely than men to receive advice to buy only individual or only local securities. Female clients who signaled high confidence, high risk tolerance, or a domestic outlook were especially likely to receive this suboptimal advice. Our theoretical model explains these patterns as a resu...
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作者：Quigley, Daniel; Walther, Ansgar
作者单位：University of Oxford; University of Oxford; Imperial College London; Centre for Economic Policy Research - UK
摘要：We study an economy with financial frictions in which a regulator designs a test that reveals outside information about a firm's quality to investors. The firm can also disclose verifiable inside information about its quality. We show that the regulator optimally aims for public speech and private silence, which is achieved with tests that give insiders an incentive to stay quiet. We fully characterize optimal tests by developing tools for Bayesian persuasion with incentive constraints, and us...
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作者：Collin-Dufresne, Pierre; Junge, Benjamin; Trolle, Anders B.
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Copenhagen Business School; Copenhagen Business School
摘要：We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using new results for pricing compound options via multivariate affine transform analysis. The model captures many aspects of the joint dynamics of CDX and SPX options. However, it cannot reconcile the relative levels of option prices, suggesting ...
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作者：Kacperczyk, Marcin; Pagnotta, Emiliano S.
作者单位：Imperial College London; Center for Economic & Policy Research (CEPR); Singapore Management University; Singapore Management University
摘要：Do illegal insiders internalize legal risk? We address this question with hand-collected data from 530 SEC (the U.S. Securities and Exchange Commission) investigations. Using two plausibly exogenous shocks to expected penalties, we show that insiders trade less aggressively and earlier and concentrate on tips of greater value when facing a higher risk. The results match the predictions of a model where an insider internalizes the impact of trades on prices and the likelihood of prosecution and...
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作者：Chen, Xin; An, Li; Wang, Zhengwei; Yu, Jianfeng
作者单位：Audencia; Shenzhen University; Tsinghua University
摘要：Exploiting a screen display feature whereby the order of stock display is determined by the stock's listing code, we lever a novel identification strategy and study how the interaction between overconfidence and limited attention affect asset pricing. We find that stocks displayed next to those with higher returns in the past two weeks are associated with higher returns in the future week, which are reverted in the long run. This is consistent with our conjectures that investors tend to trade ...
