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作者：Balasubramaniam, Vimal; Campbell, John Y. Y.; Ramadorai, Tarun; Ranish, Benjamin
作者单位：University of London; Queen Mary University London; Centre for Economic Policy Research - UK; Harvard University; National Bureau of Economic Research; Imperial College London; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We build a cross-sectional factor model for investors' direct stockholdings and estimate it using data from almost 10 million retail accounts in the Indian stock market. Our model identifies strong investor clienteles for stock characteristics, most notably firm age and share price, and for particular clusters of stock characteristics. These clienteles are intuitively associated with investor attributes such as account age, size, and diversification. Coheld stocks tend to have higher return co...
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作者：Kogan, Leonid; Li, Jun; Zhang, Harold h.
作者单位：National Bureau of Economic Research; Massachusetts Institute of Technology (MIT); University of Texas System; University of Texas Dallas; University of Texas System; University of Texas Dallas
摘要：We show theoretically that variable production costs reduce systematic risk of firms' cash flows if capital and variable inputs are complementary in firms' production and input prices are procyclical. In our dynamic model, this operating hedge effect is weaker for more profitable firms, giving rise to a gross profitability premium. Moreover, gross profitability and value factors are distinct and negatively correlated, and their premia are not captured by the capital asset pricing model (CAPM)....
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作者：[Anonymous]
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作者：Andersen, Asger Lau; Johannesen, Niels; Jorgensen, Mia; Peydro, Jose-Luis
作者单位：University of Copenhagen; Centre for Economic Policy Research - UK; Imperial College London
摘要：We analyze the distributional effects of monetary policy on income, wealth, and consumption. We use administrative household-level data covering the entire population in Denmark over the period 1987 to 2014 and exploit a long-standing currency peg as a source of exogenous variation in monetary policy. We find that gains from softer monetary policy in terms of income, wealth, and consumption are monotonically increasing in ex ante income. The distributional effects reflect systematic difference...
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作者：Sautner, Zacharias; Van Lent, Laurence; Vilkov, Grigory; Zhang, Ruishen
作者单位：Frankfurt School Finance & Management; Shanghai University of Finance & Economics
摘要：We develop a method that identifies the attention paid by earnings call participants to firms' climate change exposures. The method adapts a machine learning keyword discovery algorithm and captures exposures related to opportunity, physical, and regulatory shocks associated with climate change. The measures are available for more than 10,000 firms from 34 countries between 2002 and 2020. We show that the measures are useful in predicting important real outcomes related to the net-zero transit...
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作者：Kelly, Bryan; Malamud, Semyon; Pedersen, Lasse Heje
作者单位：Yale University; National Bureau of Economic Research; Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Copenhagen Business School
摘要：We propose a new asset pricing framework in which all securities' signals predict each individual return. While the literature focuses on securities' own-signal predictability, assuming equal strength across securities, our framework includes cross-predictability-leading to three main results. First, we derive the optimal strategy in closed form. It consists of eigenvectors of a prediction matrix, which we call principal portfolios. Second, we decompose the problem into alpha and beta, yieldin...
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作者：Levine, Ross; Lin, Chen; Ma, Chicheng; Xu, Yuchen
作者单位：Stanford University; National Bureau of Economic Research; University of Hong Kong; Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen); University of New South Wales Sydney
摘要：The primary challenge to assessing the legal origins view of comparative financial development is identifying exogenous changes in legal systems. We assemble new data on Shanghai's British and French concessions between 1845 and 1936. Two regime changes altered British and French legal jurisdiction over their respective concessions. By examining the changing application of different legal traditions to adjacent neighborhoods within the same city and controlling for military, economic, and poli...
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作者：Akepanidtaworn, Klakow; Mascio, Rick di; Imas, Alex; Schmidt, Lawrence D. W.
作者单位：International Monetary Fund; University of Chicago; Massachusetts Institute of Technology (MIT)
摘要：Are market experts prone to heuristics, and do these heuristics transfer across buying and selling domains? We investigate this question using a unique data set of institutional investors with portfolios averaging $573 million. A striking finding emerges: While there is evidence of skill in buying, selling decisions underperform substantially, even relative to random-selling strategies. This holds despite the similarity between the two decisions in frequency, substance, and consequences for pe...
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作者：Paravisini, Daniel; Rappoport, Veronica; Schnabl, Philipp
作者单位：University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; University of London; London School Economics & Political Science; National Bureau of Economic Research
摘要：We develop a novel approach for measuring bank specialization using granular data on borrower activities and apply it to Peruvian exporters and their banks. We find that borrowers seek credit from banks that specialize in their export destinations, both when expanding exports and when exporting to new countries. Firms experiencing country-specific export demand shocks adjust borrowing disproportionately from specialized banks. Specialized bank credit supply shocks affect exports disproportiona...
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作者：Chen, Yi; Wang, Zhe
作者单位：Cornell University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We study the dynamic profit-maximizing selling mechanism in a merger and acquisitions (M&A) environment with costly bidder entry and without entry fees. Depending on the parameters, the optimal mechanism is implemented by a standard auction or by a two-stage procedure with exclusive offers to one bidder followed by an auction potentially favoring that bidder. The optimal mechanism may involve common deal protections like termination fees, asset lockups, or stock option lockups. Our proposed pr...
