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作者：Barrot, Jean-Noel; Nanda, Ramana
作者单位：Hautes Etudes Commerciales (HEC) Paris; Harvard University; Imperial College London
摘要：We study the impact ofQuickpay, a reform that permanently accelerated payments to small business contractors of the U.S. government. We find a strong direct effect of the reform on employment growth at the firm level. However, we document substantial crowding out of nontreated firms' employment within local labor markets. While the overall net employment effect is positive, it is close to zero in tight labor markets. Our results highlight an important channel for alleviating financing constrai...
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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); Hautes Etudes Commerciales (HEC) Paris; Copenhagen Business School
摘要：Despite regulatory efforts to promote all-to-all trading, the post-Dodd-Frank index credit default swap market remains two-tiered. Transaction costs are higher for dealer-to-client than interdealer trades, but the difference is explained by the higher, largely permanent, price impact of client trades. Most interdealer trades are liquidity motivated and executed via low-cost, low-immediacy trading protocols. Dealer-to-client trades are nonanonymous; they almost always improve upon contemporaneo...
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作者：Harvey, Campbell R.; Liu, Yan
作者单位：Duke University; National Bureau of Economic Research; Purdue University System; Purdue University
摘要：Multiple testing plagues many important questions in finance such as fund and factor selection. We propose a new way to calibrate both Type I and Type II errors. Next, using a double-bootstrap method, we establish at-statistic hurdle that is associated with a specific false discovery rate (e.g., 5%). We also establish a hurdle that is associated with a certain acceptable ratio of misses to false discoveries (Type II error scaled by Type I error), which effectively allows for differential costs...
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作者：Griffin, John M.; Shams, Amin
作者单位：University of Texas System; University of Texas Austin; University System of Ohio; Ohio State University
摘要：This paper investigates whether Tether, a digital currency pegged to the U.S. dollar, influenced Bitcoin and other cryptocurrency prices during the 2017 boom. Using algorithms to analyze blockchain data, we find that purchases with Tether are timed following market downturns and result in sizable increases in Bitcoin prices. The flow is attributable to one entity, clusters below round prices, induces asymmetric autocorrelations in Bitcoin, and suggests insufficient Tether reserves before month...
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作者：Gilje, Erik P.; Loutskina, Elena; Murphy, Daniel
作者单位：University of Pennsylvania; National Bureau of Economic Research; University of Virginia
摘要：This paper documents a previously unrecognized debt-related investment distortion. Using detailed project-level data for 69 firms in the oil and gas industry, we find that highly levered firms pull forward investment, completing projects early at the expense of long-run project returns and project value. This behavior is particularly pronounced prior to debt renegotiations. We test several channels that could explain this behavior and find evidence consistent with equity holders sacrificing lo...
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作者：Chu, Yongqiang; Hirshleifer, David; Ma, Liang
作者单位：University of North Carolina; University of North Carolina Charlotte; University of California System; University of California Irvine; National Bureau of Economic Research; University of South Carolina System; University of South Carolina Columbia
摘要：We examine the causal effect of limits to arbitrage on 11 well-known asset pricing anomalies using the pilot program of Regulation SHO, which relaxed short-sale constraints for a quasi-random set of pilot stocks, as a natural experiment. We find that the anomalies became weaker on portfolios constructed with pilot stocks during the pilot period. The pilot program reduced the combined anomaly long-short portfolio returns by 72 basis points per month, a difference that survives risk adjustment w...
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作者：Nutz, Marcel; Scheinkman, Jose A.
作者单位：Columbia University; Princeton University; National Bureau of Economic Research
摘要：In models of trading with heterogeneous beliefs following Harrison-Kreps, short selling is prohibited and agents face constant marginal costs-of-carry. The resale option guarantees that prices exceed buy-and-hold prices and the difference is identified as a bubble. We propose a model where risk-neutral agents face asymmetric increasing marginal costs on long and short positions. Here, agents also value an option to delay, and a Hamilton-Jacobi-Bellman equation quantifies the influence of costs...
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作者：Aminadav, Gur; Papaioannou, Elias
作者单位：University of London; London Business School; Center for Economic & Policy Research (CEPR)
摘要：We study corporate control tracing controlling shareholders for thousands of listed firms from 127 countries over 2004 to 2012. Government and family control is pervasive in civil-law countries. Blocks are commonplace, but less so in common-law countries. These patterns apply to large, medium, and small firms. In contrast, the development-control nexus is heterogeneous; strong for large but absent for small firms. Control correlates strongly with shareholder protection, the stringency of emplo...
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作者：Farre-Mensa, Joan; Hegde, Deepak; Ljungqvist, Alexander
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; New York University; Stockholm School of Economics; Swedish House of Finance
摘要：We provide evidence on the value of patents to startups by leveraging the quasi-random assignment of applications to examiners with different propensities to grant patents. Using unique data on all first-time applications filed at the U.S. Patent Office since 2001, we find that startups that win the patent lottery by drawing lenient examiners have, on average, 55% higher employment growth and 80% higher sales growth five years later. Patent winners also pursue more, and higher quality, follow-...
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作者：Ouimet, Paige; Tate, Geoffrey
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University System of Maryland; University of Maryland College Park
摘要：Using unique data on employee stock purchase plans (ESPPs), we examine the influence of networks on investment decisions. Comparing employees within a firm during the same election window with metro area fixed effects, we find that the choices of coworkers in the firm's ESPP exert a significant influence on employees' own decisions to participate and trade. Moreover, we find that the presence of high-information employees magnifies the effects of peer networks. Given participation in an ESPP i...
