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作者：Dugast, Jerome; Foucault, Thierry
作者单位：Universite PSL; Universite Paris-Dauphine; Centre National de la Recherche Scientifique (CNRS); Hautes Etudes Commerciales (HEC) Paris
摘要：We study theoretically how the proliferation of new data (data abundance) affects the allocation of capital between quantitative and nonquantitative asset managers (data miners and experts), their performance, and price informativeness. Data miners search for predictors of asset payoffs and select those with a sufficiently high precision. Data abundance raises the precision of the best predictors, but it can induce data miners to search less intensively for high-precision signals. In this case...
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作者：Derrien, Francois; Kruger, Philipp; Landier, Augustin; Yao, Tianhao
作者单位：Hautes Etudes Commerciales (HEC) Paris; University of Geneva; European Corporate Governance Institute; Singapore Management University
摘要：We investigate the expected consequences of negative environmental, social, and governance (ESG) news on firms' future profits. After learning about negative ESG news, analysts significantly downgrade their forecasts at short and longer horizons. Negative ESG news affects forecasts more strongly at longer horizons than other types of negative corporate news. The negative revisions of earnings forecasts following negative ESG news largely reflect expectations of lower future sales, rather than ...
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作者：Parise, Gianpaolo; Rubin, Mirco
作者单位：Tilburg University; Centre for Economic Policy Research - UK; Universite Catholique de Lille; EDHEC Business School
摘要：This paper establishes that mutual funds strategically time their trades in environmental, social, and governance (ESG) stocks around disclosure dates to inflate their sustainability ratings. This claim is supported by three empirical findings. First, we show that funds' ESG betas increase shortly before disclosure and decrease shortly afterwards. Second, we document that post-disclosure fund returns are higher but have lower ESG exposure than disclosed portfolios. Third, we provide evidence t...
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作者：Hoffmann, Florian; Vladimirov, Vladimir
作者单位：KU Leuven; University of Amsterdam; Centre for Economic Policy Research - UK
摘要：The voluntary departure of hard-to-replace skilled workers worsens firm prospects, which can lead to additional departures. We develop a model in which firms design compensation to limit the risk of such worker runs. To achieve cost-efficient retention, firms combine fixed wages with dilutable compensation-such as vesting equity or bonus pools-which pays remaining workers more when others leave but gets diluted otherwise. Compensating (identical) workers with differently structured compensatio...
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作者：Brogaard, Jonathan; Ringgenberg, Matthew C.; Roesch, Dominik
作者单位：Utah System of Higher Education; University of Utah; State University of New York (SUNY) System; University at Buffalo, SUNY
摘要：Although algorithmic trading now dominates financial markets, some exchanges continue to use human floor traders. On March 23, 2020 the NYSE suspended floor trading because of COVID-19. Using a difference-in-differences analysis around the closure of the floor, we find that floor traders are important contributors to market quality. The suspension of floor trading leads to higher spreads and larger pricing errors for treated stocks relative to control stocks. To explore the mechanism, we explo...
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作者：Pikulina, Elena s.; Ferreira, Daniel
作者单位：University of British Columbia; Centre for Economic Policy Research - UK; University of London; London School Economics & Political Science; European Corporate Governance Institute
摘要：We introduce the concept of subtle discrimination-biased acts that cannot be objectively ascertained as discriminatory. When candidates compete for promotions by investing in skills, firms' subtle biases induce discriminated candidates to overinvest when promotions are low-stakes (to distinguish themselves from favored candidates) but underinvest in high-stakes settings (anticipating low promotion probabilities). This asymmetry implies that subtle discrimination raises profits in low-productiv...
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作者：Betermier, Sebastien; Calvet, Laurent E.; Knupfer, Samuli; Kvaerner, Jens Soerlie
作者单位：McGill University; SKEMA Business School; Universite Cote d'Azur; Centre for Economic Policy Research - UK; Aalto University; BI Norwegian Business School; Research Institute of Industrial Economics (IFN); Tilburg University
摘要：This paper develops an empirical methodology for extracting pricing factors from investor portfolio data. We apply this approach to the stockholdings of Norwegian individual investors from 1997 to 2017. A two-factor model, featuring the market portfolio and a long-short portfolio constructed from the holdings of investors sorted by age or wealth, explains both the common variation in portfolio holdings and the cross section of stock returns. Portfolio tilts toward the long-short investor facto...
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作者：Green, Daniel; Roth, Benjamin n.
作者单位：Harvard University
摘要：Portfolio allocation decisions increasingly incorporate social values. We develop a tractable framework to study how competition between investors to own socially valuable assets affects social welfare. Relative to the most common social-investing strategies, we identify alternative strategies that result in higher impact and higher financial returns. We identify strategies for investors to have impact when impact is difficult to measure. From the firm's perspective, increasing profitability c...
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作者：Schwarz, Christopher; Barber, Brad; Huang, Xing; Jorion, Philippe; Odean, Terrance
作者单位：University of California System; University of California Irvine; University of California System; University of California Davis; Washington University (WUSTL); University of California System; University of California Berkeley
摘要：We compare execution quality of six brokerage accounts across five brokers by generating a sample of 85,000 simultaneous market orders. Commission levels and payment for order flow (PFOF) differ across our accounts. We find that execution prices vary significantly across brokers: the mean account-level round-trip cost ranges from 0.07% to 0.46%, excluding any commissions. The dispersion is due to off-exchange wholesalers systematically giving different execution prices for the same trades to d...
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作者：Donaldson, Jason Roderick; Gromb, Denis; Piacentino, Giorgia
作者单位：University of Southern California; Centre for Economic Policy Research - UK; Hautes Etudes Commerciales (HEC) Paris; National Bureau of Economic Research
摘要：We develop a theory of secured debt, unsecured debt, and debt with anti-dilution covenants. We assume that, as in practice, covenants convey the right to accelerate if violated, but the new secured debt retains its priority even if issued in violation of covenants. We find that such covenants are nonetheless useful: They provide state-contingent financing flexibility, balancing over- and underinvestment incentives. The optimal debt structure is multilayered, combining secured and unsecured deb...
