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作者：Kim, Sehoon; Kumar, Nitish; Lee, Jongsub; Oh, Junho
作者单位：State University System of Florida; University of Florida; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark; Seoul National University (SNU); Hankuk University Foreign Studies
摘要：Firms increasingly borrow via sustainability-linked loans (SLLs), contractually tying spreads to their ESG performance. SLLs vary widely in transparency of disclosure regarding sustainability-related contract details and tend to be issued to borrowers with superior ESG profiles. While high-transparency SLL borrowers maintain this performance, low-transparency SLL borrowers exhibit significantly deteriorating ESG performance after issuance. Both high-and low-transparency borrowers pay substanti...
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作者：Gupta, Arpit; Hansman, Christopher; Mabille, Pierre
作者单位：Emory University; INSEAD Business School
摘要：We show that financial constraints lead to spatial misallocation and contribute to racial disparities in housing and wealth accumulation. Using bunching and difference-in-differences designs, we document that down payment constraints disproportionately limit the ability of Black households to access housing in high-opportunity areas. We build a dynamic life-cycle model to examine the long-term wealth effects of these leverage distortions on group differences in wealth accumulation. Black house...
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作者：Dangl, Thomas; Halling, Michael; Yu, Jin; Zechner, Josef
作者单位：Technische Universitat Wien; University of Luxembourg; Monash University; Vienna University of Economics & Business
摘要：This paper presents a framework to study how investors' social concerns affect technology choices. Consequentialist preferences (disutility from aggregate harm) influence outcomes only if investors coordinate, unless internalized harm is independent of an investor's mass. Non-consequentialist preferences (disutility from stockholdings) affect outcomes regardless of coordination. Both preferences have stronger impact when risk-sharing consequences of technology supply are small (e.g., highly co...
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作者：Feng, Jian; Huo, Xiaolin; Liu, Xin; Mao, Yifei; Xiang, Hong
作者单位：Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen); University of Hong Kong; University of International Business & Economics; University of Macau; Santa Clara University; Hong Kong Polytechnic University
摘要：Identifying firms' bond-market-specific economic links through credit-rating comovement of their corporate bonds, a long-short strategy for stocks based on these links generates a risk-adjusted alpha of 0.45% per month, which cannot be explained by existing economic links in the literature. Market segmentation between the equity and bond markets appears to be the underlying mechanism: (i) The cross-return predictability is muted in the bond market; (ii) The cross-return predictability is mitig...
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作者：Nyborg, Kjell G.; Woschitz, Jiri
作者单位：University of Zurich; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK; BI Norwegian Business School
摘要：For variables with a term structure, the standard difference-in-differences (DiD) model is predisposed toward misspecification, even under random assignment, because of heterogeneity over the maturity spectrum and imperfect matching between treated and control units. Estimated treatment effects that are false, biased, or hard to interpret become a concern. Neither unit fixed effects nor standard term-structure controls resolve the problem. Solutions that overcome imperfect matching involve est...
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作者：Alfaro, Ivan; Park, Hoonsuk
作者单位：BI Norwegian Business School; University of Melbourne
摘要：Using daily banking and credit card data for thousands of households linked to U.S. publicly listed employers, we find novel evidence that firm-specific uncertainty persistently reduces future spending and spurs precautionary savings. A one-standard-deviation rise in option-implied firm volatility-akin to the S&P 500 VIX-predicts a $106 monthly spending drop (8 hours of wages) and a $193 increase in bank balances, reflecting notable cutbacks in typical non-durable goods and services. The mecha...
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作者：Cong, Lin William; Feng, Guanhao; He, Jingyu; He, Xin
作者单位：Cornell University; City University of Hong Kong; Chinese Academy of Sciences; University of Science & Technology of China, CAS; National Bureau of Economic Research
摘要：We introduce a new class of tree-based models, P-Trees, for analyzing (unbalanced) panel of individual asset returns, generalizing high-dimensional sorting with economic guidance and interpretability. Under the mean- variance efficient framework, P-Trees construct test assets that significantly advance the efficient frontier compared to commonly used test assets, with alphas unexplained by benchmark pricing models. P-Tree tangency portfolios also constitute traded factors, recovering the prici...
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作者：Breitung, Christian; Mueller, Sebastian
作者单位：Technical University of Munich
摘要：We leverage the capabilities of GPT-3 to generate historical business descriptions for over 63,000 global firms. Utilizing these descriptions and advanced embedding models from OpenAI, we construct time-varying business networks that represent business links across the globe. We showcase the performance of these networks by studying the lead-lag effect for global stocks and predicting target firms in M&A deals. We demonstrate how masking firm-specific details can mitigate look-ahead bias conce...
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作者：Yu, Gloria Yang
作者单位：Singapore Management University
摘要：Does the early-career exposure of bank CEOs to the 1980s savings and loans (S&L) crisis affect the outcomes of banks they subsequently managed? We measure the S&L crisis exposure by the bank failure rate in the states where CEOs worked during the S&L crisis. Armed with this measure, we find that banks managed by CEOs with higher S&L crisis exposure took on less risk and that these banks better survived the financial crisis of 2008. In particular, CEOs adjusted risk attitudes in areas causing t...
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作者：Barroso, Pedro; Detzel, Andrew; Maio, Paulo
作者单位：Universidade Catolica Portuguesa; Baylor University; Hanken School of Economics; Getulio Vargas Foundation
摘要：This paper shows that leading theories of the beta anomaly fail to explain the anomaly's conditional performance. Abnormal returns and Sharpe ratios of betting-against-beta (BAB) factors rise following months with below-median realized volatility, even controlling for mispricing, limits to arbitrage, lottery preferences, analyst disagreement, and sentiment. Moreover, the leverage constraints theory counterfactually predicts that market and BAB Sharpe ratios increase with volatility. We further...
