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作者：Filippou, Ilias; Maurer, Thomas A.; Pezzo, Luca; Taylor, Mark P.
作者单位：State University System of Florida; Florida State University; University of Hong Kong; University of Louisiana System; University of New Orleans; Washington University (WUSTL)
摘要：Transaction costs have a first-order effect on the performance of currency portfolios. Proportional costs based on quoted bid-ask spread are relatively small, but when a fund is large, costs due to the trading volume price impact are sizable and quickly erode returns, leaving many popular strategies unprofitable. A mean-variancetransaction-cost optimized approach (MVTC) that accounts for costs in the optimization efficiently tackles the problem with only relatively minor negative implications ...
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作者：Goldman, Eitan; Gupta, Nandini; Israelsen, Ryan
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; Michigan State University; Michigan State University's Broad College of Business
摘要：Comparing coverage of the same corporate financial news by the conservative Wall Street Journal and the liberal New York Times , we find strong evidence of political polarization in their reporting on both the intensive and extensive margins of coverage. We show that this politics-induced disagreement in corporate financial news leads to an increase in abnormal trading volume for the most politically extreme firms. Our results highlight a new source of investor disagreement, arising out of pol...
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作者：Ardia, David; Barras, Laurent; Gagliardini, Patrick; Scaillet, Olivier
作者单位：Universite de Montreal; HEC Montreal; Universite de Montreal; HEC Montreal; University of Luxembourg; Universita della Svizzera Italiana; University of Geneva; University of Geneva; University of Luxembourg
摘要：We develop a novel approach to separate alpha and beta under model misspecification. It comes with formal tests to identify less misspecified models and sharpen the return decomposition of individual funds. Our hedge fund analysis reveals that: (i) prominent models are as misspecified as the CAPM, (ii) several factors (time -series momentum, variance, carry) capture alternative strategies and lower performance in all investment categories, (iii) fund heterogeneity in alpha and beta is large-an...
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作者：Murray, Scott; Xia, Yusen; Xiao, Houping
作者单位：University System of Georgia; Georgia State University
摘要：We test the efficient market hypothesis by using machine learning to forecast stock returns from historical performance. These forecasts strongly predict the cross-section of future stock returns. The predictive power holds in most subperiods and is strong among the largest 500 stocks. The forecasting function has important nonlinearities and interactions, is remarkably stable through time, and captures effects distinct from momentum, reversal, and extant technical signals. These findings ques...
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作者：Ewens, Michael; Xiao, Kairong; Xu, Ting
作者单位：Columbia University; National Bureau of Economic Research; University of Toronto
摘要：We quantify the costs of major disclosure and governance regulations by exploiting a regulatory quirk: many rules trigger when a firm's public float exceeds a threshold. Consistent with firms avoiding costly regulation, we document significant bunching around three major regulatory thresholds. Estimations reveal that the three examined rules' compliance costs range from 1.2% to 1.8% of market capitalization for firms near thresholds. For a median U.S. public company, total costs amount to 4.3%...
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作者：Babina, Tania; Fedyk, Anastassia; He, Alex; Hodson, James
作者单位：Columbia University; National Bureau of Economic Research; University of California System; University of California Berkeley; University System of Maryland; University of Maryland College Park; Slovenian Academy of Sciences & Arts (SASA); Jozef Stefan Institute
摘要：We study the use and economic impact of AI technologies. We propose a new measure of firm-level AI investments using employee resumes. Our measure reveals a stark increase in AI investments across sectors. AI-investing firms experience higher growth in sales, employment, and market valuations. This growth comes primarily through increased product innovation. Our results are robust to instrumenting AI investments using firms' exposure to universities' supply of AI graduates. AI-powered growth c...
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作者：Cooper, Michael; Gulen, Huseyin; Ion, Mihai
作者单位：Utah System of Higher Education; University of Utah; Purdue University System; Purdue University; University of Arizona
摘要：We show that the performance of the new factor models of Hou et al. (2015) and Fama and French (2015) depends crucially on how their investment factor is constructed. Both models use growth in total assets to measure investment. Their ability to price the cross-section of returns decreases significantly when the investment factor is constructed using traditional investment measures, or measures that also account for investment in intangibles. In contrast, we find that factors based on growth i...
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作者：Fisher, Jack; Gavazza, Alessandro; Liu, Lu; Ramadorai, Tarun; Tripathy, Jagdish
作者单位：Harvard University; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; University of Pennsylvania; Imperial College London; Bank of England
摘要：In household finance markets, inactive households can implicitly cross -subsidize active households who promptly respond to financial incentives. We assess the magnitude and distribution of cross -subsidies in the mortgage market. To do so, we build a structural model of household mortgage refinancing and estimate it on rich administrative data covering the stock of outstanding mortgages in the UK. We estimate sizeable cross -subsidies that flow from relatively poorer households and those loca...
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作者：Xu, Chenzi; Yang, He
作者单位：Stanford University; Centre for Economic Policy Research - UK; Amazon.com
摘要：Privately issued money often bears default risk, which creates transaction frictions when used as a medium of exchange. The late 19th century US provides a unique context to evaluate the real effects of supplying a new type of money that is safe from default. We measure the local change in monetarytransaction frictions with a market access approach derived from general equilibrium trade theory. Consistent with theories hypothesizing that lowering transaction frictions benefits the traded and i...
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作者：Charoenwong, Ben; Kimura, Yosuke; Kwan, Alan; Tan, Eugene
作者单位：National University of Singapore; Institute of Science Tokyo; Tokyo Institute of Technology; University of Hong Kong; University of Toronto
摘要：In canonical models of investment dynamics under uncertainty, time -to -build in investment decisions implies that uncertainty negatively impacts firm values and aggregate capital productivity. However, capital budgeting, which involves ex -ante information acquisition and state -contingent investment decisions, can potentially ameliorate time -to -build frictions. Reduced -form evidence using firm -level data on sales and investment expectations and errors supports both mechanisms. Incorporat...
