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作者：Li, Sicong; Demiguel, Victor; Martin-Utrera, Alberto
作者单位：Chinese University of Hong Kong; University of London; London Business School; Iowa State University
摘要：We propose a formal statistical test to compare asset-pricing models in the presence of price impact. In contrast to the case without trading costs, we show that in the presence of price-impact costs different models may be best at spanning the investment opportunities of different investors depending on their absolute risk aversion. Empirically, we find that the five-factor model of Hou et al. (2021), the six-factor model of Fama and French (2018) with cash-based operating profitability, and ...
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作者：Kogan, Shimon; Makarov, Igor; Niessner, Marina; Schoar, Antoinette
作者单位：Reichman University; University of Pennsylvania; University of London; London School Economics & Political Science; Indiana University System; Indiana University Bloomington; Massachusetts Institute of Technology (MIT)
摘要：Trading in cryptocurrencies grew rapidly over the last decade, dominated by retail investors. Using data from eToro, we show that retail traders are contrarian in stocks and gold, yet the same traders follow a momentum-like strategy in cryptocurrencies. The differences are not explained by individual characteristics, investor composition, inattention, differences in fees, or preference for lottery-like assets. We conjecture that retail investors have a model where cryptocurrency price changes ...
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作者：Liu, Xuewen; Wang, Pengfei; Yang, Zhongchao
作者单位：University of Hong Kong; Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen); Wuhan University
摘要：We present a rational expectations model of credit-driven crises, providing a new perspective to explain why credit booms can lead to severe financial crises and aftermath slow economic recoveries. In our model economy, banks can operate in two types of business. They are sequentially aware of the deterioration of fundamentals of the speculative business and decide whether to continue credit extension in that business or liquidate capital and move into the traditional business. However, becaus...
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作者：Cookson, J. Anthony; Lu, Runjing; Mullins, William; Niessner, Marina
作者单位：University of Colorado System; University of Colorado Boulder; University of Alberta; University of California System; University of California San Diego; Indiana University System; Indiana University Bloomington
摘要：We examine social media attention and sentiment from three major platforms: Twitter, StockTwits, and Seeking Alpha. We find that, even after controlling for firm disclosures and news, attention is highly correlated across platforms, but sentiment is not: its first principal component explains little more variation than purely idiosyncratic sentiment. Using market events, we attribute differences across platforms to differences in users (e.g., professionals versus novices) and differences in pl...
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作者：Koijen, Ralph S. J.; Lee, Hae Kang; Van Nieuwerburgh, Stijn
作者单位：University of Chicago; University of South Carolina System; University of South Carolina Columbia; Columbia University
摘要：We study aggregate lapsation risk in the life insurance sector. We construct two lapsation risk factors that explain a large fraction of the common variation in lapse rates of the 30 largest life insurance companies. The first is a cyclical factor that is positively correlated with credit spreads and unemployment, while the second factor is a trend factor that correlates with the level of interest rates. Using a novel policy -level database from a large life insurer, we examine the heterogenei...
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作者：Brogaard, Jonathan; Gerasimova, Nataliya; Rohrer, Maximilian
作者单位：Utah System of Higher Education; University of Utah; BI Norwegian Business School; Norwegian School of Economics (NHH)
摘要：This paper provides novel evidence that female politicians increase the proportion of US government procurement contracts allocated to women -owned firms. For identification, we use a regression discontinuity design on a sample of mixed -gender elections in the US House of Representatives. The effect grows over female representative's tenure and concentrates in female representatives who are on powerful congressional committees. Changes in the pool of and behavior by government contractors can...
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作者：Ha, Sangeun; Ma, Fangyuan; Zaldokas, Alminas
作者单位：Copenhagen Business School; Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen); Hong Kong University of Science & Technology
摘要：We examine how executive compensation can be designed to facilitate product market collusion. We look at the 2013 decision to close several regional offices of the U.S. Department of Justice, which lowered antitrust enforcement for firms located near these closed offices. We argue this made collusion more appealing to shareholders, and find that these firms increased the sensitivity of executive pay to local rivals' performance, consistent with rewarding the managers for colluding with them. T...
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作者：Bogle, David A.; Campbell, Gareth; Coyle, Christopher; Turner, John D.
作者单位：Queens University Belfast; Queens University Belfast
摘要：Why did shareholder liability disappear? We address this question by looking at its use by British insurance companies until its complete disappearance. We explore three possible explanations for its demise: (1) regulation and government-provided policyholder protection meant that it was no longer required; (2) it had become de facto limited; and (3) shareholders saw an opportunity to expunge something they disliked when insurance companies grew in size. Using hand-collected archival data, our...
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作者：Spaenjers, Christophe; Steiner, Eva
作者单位：University of Colorado System; University of Colorado Boulder; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Using granular data on U.S. hotel investments over the past two decades, we show that industry-specialist PE firms achieve higher net income from operations and higher capital gains from sale than generalist PE firms for comparable properties. Those results are driven by specialists implementing more and larger cost savings without compromising revenues. Fundamentally, specialists utilize their hotel-specific operating expertise to produce superior performance outcomes. We show that specialist...
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作者：Deng, Jun; Pan, Huifeng; Yan, Hongjun; Yang, Liyan
作者单位：University of International Business & Economics; DePaul University; University of Toronto
摘要：We analyze two insider-trading regulations recently introduced by the Securities and Exchange Commission: mandatory disclosure and cooling-off period. The former requires insiders disclose trading plans at adoption, while the latter mandates a delay period before trading. These policies affect investors' trading profits, risk sharing, and hence their welfare. If the insider has sufficiently large hedging needs, in contrast to the conventional wisdom from sunshine trading, disclosure reduces th...
