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作者：Bali, Turan G.; Gunaydin, A. Doruk; Jansson, Thomas; Karabulut, Yigitcan
作者单位：Georgetown University; Sabanci University; Sveriges Riksbank; Frankfurt School Finance & Management; Centre for Economic Policy Research - UK
摘要：Contrary to the theoretical principle that higher risk is compensated with higher expected return, the literature shows that low-risk stocks outperform high-risk stocks. Using a large-scale household dataset, we provide an explanation for this puzzling result that the anomalous negative risk-return relation is only confined to those stocks predominantly held by rich households, whereas the anomaly disappears for stocks held by non-rich households and institutional investors. We find that socia...
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作者：Addoum, Jawad M.; Ng, David T.; Ortiz-Bobea, Ariel
作者单位：Cornell University
摘要：Climate scientists project rising average temperatures and increasing frequency of temperature extremes. We study how extreme temperatures affect corporate profitability across different industries and whether sell-side analysts understand these relationships. We combine granular daily data on temperatures across the continental U.S. with locations of public companies' establishments and build a panel of quarterly firm-level temperature exposures. Extreme temperatures significantly impact earn...
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作者：Antill, Samuel; Grenadier, Steven R.
作者单位：Harvard University; Stanford University
摘要：Using a dynamic real-option model of litigation, we show that the increasingly popular practice of third-party litigation financing has ambiguous implications for total ex-post liti-gant surplus. A defendant and a plaintiff bargain over a settlement payment. The defendant takes costly actions to avoid deadweight losses associated with large transfers to the plain-tiff. Litigation financing bolsters the plaintiff, leading to larger deadweight losses. How-ever, by endogenously deterring the defe...
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作者：Li, Xuelin; Liu, Tong; Taylor, Lucian A.
作者单位：University of South Carolina System; University of South Carolina Columbia; Massachusetts Institute of Technology (MIT); University of Pennsylvania
摘要：How does common ownership affect innovation? We study this question using project -level data on pharmaceutical startups and their venture capital (VC) investors. We find that common ownership leads VCs to hold back projects, withhold funding, and redirect inno-vation at lagging startups. Effects are stronger where R&D costs are larger, consistent with common owners aiming to cut duplicate costs. Effects are also stronger where techno-logical similarity is greater and preexisting competition i...
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作者：Knesl, Jiri
作者单位：University of Oxford
摘要：I examine the asset pricing implications of technological innovations that allow capital to displace labor: automation. I develop a theory in which firms with displaceable labor are negatively exposed to such technology shocks. In the model, firms optimally adopt tech-nology to gain competitive advantage but in equilibrium competition erodes profits and decreases firm value. Empirically, I find that firms with high share of displaceable labor have negative exposure to technology shocks. A long...
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作者：Edmans, Alex; Gosling, Tom; Jenter, Dirk
作者单位：University of London; London Business School; University of London; London School Economics & Political Science
摘要：We survey directors and investors on the objectives, constraints, and determinants of CEO pay. We find that directors face constraints beyond participation and incentives, and that pay matters not to finance consumption but to address CEOs' fairness concerns. 67% of directors would sacrifice shareholder value to avoid controversy, leading to lower levels and one-size-fits-all structures. Shareholders are the main source of constraints, suggesting directors and investors disagree on how to maxi...
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作者：Yan, Jingda; Yu, Jialin
作者单位：Renmin University of China; Hong Kong University of Science & Technology
摘要：Cross-stock momentum builds on the asymmetry in lead-lag linkages and the difference between long-run and short-run contemporaneous co-movements. Data-driven cross-stock linkages generate a monthly alpha of 1.62% (t-stat=10.03). The asymmetry distinguishes cross-stock momentum from factor momentum, and industry momentum is not subsumed by factor momentum. Factor momentum profit is mostly due to the high cross-stock links. The data-driven linkages vary faster over time than those in previous st...
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作者：Grothe, Magdalena; Pancost, N. Aaron; Tompaidis, Stathis
作者单位：European Central Bank; University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin
摘要：We analyze competition and risk management at central counterparties (CCPs) using a granular transaction-level dataset, and find that CCPs decrease collateral in response to lower collateral at their competitors, an effect that becomes stronger as the correlation between positions increases. To interpret our findings, we derive a model in which collateral is driven by risk and CCP competition. Our results are consistent with the model and suggest that a single monopolistic CCP would require mo...
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作者：Chod, Jiri; Lyandres, Evgeny
作者单位：Boston College; Tel Aviv University
摘要：This paper models benefits of quoting output price in units of crypto token under duopolistic product market competition with switching costs. Pricing output in tokens pro-vides a firm with a de facto second-mover advantage, raising its equilibrium profit. In ad-dition, the firm can further increase its equilibrium profit by committing via a smart con-tract to the number of tokens sold. By focusing on utility tokens used at the product mar-ket competition stage, the paper highlights potential ...
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作者：Fich, Eliezer M.; Parrino, Robert; Tran, Anh L.
作者单位：Drexel University; University of Texas System; University of Texas Austin; University of London
摘要：SEC Rule10b5-1 plans are intended to limit the ability of insiders to trade opportunistically. We study insider stock sales by CEOs both under and outside of these plans. While both groups exhibit opportunism, this behavior is more limited in plan sales and non-plan sales in well-governed firms. Furthermore, opportunism in plan sales is greater for transactions representing a larger fraction of the CEO's firm-related wealth. CEOs can circumvent the intent of Rule 10b5-1 by exercising their dis...
