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作者：Baker, Scott R.; Bloom, Nicholas; Davis, Steven J.; Kost, Kyle
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：We use newspapers to create Equity Market Volatility (EMV) trackers at daily and monthly frequencies. Our headline EMV tracker moves closely with the VIX and the S&P500 returns volatility in and out of sample. We exploit the volume of newspaper text to construct forty category-specific EMV trackers. News about commodity markets, interest rates, real estate markets, aggregate activity, and inflation figure prominently in EMV articles. Policy news is another major source of market volatility: 30...
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作者：Sambalaibat, Batchimeg
作者单位：Princeton University
摘要：This paper studies a search-based model of OTC markets in which clients with heterogeneous trading needs direct their trades to one of ex-ante identical dealers. The main insight of the paper is that the way clients sort across dealers shapes dealer-to-dealer trading patterns and, in turn, generates a core-periphery interdealer network structure. Dealers in the model become heterogeneous because they attract different clients in equilibrium. Some dealers attract clients who trade frequently (e...
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作者：Fehder, Daniel C.; Hausman, Naomi; Hochberg, Yael, V
作者单位：University of Southern California; Hebrew University of Jerusalem; Rice University; National Bureau of Economic Research
摘要：Using a regime change in the commercialization of university innovation in 1980 that strongly increased university incentives to patent and license discoveries, we document that an increase in the supply of commercializable innovation attracts venture capital investment to the region. The Bayh-Dole Act shifted ownership of intellectual property stemming from federally-funded research from the federal government to universities, spurring technology transfer into the local area. Because universi...
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作者：Banerjee, Snehal; Breon-Drish, Bradyn; Smith, Kevin
作者单位：University of Michigan System; University of Michigan; University of California System; University of California San Diego; Stanford University
摘要：We study debt and equity valuation when investors have private information and may exhibit differences of opinion. Our model generates several predictions that are consistent with empirical evidence but difficult to reconcile with traditional models. Belief dispersion relates to expected equity and debt returns in opposite directions. Similarly, expected debt (equity) returns typically increase (decrease) with default risk, though these relationships reverse for firms close to bankruptcy. Firm...
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作者：Bordalo, Pedro; Gennaioli, Nicola; La Porta, Rafael; Shleifer, Andrei
作者单位：Bocconi University; Brown University; Harvard University
摘要：We address the joint hypothesis problem in cross-sectional asset pricing by using measured analyst expectations of earnings growth. We construct a firm-level measure of Expectations Based Returns (EBRs) that uses analyst forecast errors and revisions and shuts down any cross-sectional differences in required returns. We obtain three results. First, variation in EBRs accounts for a large chunk of cross-sectional return spreads in value, investment, size, and momentum factors. Second, time varia...
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作者：Baker, Scott R.; Balthrop, Justin; Johnson, Mark J.; Kotter, Jason; Pisciotta, Kevin
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Nebraska System; University of Nebraska Lincoln; Brigham Young University; University of Kansas
摘要：We estimate the causal effect of online sports betting on households' investment, spending, and debt management decisions using household transaction data and a staggered difference-in-differences framework. Following legalization, sports betting spreads quickly, with both the number of participants and frequency of bets increasing over time. This increase does not displace other gambling or consumption but significantly reduces savings, as risky bets crowd out positive expected value investme...
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作者：Boneva, Lena; Kastl, Jakub; Zikes, Filip
作者单位：Swiss National Bank (SNB); Princeton University; Federal Reserve System - USA; Federal Reserve System Board of Governors; Centre for Economic Policy Research - UK; National Bureau of Economic Research
摘要：We study dealers' bidding behavior in the Bank of England's quantitative easing (QE) reverse auctions. Using a granular dataset on both accepted and rejected offers together with an equilibrium model of bidding behavior, we estimate dealers' valuations of securities offered to the Bank of England. We also recover the rents accruing to dealers from participating in the auctions as opposed to liquidating gilts in the secondary market, thereby possibly causing prices to change. These rents or so-...
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作者：Ma, Wenting; Ouimet, Paige; Simintzi, Elena
作者单位：University of Massachusetts System; University of Massachusetts Amherst; University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research; European Corporate Governance Institute; Center for Economic & Policy Research (CEPR)
摘要：Mergers and acquisitions (M&As) are an important mechanism through which technology is adopted by firms. Firms with greater technological skill acquire less tech-savvy firms and, subsequently, increase technology investment at the target. This has important implications for labor reallocation following M&As. We show that target establishments become less routine intensive post-M&A, especially when a target had greater routine occupational employment, compared to its acquirer, ex-ante. We also ...
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作者：Dottling, Robin; Rola-Janicka, Magdalena
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Imperial College London
摘要：We analyze optimal carbon pricing under financial constraints and endogenous climate-related transition and physical costs. The socially optimal emissions tax may be above or below a Pigouvian benchmark, depending on the strength of physical climate impacts on pledgeable resources. We derive necessary conditions for emissions taxes alone to implement a constrained-efficient allocation, and show a cap-and-trade system may dominate emissions taxes because it can be designed to have a less advers...
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作者：Brugler, James; Comerton-Forde, Carole
作者单位：University of Melbourne
摘要：Dark pools can restrict access for specific trader types. We compare execution outcomes between dark pools that restrict high frequency trader access and those that do not. We find that trades executed in dark pools with more access restrictions have less order flow information leakage, adverse selection risk and post-trade order imbalances than trades in less restricted pools. Evidence from exogenous dark pool closures demonstrates that these differences are causal. The ability to segment ord...
