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作者：Ahnert, Toni; Hoffmann, Peter; Monnet, Cyril
作者单位：European Central Bank; Centre for Economic Policy Research - UK; University of Bern; Study Center Gerzensee
摘要：We propose a model of lending, payments choice, and privacy in the digital economy. While digital payments enable merchants to sell goods online, they reveal information to their lender. Cash guarantees anonymity, but limits distribution to less efficient offline venues. In equilibrium, merchants trade off the efficiency gains from online distribution (with digital payments) and the informational rents from staying anonymous (with cash). While new technologies can reduce the privacy concerns a...
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作者：Chen, Huaizhi; Evans, Richard; Sun, Yang
作者单位：University of Notre Dame; University of Virginia; Brandeis University
摘要：Using a panel of self-declared benchmarks, we examine funds' use of mismatched benchmarks over time. Mismatching is high at the beginning of our sample (45 % of TNA in 2008), consistent with prior studies, but declines significantly over time (27 % in 2020), driven by existing specialized funds changing benchmarks to match their style. Market forces including investor learning, institutional governance, market competition, and product positioning all play a role in benchmark correction decisio...
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作者：Korteweg, Arthur; Panageas, Stavros; Systla, Anand
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：We evaluate private equity (PE) performance using investor-specific stochastic discount factors, and examine whether public pension plans could benefit from changing their allocation to PE. Plans invest in PE funds with higher than average risk-adjusted performance. This is mainly due to access to successful managers, not superior selection skill. Decomposing returns into risk-compensation and alpha, we find that some plans obtain higher PE returns by taking more risk without earning higher, a...
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作者：Bergeaud, Antonin; Schmidt, Julia; Zago, Riccardo
作者单位：Hautes Etudes Commerciales (HEC) Paris; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; European Central Bank; Bank of France
摘要：When a technology becomes the new standard, the firms that are leaders in producing this technology gain a competitive advantage. Matching the semantic content of patents to standard documents, we show that firms closer to the new technology standard increase their market share and sales. In addition, if they operate in a competitive market, these firms also increase their R&D expenditure. Yet, these effects are temporary since standardization creates a common technological basis for everyone,...
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作者：Goldstein, Itay; Liu, Bibo; Yang, Liyan
作者单位：University of Pennsylvania; Tsinghua University; University of Toronto
摘要：We surveyed all Chinese public firms in 2019 and 2022 to examine the real effects of financial markets. Over 90% of firms say they actively monitor the stock market, and the most common reasons they provide are that they learn new information from the price and that they depend on the price for financing. Focusing on the learning channel, we examine how the responses relate to firm characteristics and actions. Firms that indicate learning have characteristics that suggest greater benefit from ...
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作者：Eaton, Gregory W.; Green, T. Clifton; Roseman, Brian S.; Wu, Yanbin
作者单位：University System of Georgia; University of Georgia; Emory University; Oklahoma State University System; Oklahoma State University - Stillwater; State University System of Florida; University of Florida
摘要：Retail option traders are typically net purchasers of short-dated options, especially out-of-the-money contracts, whereas they frequently sell long-dated options. Using retail brokerage platform outages as shocks to trading, we find that outages are associated with commensurate demand shocks to implied volatility. Outages produce lower implied volatility on average, with stronger reductions for options that tend to be purchased by retail investors. In contrast, implied volatility increases for...
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作者：Janas, Pawel
作者单位：California Institute of Technology; National Bureau of Economic Research
摘要：I examine the effects of public debt on municipal services and real outcomes during financial crises using a unique archival dataset of U.S. cities from 1924 to 1943. Unlike today's countercyclical fiscal policies, the Great Depression provides a rare setting to observe fiscal shocks without substantial intergovernmental or Federal Reserve support. My findings show that financial market frictions-especially the need to refinance debt-led cities to sharply cut expenditures, particularly on capi...
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作者：Kilic, Mete; Tuzel, Selale
作者单位：University of Southern California
摘要：We document that 20% of Compustat firms exhibit above-median investment rates despite having below-median marginal product of capital (MPK), seemingly misallocating resources. These firms are typically younger and more likely to experience substantial upwards jumps in sales and MPK in subsequent years. They contribute significantly to innovation, and their investments predict future aggregate productivity, creating value beyond their current MPK. We propose and estimate a simple endogenous fir...
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作者：Goodman, Aaron; Puri, Indira
作者单位：New York University
摘要：We document a new anomaly that we prove standard preference models are unable to capture, regardless of functional form or parametric specification used. Analyzing trading behavior in the binary option market for retail investors, we find that market participants purchase binary options although strictly dominant bull spreads are available at lower prices: 15% of S&P index, 19% of gold, and 25% of silver trades violate no-dominance conditions consistently across three different asset classes. ...
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作者：Muravyev, Dmitriy; Pearson, Neil D.; Pollet, Joshua M.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Michigan State University
摘要：Several influential studies show that transformations of implied volatilities calculated from options prices predict stock returns. This predictability is puzzling because market participants readily observe options prices. We find that this predictability is consistent with implied volatilities reflecting stock borrow fees that are known to predict stock returns. We derive a formula relating the option-implied volatility spread to the borrow fee. Motivated by this relation, we show that the r...
