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作者：Beshears, John; Choi, James J.; Clayton, Christopher; Harris, Christopher; Laibson, David; Madrian, Brigitte C.
作者单位：National Bureau of Economic Research; Yale University
摘要：We study the socially optimal level of illiquidity in an economy populated by households with taste shocks and present bias with naive beliefs. The government chooses mandatory contributions to accounts, each with a different pre-retirement withdrawal penalty. Collected penalties are rebated lump sum. When households have homogeneous present bias, beta, the social optimum is well approximated by a single account with an early-withdrawal penalty of 1 - beta. When households have heterogeneous p...
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作者：Golez, Benjamin; Matthies, Ben
作者单位：University of Notre Dame; University of Notre Dame
摘要：Do investors interpret central bank target rate decisions as signals about the current state of the economy? We study this question using a short-term equity asset that entitles the owner to the near-term dividends of the aggregate stock market. We develop a stylized model of monetary policy and the equity term structure and derive tests of Fed information effects using the short-term asset announcement return. Consistent with the existence of information effects, we find that the short-term a...
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作者：Evans, Richard B.; Moussawi, Rabih; Pagano, Michael S.; Sedunov, John
作者单位：University of Virginia; Villanova University
摘要：ETF market makers can satisfy excess demand in secondary markets by selling shares that are not yet created. While this ability to operationally short is not unique to ETFs, it plays a central role in ETF liquidity provision. We propose and validate a novel operational shorting measure. In addition to constituting a majority of ETF short interest, it is associated with higher retail trading activity and short-term return reversals, consistent with liquidity-supplying motives. Accounting for op...
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作者：Lee, Robin Y.
作者单位：University of Alberta
摘要：This paper examines the causal role of face-to-face (F2F) interactions in generating local informational advantages for mutual fund managers. Using COVID-19 lockdowns as an exogenous shock, I show that fund managers' performance on local stocks declined relative to distant stocks when in-person meetings were curtailed, driven by impaired investment timing rather than changes in firm fundamentals. I investigate two distinct benefits of F2F interactions arising from interpersonal cues: trust-bui...
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作者：Chang, Jeffery (Jinfan); Du, Huancheng; Lou, Dong; Polk, Christopher
作者单位：The Chinese University of Hong Kong, Shenzhen; Central University of Finance & Economics; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK
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作者：D'Acunto, Francesco; Ghosh, Pulak; Rossi, Alberto G.
作者单位：Georgetown University; Indian Institute of Management (IIM System); Indian Institute of Management Bangalore
摘要：We study the nature and effects of cultural biases in choice under risk and uncertainty by comparing peer-to-peer loans the same individuals (lenders) make alone and after observing robo-advised suggestions. When unassisted, lenders are more likely to choose co-ethnic borrowers, facing 8% higher defaults and 7.3pp lower returns. Robo-advising does not affect diversification but reduces lending to high-risk co-ethnic borrowers. Lenders in locations with high inter-ethnic animus drive the result...
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作者：Xu, Nancy R.; You, Yang
作者单位：Boston College; University of Hong Kong
摘要：We propose a fiscal policy expectations mechanism. When bad macro news arrives (in our study, when initial jobless claims (IJC) are higher than expected), investors may expect more generous government spending and drive up aggregate stock prices through the expected cash flow channel. Using a time-series sample from January 2013 to March 2021, we find that this phenomenon emerges when newspapers mention fiscal policy more. In the cross section, firms expected to receive more government spendin...
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作者：Miller, Shane; Yimfor, Emmanuel; Zhang, Ye
作者单位：University of Michigan System; University of Michigan; Columbia University
摘要：Institutional and individual investors evaluate private market opportunities systematically differently, even facing identical choices. In a survey experiment, 593 institutional and 445 individual investors assess venture capital fund profiles with independently randomized GP characteristics. Institutions heavily weight past fund performance, consistent with risk-averse investor demand calibrated to VC markets. Individuals largely ignore performance, favoring educational credentials instead. A...
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作者：van Binsbergen, Jules H.
作者单位：University of Pennsylvania; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：Using a panel of international government bond data, I construct fixed income portfolios that match the duration of the dividend strips of the local aggregate stock market index. I find that these bond portfolios have similar realized return performance as their stock counterparts while also exhibiting similar or higher levels of volatility. These results provide novel insights regarding the equity risk premium and excess volatility puzzles (bubbles) and their measurement. I present several po...
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作者：Sarto, Andres; Wang, Olivier
摘要：Over the past two decades, shadow banks have significantly expanded their share of residential mortgage lending, even surpassing pre-financial crisis levels. This surge is often attributed to post-crisis regulatory changes and improvements in shadow banks' technology. In this paper, we document a new driving force: the persistent decline in interest rates. When interest rates are high, cheap deposit funding provides banks with a significant competitive advantage against shadow banks relying on...
