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作者：Favilukis, Jack; Giammarino, Ron; Pizarro, Jose; Simutin, Mikhail
作者单位：University of British Columbia; University of Toronto
摘要：Tax loss carryforwards (TLCF) - accumulated losses that reduce taxable income - are an important and risky corporate asset. We show theoretically how TLCF affect equity risk: If TLCF are low and used with certainty, equity risk decreases in TLCF because TLCF represent a safe cash flow; if TLCF are high, equity risk increases in TLCF because TLCF increase after-tax cash flows in good times but may expire unused or be deferred in bad times. In a calibrated model the latter effect dominates and r...
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作者：Gopalan, Radhakrishnan; Li, Renping; Zaldokas, Alminas
作者单位：Washington University (WUSTL); Tulane University; National University of Singapore
摘要：A firm's gross margin increases by 0.8 p.p. after forming a new direct board connection to a product market peer. Gross margin also rises by 0.4 p.p. after a connection is formed to a peer indirectly through a third intermediate firm. Further, using barcode-level data of 2.7 million products, we show that new board connections are related to higher consumer good prices, a greater tendency for market allocation, and slower new product introductions. The effects are stronger when the newly conne...
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作者：Cao, Charles; Liang, Bing; Yao, Tong; Zhang, Andrew
作者单位：Chinese University of Hong Kong; Tsinghua University; University of Massachusetts System; University of Massachusetts Amherst; University of Iowa; Nevada System of Higher Education (NSHE); University of Nevada Las Vegas
摘要：We find that market anomalies exhibit heterogeneous liquidity characteristics - long-short portfolios based on long-horizon (short-horizon) anomalies have liquidity-provision (liquidity-demanding) characteristics. Consistent with such liquidity characteristics, institutional investors tend to trade in the wrong (right) direction of long-horizon (short-horizon) anomalies. Further analysis shows that exogenous liquidity factors and institutional liquidity preferences have causal effects on the o...
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作者：Allen, Jason; Carmichael, Kyra; Clark, Robert; Li, Shaoteng; Vincent, Nicolas
作者单位：University of Wisconsin System; University of Wisconsin Madison; Northwestern University; University of Toronto; Bank of Canada; Universite de Montreal; HEC Montreal
摘要：In many countries, the cost of housing has greatly outpaced income growth, leading to an affordability crisis. Leveraging Canadian loan-level data, we document an increasing reliance of first-time home-buyers on financial help from their parents through mortgage co-signing. We show that parental support can effectively relax the borrowing constraints of their adult children, and allow them to enter the housing market early. However, we also identify a novel channel through which parental suppo...
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作者：Mclean, R. David; Pontiff, Jeffrey; Reilly, Christopher
作者单位：Boston College; University of Texas System; University of Texas Dallas
摘要：We assess how nine different categories of market participants trade relative to a comprehensive forecastedreturn variable based on 193 predictors. Firms and short sellers tend to be the smart money-both sell stocks with low-forecasted returns, and their trades predict returns in the intended direction. Retail investors trade against forecasted returns. Retail investors' and institutions' trades predict returns opposite to the intended direction. This poor trading performance is driven by trad...
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作者：Brugler, James; Khomyn, Marta; Putnins, Talis
作者单位：University of Melbourne; Adelaide University; University of Adelaide; University of Technology Sydney
摘要：Financial benchmarks such as LIBOR underpin the pricing of trillions of dollars of contracts around the world. We evaluate the quality of benchmark prices using a state-space model to separate information from noise. Applying the method to LIBOR benchmarks and their replacements, we find that alternative reference rates (ARRs) are less noisy in four of the five currencies. However, the USD ARR is considerably more noisy, resulting in billions of dollars of noise-related wealth transfers betwee...
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作者：Auer, Raphael; Monnet, Cyril; Shin, Hyun Song
作者单位：University of Bern; Study Center Gerzensee
摘要：Distributed ledgers promise to enable the classical vision of money as a universal transaction record. But is it ever optimal to update a ledger through decentralized consensus? Analyzing an exchange economy with credit, we show that centralized updating is optimal when long-term rewards are more valued, minimizing redundant validation costs and maximizing economic surplus. Decentralization becomes preferable under weaker intertemporal incentives and when validators are drawn from market parti...
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作者：Nurisso, George C.
作者单位：State University System of Florida; University of Florida
摘要：Short sellers convey negative information to securities lenders when borrowing shares. I model how this information generates novel interactions between institutional investors' lending and trading decisions. Lower lending fees improve information quality by facilitating more shorting, but also make it less costly for lenders to strategically recall shares to enhance their trading profits. Lenders may then need to raise fees to commit not to recall shares and thereby attract short sellers. Con...
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作者：Randl, Otto; Simion, Giorgia; Zechner, Josef
作者单位：Vienna University of Economics & Business
摘要：This paper derives a stochastic discount factor for currency-hedged government bonds of developed markets by projecting returns onto the unconditional mean-variance efficient (UMVE) portfolio. Priced risks of international bonds differ fundamentally from those of currencies. The UMVE portfolio achieves a Sharpe ratio over twice the average of individual markets, with the market price of risk peaking during crises and periods with high inflation dispersion. While bond returns exhibit a strong f...
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作者：Honigsberg, Colleen; Hu, Edwin; Jackson Jr, Robert J.
作者单位：University of Virginia; New York University
摘要：The regulatory framework for financial advisors is fragmented, with multiple state and federal regulators. Prior empirical literature on financial advisors has largely focused on a single subset of financial advisors, but we create a database containing brokers regulated primarily by FINRA, investment advisers regulated by the SEC or state securities regulators, and insurance producers regulated by state insurance regulators. There is significant overlap across the regimes; more than 40% of th...
