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作者：Coraggio, Luca; Pagano, Marco; Scognamiglio, Annalisa; Tag, Joacim
作者单位：University of Naples Federico II; University of Naples Federico II; Hanken School of Economics; Research Institute of Industrial Economics (IFN)
摘要：We develop a novel measure of job-worker allocation quality (JAQ) by exploiting employer-employee data with machine learning techniques. Based on our measure, the quality of job-worker matching correlates positively with individual labor earnings and firm productivity, as well as with market competition, non-family firm status, and employees' human capital. Management plays a key role in job-worker matching: when managerial hirings and firings persistently raise management quality, the matchin...
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作者：Aristidou, Andreas; Giga, Aleksandar; Lee, Suk; Zapatero, Fernando
作者单位：Netflix, Inc.; Delft University of Technology; University of New South Wales Sydney; Boston University
摘要：We explore the extent to which aspirations - such as those forged in the course of social interactions - explain 'puzzling' behavioral patterns in investment decisions. We motivate an aspirational utility, reminiscent of Friedman and Savage (1948), where social considerations ( e.g. , status concerns) provide an economic foundation for aspirations. We show this utility can explain a range of observed investor behaviors, such as the demand for both right- and left-skewed assets; aspects of the ...
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作者：Horvath, Ferenc
作者单位：University of Liverpool
摘要：We develop a novel recovery theorem based on no-arbitrage principles. To implement our Arbitrage-Based Recovery Theorem empirically, one needs to observe the Arrow-Debreu prices only for one single maturity. We perform several different density tests and mean prediction tests using more than 26 years of S&P 500 options data, and we find evidence that our method can correctly recover the probability distribution of the S&P 500 index return on a monthly horizon, despite the presence of a non-tri...
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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; 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：Adelino, Manuel; Schoar, Antoinette; Severino, Felipe
作者单位：Duke University; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
摘要：This paper develops a difference-in-differences estimator that uses annual changes in the conforming loan limit and the 80% loan-to-value (LTV) threshold to isolate the impact of easier access to credit on house prices. Houses that become eligible for financing with an 80% LTV conforming loan increase in value by about $1.17 per square foot, controlling fora rich set of characteristics. Our estimates imply a local elasticity of house prices to interest rates below 6, which suggests that intere...
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作者：Vives, Xavier; Ye, Zhiqiang
作者单位：University of Navarra; IESE Business School; Zhejiang University
摘要：We study how information technology (IT) affects lender competition, entrepreneurs' investment, and welfare in a spatial model. The effects of an IT improvement depend on whether it weakens the influence of lender- borrower distance on monitoring costs. If it does, it has a hump-shaped effect on entrepreneurs' investment and social welfare. If not, competition intensity does not vary, improving lender profits, entrepreneurs' investment, and social welfare. When entrepreneurs' moral hazard prob...
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作者：Laarits, Toomas; Sammon, Marco
作者单位：New York University; Harvard University
摘要：Retail investors trade hard-to-value stocks. We document a large and persistent spread in the stock-level intensity of retail trading, even allowing for known biases in the attribution of retail trades. Stocks with a high share of retail-initiated trades exhibit higher shares of intangible capital, longer duration cash flows, and a higher likelihood of being mispriced. Consistent with retail-favored stocks being harder to value, we document that these stocks are less sensitive to earnings news...
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作者：Fama, Eugene F.; French, Kenneth R.
作者单位：University of Chicago; Dartmouth College
摘要：Much of Mike Jensen's research is foundational, including his early publications, which focus on empirical asset pricing. For example, Jensen's alpha, which he developss in Jensen (1968 and 1969) to evaluate mutual fund managers, is the foundation for most measures of investment performance. Similarly, in Fama et al (1969), Jensen and coauthors present the first event study, Thereafter, event studies play a major role in finance, accounting, and legal research. Finally, Black, Jensen, and Scho...
