Review of Financial Studies

最新文章

• Fragility of Safe Asset Markets AI翻译
  作者：Eisenbach, Thomas M.; Phelan, Gregory
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Williams College
  摘要：In March 2020, safe asset markets experienced surprising and unprecedented price crashes. We explain how strategic investor behavior can create such market fragility in a model with investors valuing safety, investors valuing liquidity, and constrained dealers. While safety investors and liquidity investors can form a symbiotic relationship with offsetting trades during times of stress, strategic interactions among liquidity investors harbor the potential for self-fulfilling fragility. When th...
• When Financial Advice Leads to Positive Performance: Evidence from Repeated Client-Advisor Interactions AI翻译
  作者：Uhr, Charline
  作者单位：Danish Finance Institute; Aarhus University
  摘要：Does the performance of advisors' recommendations influence investors' propensity to seek advice again? I investigate a sample of calls between 10,063 German brokerage clients and financial advisors from 2005-2015. If advisors' recommendations in the initial meeting led to positive (vs. negative) performance, investors are 2.1 times more likely to arrange a second meeting. This effect is driven by the performance of the recommendations the investor decided to follow. Investors with positive pe...
• Fast and Slow Arbitrage: The Predictive Power of (Persistent) Capital Flows for Factor Returns AI翻译
  作者：Dong, Xi; Kang, Namho; Peress, Joel
  作者单位：City University of New York (CUNY) System; Baruch College (CUNY); Bentley University; INSEAD Business School
  摘要：We document that persistent aggregate capital flows to hedge and mutual funds predict monthly factor returns with an out-of-sample R2 reaching 6.6%. Transient flows display no such power despite being more predictable. We show-both empirically and theoretically-that persistent flows' predictive power stems from active fund managers' capital constraints. As a result, managers invest persistent, but not transient, capital flows into factor trading strategies, leading to factor-return predictabil...
• Political Sentiment and Innovation: Evidence from Patenters AI翻译
  作者：Engelberg, Joseph; Lu, Runjing; Mullins, William; Townsend, Richard
  作者单位：University of California System; University of California San Diego; University of Toronto; National Bureau of Economic Research
  摘要：We document political sentiment effects on U.S. inventors. Democratic inventors are more likely to patent (relative to Republicans) after the 2008 election of Obama but less likely after the 2016 election of Trump. These effects are at least twice as strong among politically active Democrats and are present even within firms and within firm$ \times $technology. We also show that partisans tend to cluster in technologies (e.g., Democrats in Biotechnology and Republicans in Weapons), so that sen...
• Effects of Credit Expansions on Stock Market Booms and Busts AI翻译
  作者：Hansman, Christopher; Hong, Harrison; Jiang, Wenxi; Liu, Yu-Jane; Meng, Juan-Juan
  作者单位：Emory University; Columbia University; Chinese University of Hong Kong; Peking University
  摘要：There is causal evidence that mortgage credit expansions increase house prices. Does an expansion of margin lending increase stock prices? Because unconstrained arbitrageurs are more important for pricing stocks than homes, the impact is not obvious. Tests are limited because sizable shocks to margin lending are rare. We examine a major Chinese margin-lending expansion between 2010 and 2015. Institutional holding, regression discontinuity, and event study evidence-exploiting the rollout of mar...
• Stablecoin Runs and the Centralization of Arbitrage AI翻译
  作者：Ma, Yiming; Zeng, Yao; Zhang, Anthony Lee
  作者单位：Columbia University; National Bureau of Economic Research; University of Pennsylvania; University of Chicago
  摘要：Stablecoins are cryptoassets designed to be pegged to the dollar, but they are backed by imperfectly liquid USD assets. We show that stablecoins feature concentrated arbitrage: the largest issuer, Tether, allows only six agents in an average month to redeem stablecoins for cash. We argue that the issuers' choice of arbitrage concentration reflects a trade-off: efficient arbitrage improves stablecoin price stability in secondary markets but amplifies run risks by reducing investors' price impac...
• Global Capital and Local Assets: House Prices, Quantities, and Elasticities AI翻译
  作者：Gorback, Caitlin S.; Keys, Benjamin J.
  作者单位：University of Texas System; University of Texas Austin; University of Pennsylvania; National Bureau of Economic Research
  摘要：We estimate price elasticities of housing supply for U.S. cities by examining the impact of foreign purchases on housing prices and quantities. After other countries introduced foreign-buyer taxes beginning in 2011, both house prices and quantities increased more in locations with high foreign-born populations. An increase in global capital inflows, instrumented with tax policy changes scaled by immigrant exposure, increased prices and quantities over 2011-2018. We combine these estimates to c...
• Childhood Exposure to Misbehavior and the Culture of Financial Misconduct AI翻译
  作者：Clifford, Christopher P.; Ellis, Jesse A.; Gerken, William C.
  作者单位：University of Kentucky; North Carolina State University
  摘要：This paper examines the impact of childhood cultural upbringing on financial advisor misconduct using novel data on advisors' childhood addresses. We find that an advisor's childhood location significantly predicts misconduct, with exposure to misbehavior culture during childhood playing a stronger role than exposure during adulthood. Addressing endogeneity concerns, we conduct several tests that support the notion that our results reflect cultural exposure rather than advisors' employment cho...
• Leaky Director Networks and Innovation Herding AI翻译
  作者：Cabezon, Felipe; Hoberg, Gerard
  作者单位：Virginia Polytechnic Institute & State University; University of Southern California
  摘要：We first document that, despite potential legal issues, overlapping directors are surprisingly prevalent among direct competitors. Using panel data regressions and plausibly exogenous shocks, we find that competing firms in markets with dense overlapping-director networks experience innovation herding, lose product differentiation, and, ultimately, perform poorly. Novel text-based network propagation tests of technologies show that intellectual property leakage plays a role as firms with dense...
• How to Dominate the Historical Average AI翻译
  作者：Li, Kai; Li, Yingying; Lyu, Changlei; Yu, Jialin
  作者单位：Peking University Shenzhen Graduate School (PKU Shenzhen); Peking University; Hong Kong University of Science & Technology; Shanghai University of Finance & Economics
  摘要：We present a novel methodology for the out-of-sample forecast of the equity premium. Our predictive slope coefficient is a conservative constant that has a lower bias than the zero slope employed by the historical average, but has the same variance. We demonstrate that, theoretically and empirically, our method dominates the historical average in forecast performance. Our methodology establishes a simple yet powerful paradigm for exploiting the real-time equity premium predictability derived f...