Review of Financial Studies

最新文章

• Excess Commitment in R&D AI翻译
  作者：Guenzel, Marius; Liu, Tong
  作者单位：University of Pennsylvania; Massachusetts Institute of Technology (MIT)
  摘要：We document that firms exhibit excess commitment to R&D projects and examine its consequences for innovation outcomes. Using detailed data on pharmaceutical firms' clinical trial projects, we find that trial delays, empirically uncorrelated with multiple project-quality measures, substantially reduce firms' subsequent project-termination propensity. This result remains robust when we use variation in clinical trial site congestion to instrument for unexpected delays. Excess commitment intensif...
• The Broader Role of Venture Capital Due Diligence AI翻译
  作者：Gonzalez-Uribe, Juanita; Klingler-Vidra, Robyn; Wang, Su; Yin, Xiang
  作者单位：University of London; London School Economics & Political Science; University of London; King's College London; ShanghaiTech University; Tsinghua University
  摘要：Analyzing approximately 2,000 applicants to a U.K. seed fund, this study examines how venture capital (VC) due diligence affects startup outcomes independent of funding decisions. Leveraging random reviewer assignment, we find that due diligence increases 2-year growth but lowers continuation rates among nonfunded applicants, reflecting a dynamic of accelerated scaling or exit. Evidence points to a learning mechanism: due diligence exposes founders to advanced website technologies, prompting c...
• Remotely Productive: The Efficacy of Remote Work for Executives AI翻译
  作者：Duchin, Ran; Sosyura, Denis
  作者单位：Boston College; Arizona State University; Arizona State University-Tempe
  摘要：We study the efficacy of remote arrangements between CEOs and firms. Such arrangements attract executive talent and overcome labor market segmentation but introduce frictions. Remote arrangements are associated with lower operating performance, firm valuation, and insider reviews. Using the private costs from uprooting the CEO's spouse as an instrument for the CEO's decision to seek remote work, we find similar negative effects. The performance decline increases for CEOs who live further away ...
• How Likely Is an Inflation Disaster? AI翻译
  作者：Hilscher, Jens; Raviv, Alon; Reis, Ricardo
  作者单位：University of California System; University of California Davis; Bar Ilan University; University of London; London School Economics & Political Science
  摘要：Long-dated inflation swap contracts provide widely used estimates of expected inflation. We develop methods to estimate complementary tail probabilities for persistently very high or low inflation using inflation options prices. We show that three new adjustments to conventional methods are crucial: inflation, horizon, and risk. We find that: (a) U.S. deflation risk in 2011-2014 has been overstated, (b) ECB unconventional policies lowered deflation disaster probabilities, (c) inflation expecta...
• What Hundreds of Economic News Events Say About Belief Overreaction in the Stock Market AI翻译
  作者：Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai
  作者单位：Johns Hopkins University; Centre for Economic Policy Research - UK; National Bureau of Economic Research; New York University
  摘要：We measure the nature and severity of a variety of belief distortions in market reactions to hundreds of economic news events by synthesizing structural estimation with algorithmic machine learning to quantify bias. We find that investors systematically overreact to perceptions about multiple fundamental shocks, a phenomenon we show often dampens rather than amplifies market volatility via a shock composition effect. Such effects imply that the stock market can underreact to news, even when in...
• Too Good to Be True: Look-Ahead Bias in Empirical Options Research AI翻译
  作者：Duarte, Jefferson; Jones, Christopher S.; Khorram, Mehdi; Mo, Haitao; Wang, Junbo L.
  作者单位：Rice University; University of Southern California; Iowa State University; University of Kansas; Louisiana State University System; Louisiana State University
  摘要：Numerous trading strategies examined in options research exhibit remarkably high mean returns and Sharpe ratios. We show some of these seemingly good deals are due to look-ahead biases. These biases stem from using information unavailable at the portfolio formation time to filter out observations suspected of being noisy or erroneous. Our results suggest that elevated Sharpe ratios may serve as potential indicators of such look-ahead biases. Furthermore, deviating from previous literature find...
• Proud to Not Own Stocks: How Identity Shapes Financial Decisions AI翻译
  作者：Henkel, Luca; Pugnaghi-Zimpelmann, Christian
  作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Tinbergen Institute; University of Hamburg
  摘要：This paper introduces a key factor influencing households' decision to invest in the stock market: how people view stockholders. Using surveys we conducted with nearly 8,500 individuals from 11 countries, we document that a large majority hold negative views of stockholders based on identity-relevant characteristics. Linking survey and administrative data, we find that negative perceptions strongly predict households' stock market participation. We show that negative perceptions causally influ...
• The Impact of Bank Consolidation on Credit Supply and Performance AI翻译
  作者：Mayordomo, Sergio; Pavanini, Nicola; Tarantino, Emanuele
  作者单位：Banco de Espana; Tilburg University; Luiss Guido Carli University
  摘要：Between 2009 and 2011, the Spanish banking system underwent a restructuring process based on savings banks' consolidation. The program's design allows us to study how banks' consolidation affects credit supply and performance. We propose a quasi-experimental analysis showing that bank mergers restrict credit supply and set higher interest rates but also reject fewer applicants and report fewer nonperforming loans. We then estimate a structural model of credit in which banks set interest rates ...
• Cross-Border M&A Flows, Economic Growth, and Foreign Exchange Rates AI翻译
  作者：Riddiough, Steven J.; Zhang, Huizhong
  作者单位：University of Toronto; University of Toronto; Monash University
  摘要：We extract information about future economic conditions from firms' cross-border merger and acquisition announcements, and show it predicts changes in relative economic growth rates and foreign exchange rate returns. We find the predictability is driven by the acquisition decisions of domestic firms, which signal turning points in local economic growth. The findings are motivated by a simple model of exchange rate determination with heterogeneous expectations and support the theorized relation...
• Monetary Policy through Production Networks: Evidence from the Stock Market AI翻译
  作者：Ozdagli, Ali; Weber, Michael
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - Dallas; Purdue University System; Purdue University; National Bureau of Economic Research
  摘要：We study the importance of production networks for the transmission of monetary policy using the stock market reaction as laboratory. We attribute 55% to 85% of the overall response to network effects. Large network effects are a robust feature of the data; we document similar patterns in realized fundamentals. Matching sparsity and the first two outdegrees industry-by-industry can explain large network effects. A simple model with intermediate inputs predicts the reaction of stock returns fol...