-
作者：Coppola, Antonio
作者单位：Stanford University
摘要：I show that investor composition affects bond price dynamics and capital allocation during crises. Using large-scale holdings data and within-firm ownership variation across near-identical bonds, I causally identify bond returns' investor composition elasticities. Corporate bonds held predominantly by insurers rather than mutual funds suffer milder losses in downturns: increasing insurer holdings by half a bond's size causes 20% shallower drawdowns. A shift-share instrument isolates variation ...
-
作者：Dannhauser, Caitlin; Pontiff, Jeffrey
作者单位：Villanova University; Boston College
摘要：Performance chasing is pervasive in active mutual funds, index mutual funds, and ETFs, with positive flow-performance sensitivity evident in both broad-based and niche funds and for the skill and nonskill components of returns. The sensitivity of ETFs is greatest, with insignificant differences between active and index mutual funds. The heightened sensitivity of ETFs is not explained by benchmark design or exchange trading, and is amplified by institutional ownership. Institutional trading of ...
-
作者：Sheng, Jinfei; Xu, Nan; Zheng, Lu
作者单位：University of California System; University of California Irvine; Shanghai University of Finance & Economics
摘要：We examine the informativeness of fund risk disclosure by combining fund returns and textual data. We develop a novel measure, INF, to capture the explanatory power of disclosed risks for fund returns. Average INF is 55% after controlling for market risk and remains 26-29% after excluding risks related to fund name or strategy. We explain variations in INF through disclosure costs and benefits: (1) Funds with less informative disclosures face SEC comment letters and reduced flow, (2) informati...
-
作者：Antolin-Diaz, Juan; Petrella, Ivan; Rubio-Ramirez, Juan
作者单位：Massachusetts Institute of Technology (MIT); Collegio Carlo Alberto; University of Turin; Emory University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
摘要：A long tradition in macro-finance studies the dynamics of aggregate stock returns and dividends using vector autoregressions, imposing the restrictions implied by the Campbell-Shiller (CS) identity to sharpen inference. We develop Bayesian methods that encode a priori skepticism about return predictability while imposing the restrictions. We highlight that persistence in dividend growth induces dividend momentum, a previously overlooked channel for return predictability. By combining Bayesian ...
-
作者：Hackethal, Andreas; Hanspal, Tobin; Hartzmark, Samuel M.; Brauer, Konstantin
作者单位：Goethe University Frankfurt; Vienna University of Economics & Business; Boston College; National Bureau of Economic Research
摘要：We educate investors about the benefits of dividend reinvestment and costs of misperceiving dividends as free income. The intervention increases planned dividend reinvestment in survey responses. Using trading records, we observe a causal increase in dividend reinvestment in the field of roughly 50 cents for every euro received. This holds relative to investors' prior behavior and various control samples. Investors who learned the most from the intervention update their trading the most. The r...
-
作者：Ma, Song
作者单位：Yale University; National Bureau of Economic Research
摘要：This paper proposes a new measure of technological obsolescence using detailed patent data. The measure contains incremental information about firm innovation relative to measures focusing on new innovation. Using this measure, we present two sets of results. First, firms' technological obsolescence foreshadows substantially lower growth, productivity, and reallocation of capital. This finding mainly applies to obsolescence of core innovation and embodied innovation, and it is stronger in comp...
-
作者：Zhang, Yingguang; Zhu, Yandi; Linnainmaa, Juhani T.
作者单位：Peking University; Central University of Finance & Economics; Dartmouth College; National Bureau of Economic Research
摘要：Binsbergen, Han, and Lopez-Lira (2023) predict analysts' forecast errors using a random forest model. A strategy that trades against this model's predictions earns a monthly alpha of 1.54% ($ t $-value = 5.84). This estimate represents a large improvement over studies using classical statistical methods. We attribute the difference to a look-ahead bias. Removing the bias erases the alpha. Linear models yield as accurate forecasts and superior trading profits. Neither alternative machine learni...
-
作者：Loewenstein, Mark; Qin, Zhenjiang
作者单位：University System of Maryland; University of Maryland College Park; University of Macau
摘要：Financial transaction taxes, or generally transaction costs, are salient in derivatives markets and seldom studied in equilibrium models. We study a tractable model with proportional transaction costs where agents trade a derivative with nonlinear payoffs to hedge nontraded endowments. We show that trade is sustained in an equilibrium with transaction costs only if there is sufficient heterogeneity in risk aversion. When there is trade, the equilibrium return variance increases in transaction ...
-
作者：Malenko, Andrey; Malenko, Nadya
作者单位：Boston College
摘要：Traditionally, fund managers cast votes on behalf of fund investors. Recently, there is a shift toward pass-through voting, with funds offering investors a choice: delegate votes to the fund or vote themselves. We develop a framework to study the implications of voting choice. While it helps reflect heterogeneous investor preferences, it also shapes the informational content of the vote, and these forces can conflict. When interests are aligned, voting choice improves information aggregation a...
-
作者：Harford, Jarrad; He, Qiyang; Qiu, Buhui
作者单位：University of Washington; University of Washington Seattle; Deakin University; University of Sydney
摘要：We extract information from earnings call transcripts to develop a comprehensive and reliable measure of labor shortage exposure. After validating the measure at the state, industry, and firm levels, we show that firms with labor shortage exposures experience lower earnings call CARs, future stock returns and operating performance. Firms respond to labor shortages by substituting labor with capital and R&D investments, and by producing more production-process patents. Such responses help mitig...
