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作者：Sheng, Jinfei; Sun, Zheng; Yang, Baozhong; Zhang, Alan L.
作者单位：University of California System; University of California Irvine; University System of Georgia; Georgia State University; Iowa State University
摘要：Using a novel measure of investment companies' reliance on generative artificial intelligence (GenAI), we document a sharp increase in GenAI usage by hedge funds after ChatGPT's 2022 launch. A difference-in-differences test shows that hedge funds adopting GenAI earn 2-4% higher annualized abnormal returns than nonadopters, while non-hedge funds do not benefit. The outperformance originates from funds' AI talent and ChatGPT's strength in analyzing firm-specific information. We conduct a new sur...
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作者：Bai, John (Jianqiu); Tang, Yuehua; Wan, Chi; Yuksel, H. Zafer
作者单位：Hong Kong Polytechnic University; State University System of Florida; University of Florida; California State University System; San Diego State University; University of Rhode Island
摘要：This study examines whether mutual fund managers generate alpha through thematic investment strategies that select stocks poised to benefit from specific themes. Using textual analysis of 10-K filings, we identify stocks' thematic exposures and construct each fund's thematic concentration index (TCI) from its holdings. High-TCI funds significantly outperform, with a top-minus-bottom decile spread of 4.26% in annualized four-factor alpha. Managers' thematic expertise is related to their undergr...
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作者：Jiang, Zhengyang; Lustig, Hanno; Van Nieuwerburgh, Stijn; Xiaolan, Mindy Z.
作者单位：Northwestern University; National Bureau of Economic Research; Stanford University; Columbia University; Center for Economic & Policy Research (CEPR); University of Texas System; University of Texas Austin
摘要：In a monetary union, the risk-free rate cannot adjust to country-level fiscal positions, leaving only default spreads and convenience yields to respond. Empirically, we find that convenience yields explain a large share of the variation in eurozone (EZ) sovereign bond yields. EZ sovereign bonds earn larger convenience yields when their governments run larger surpluses. Since convenience yields generate substantial seigniorage revenue from debt issuance, our estimates imply economically large f...
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作者：Griffin, John M.; Kruger, Samuel; Mahajan, Prateek
作者单位：University of Texas System; University of Texas Austin
摘要：Fraud indicators within the Paycheck Protection Program (PPP), a major COVID relief program, are highly geographically concentrated. ZIP codes and counties with high rates of suspicious PPP loans are strongly socially connected, with evidence that fraud spreads spatially over time through social networks. Individuals in suspicious social media groups have higher rates of PPP fraud, and socially connected ZIP codes frequently use the same specific FinTech lenders, consistent with social network...
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作者：Babenko, Ilona; Bennett, Benjamin; Sen, Rik
作者单位：Arizona State University; Texas Christian University; University System of Georgia; University of Georgia; University of New South Wales Sydney
摘要：This paper examines CEO pay at nonprofits. Using compensation data for 14,111 nonprofits, we find that CEO pay dropped by 2% after legislation in New York reduced CEOs' ability to influence their own pay. Despite lower pay, CEOs exerted more effort, and nonprofit performance improved. The effects were stronger at commercial nonprofits than at charities and for male CEOs than female CEOs. These findings are consistent with a model where some nonprofit CEOs derive meaning from their work and com...
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作者：Hebert, Camille
作者单位：University of Toronto
摘要：I document a significant gender gap in entrepreneurs' access to early-stage equity financing. Using unique administrative data on French startups, I show that this gap is particularly pronounced in male-dominated sectors. Controlling for a comprehensive set of entrepreneur and startup characteristics-including demographics, backgrounds, and motivations-accounts for 42% of the average gender gap. However, in male-dominated sectors, 80% of the gap remains unexplained. Growth-oriented female entr...
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作者：He, Zhiguo; Song, Zhaogang
作者单位：Stanford University; National Bureau of Economic Research; Johns Hopkins University
摘要：Measured as yield spreads against Treasury securities and AAA corporate bonds, the convenience premium of newly issued agency MBS averages more than half of the long-term Treasury convenience premium. The agency MBS convenience premium and issuance amount vary negatively with mortgage rate, consistent with a prepayment-driven channel. Placing agencies into conservatorship in 2008 and introducing liquidity regulations in 2013 significantly affected MBS convenience premium, consistent with gover...
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作者：Ma, Sai; Schmidt-Eisenlohr, Tim
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This paper provides evidence that the U.S. dollar affects trade through a financial channel of the exchange rate. Using global data over three decades, we show that dollar appreciation increases import prices and decreases import quantities for non-U.S. dollar countries. In line with a financial channel, these effects are stronger when the exporting country borrows more in U.S. dollars abroad. The financial channel was active before the global financial crisis, has strengthened since, and oper...
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作者：Malamud, Semyon; Schrimpf, Andreas; Zhang, Yuan
作者单位：Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Bank for International Settlements (BIS); Shanghai University of Finance & Economics
摘要：We develop a continuous-time general equilibrium model with intermediaries at the heart of international financial markets. Global intermediaries bargain with households and extract rents from providing access to foreign claims. By tilting state prices, intermediaries' market power breaks monetary neutrality and makes international risk-sharing inefficient. Despite having zero net positions, markups charged by intermediaries significantly distort international asset prices, affecting exchange ...
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作者：Li, Jiasun; Mann, William
作者单位：George Mason University; Emory University
摘要：We present a model rationalizing the economic value of digital tokens for launching peer-to-peer platforms. By using the blockchain to transparently distribute tokens before the platform launches, a token sale overcomes later coordination failures between the platform's users. This result follows from forward induction reasoning, under which the costly and observable action of token acquisition credibly communicates the intent to participate on the platform. Our framework demonstrates the appl...
