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作者：Chakrabarti, Rajashri; Fos, Vyacheslav; Liberman, Andres; Yannelis, Constantine
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Boston College; University of Chicago
摘要：This paper investigates the effects of college tuition on student debt and human capital accumulation. We exploit data from a random sample of undergraduate students in the United States and implement a research design that instruments for realized tuition with relatively large changes to the advertised tuition of students who enrolled at the same school in different cohorts. We find that $5,000 in higher tuition causally reduces the probability of graduating with a graduate degree by 3.1 perc...
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作者：Giannetti, Mariassunta; Jotikasthira, Chotibhak
作者单位：Stockholm School of Economics; Southern Methodist University
摘要：We conjecture that mutual funds with large shares of outstanding bond issues are more inclined to internalize the negative price spillovers of fire sales and thus sell their holdings in those issues, to a lower extent, when they experience redemptions. We provide evidence consistent with this conjecture and further show that ownership concentration limits bonds' exposures to flow-induced fire sales. We exploit variation in negative spillovers arising from the Fed's SMCCF to confirm the economi...
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作者：Gomez-Cram, Roberto; Olbert, Marcel
作者单位：University of London; London Business School
摘要：Over 140 countries agreed on a fundamental corporate tax reform in 2021 to be implemented in 2023 and beyond. To measure its potential effects, we study asset price changes within minutes of the reform announcements. We construct proxies for the reform's costs regarding U.S. companies' tax burdens and countries' public finances. Likely exposed companies exhibit significant negative stock returns. Our lower-bound estimates indicate total shareholder value losses of $112.6 billion one day after ...
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作者：Croce, Mariano M.; Marchuk, Tatyana; Schlag, Christian
摘要：In this paper, we consider conditional measures of lead-lag relations between aggregate growth and industry-level cash flow growth in the United States. Our results show that firms in leading industries pay an average annualized return 3.6% higher than that of firms in lagging industries. Using both time-series and cross-sectional tests, we estimate an annual pure timing premium ranging from 1.2% to 1.7%. This finding can be rationalized in a model in which (a) agents price growth news shocks,...
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作者：Cookson, J. Anthony; Engelberg, Joseph E.; Mullins, William
作者单位：University of Colorado System; University of Colorado Boulder; University of California System; University of California San Diego
摘要：We find evidence of selective exposure to confirmatory information among 400,000 users on the investor social network StockTwits. Self-described bulls are five times more likely to follow a user with a bullish view of the same stock than are self-described bears. Consequently, bulls see 62 more bullish messages and 24 fewer bearish messages than bears do over the same 50-day period. These echo chambers exist even among professional investors and are strongest for investors who trade on their b...
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作者：Pancost, N. Aaron; Robatto, Roberto
作者单位：University of Texas System; University of Texas Austin; University of Wisconsin System; University of Wisconsin Madison
摘要：We study capital requirement regulation in a dynamic quantitative model in which nonfinancial firms, as well as households, hold deposits. A novel general equilibrium channel that operates through firms deposits mitigates the cost of increasing capital requirements. In the calibrated model, (a) the optimal capital requirement is 7.3 percentage points higher than in a comparable model in which all the deposits are held by households, and (b) setting the capital requirement higher than the true ...
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作者：Kim, Hwanki Brian; Kim, Woojin; Kronlund, Mathias
作者单位：Baylor University; Seoul National University (SNU); Tulane University
摘要：Corporations have accumulated record amounts of cash. We study whether firms' cash retention has been excessive by examining a Korean reform that introduced a new tax on earnings retained as cash. Difference-in-differences tests show that treated firms reduce cash retention and instead increase payouts and investments. Market participants react favorably to the reform, consistent with excessive cash retention. The valuation effects and the alternative uses of the cash are associated with behav...
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作者：Ben-David, Itzhak; Franzoni, Francesco; Kim, Byungwook; Moussawi, Rabih
作者单位：University System of Ohio; Ohio State University; National Bureau of Economic Research; Swiss Finance Institute (SFI); Universita della Svizzera Italiana; Villanova University
摘要：The interplay between investors' demand and providers' incentives has shaped the evolution of exchange-traded funds (ETFs). While early ETFs invested in broad-based indexes and therefore offered diversification at low cost, more recent products track niche portfolios and charge high fees. Strikingly, over their first 5 years, specialized ETFs lose about 30% (risk-adjusted). This underperformance cannot be explained by high fees or hedging demand. Rather, it is driven by the overvaluation of th...
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作者：Terry, Stephen J.; Whited, Toni M.; Zakolyukina, Anastasia A.
作者单位：Boston University; National Bureau of Economic Research; University of Michigan System; University of Michigan; University of Chicago
摘要：We quantify the real implications of trade-offs between firm information disclosure and long-term investment efficiency. We estimate a dynamic equilibrium model in which firm managers confront realistic incentives to misreport earnings and distort their real investment choices. The model implies a socially optimal level of disclosure regulation that exceeds the estimated value. Counterfactual analysis reveals that eliminating earnings misreporting completely through disclosure regulation incen...
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作者：Hombert, Johan; Lyonnet, Victor
作者单位：Hautes Etudes Commerciales (HEC) Paris; Centre for Economic Policy Research - UK; University System of Ohio; Ohio State University
摘要：We study how retail savings products can share market risk across investor cohorts, thereby completing financial markets. Financial intermediaries smooth returns by varying reserves, which are passed on between successive investor cohorts, thereby redistributing wealth across cohorts. Using data on euro contracts sold by life insurers in France, we estimate this redistribution to be large: 0.8% of GDP. We develop and provide evidence for a model in which low investor sophistication, while lead...
