Review of Financial Studies

最新文章

• Lest We Forget: Learn from Out-of-Sample Forecast Errors When Optimizing Portfolios AI翻译
  作者：Barroso, Pedro; Saxena, Konark
  作者单位：Universidade Catolica Portuguesa; University of New South Wales Sydney
  摘要：Portfolio optimization often struggles in realistic out-of-sample contexts. We deconstruct this stylized fact by comparing historical forecasts of portfolio optimization inputs with subsequent out-of-sample values. We confirm that historical forecasts are imprecise guides of subsequent values, but we discover the resultant forecast errors are not entirely random. They have predictable patterns and can be partially reduced using their own history. Learning from past forecast errors to calibrate...
• Selection, Leverage, and Default in the Mortgage Market AI翻译
  作者：Gupta, Arpit; Hansman, Christopher
  作者单位：New York University; Imperial College London
  摘要：We ask whether the correlation between mortgage leverage and default is due to moral hazard (the causal effect of leverage) or adverse selection (ex ante risky borrowers choosing larger loans). We separate these information asymmetries using a natural experiment resulting from the contract structure of option adjustable-rate mortgages and unexpected 2008 divergence of indexes that determine rate adjustments. Our point estimates suggest that moral hazard is responsible for 40% of the correlatio...
• Director Appointments: It Is Who You Know AI翻译
  作者：Cai, Jay; Nguyen, Tu; Walkling, Ralph
  作者单位：Drexel University; University of Waterloo; University System of Ohio; Ohio State University; Drexel University
  摘要：Using 9,801 director appointments during 2003-2014, we document the dramatic impact of connections. Sixty-nine percent of new directors have professional ties to incumbent boards, a group representing 13% of all potential candidates. Consistent with facilitating coordination and reducing search costs, connections help boards bring in gender diversity, new skills, and new industry background. More complex firms and firms in more competitive environments tend to appoint connected directors and e...
• Bank Bonus Pay as a Risk Sharing Contract AI翻译
  作者：Efing, Matthias; Hau, Harald; Kampkoetter, Patrick; Rochet, Jean-Charles
  作者单位：Hautes Etudes Commerciales (HEC) Paris; University of Geneva; Swiss Finance Institute (SFI); Eberhard Karls University of Tubingen
  摘要：We argue that risk sharing motivates the bankwide structure of bonus pay. In the presence of financial frictions that make external financing costly, the optimal contract between shareholders and employees involves some degree of risk sharing whereby bonus pay partially absorbs negative earnings shocks. Using payroll data for 1.26 million employee-years in all functional divisions of Austrian, German, and Swiss banks, we uncover several empirical patterns in bonus pay that are difficult to rat...
• Managing Households' Expectations with Unconventional Policies AI翻译
  作者：D'Acunto, Francesco; Hoang, Daniel; Weber, Michael
  作者单位：Boston College; Helmholtz Association; Karlsruhe Institute of Technology; University of Chicago; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
  摘要：Binding lower bounds on interest rates and large government deficits limit the scope of fiscal and monetary policies to stimulate households' spending through financial intermediaries and firms. Policy makers have thus been implementing unconventional policies that aim to increase households' spending directly through managing their expectations. We first show theoretically and empirically that higher inflation expectations increase households' consumption. We then design a difference-in-diffe...
• Missing Novelty in Drug Development AI翻译
  作者：Krieger, Joshua; Li, Danielle; Papanikolaou, Dimitris
  作者单位：Harvard University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Northwestern University
  摘要：We provide evidence that risk aversion leads pharmaceutical firms to underinvest in radical innovation. We introduce a new measure of drug novelty based on chemical similarity and show that firms face a risk-reward trade-off: novel drug candidates are less likely to obtain FDA approval but are based on more valuable patents. Consistent with a simple model of costly external finance, we show that a positive shock to firms' net worth leads firms to develop more novel drugs. This suggests that ev...
• Biased by Choice: How Financial Constraints Can Reduce Financial Mistakes AI翻译
  作者：Heimer, Rawley Z.; Imas, Alex
  作者单位：Boston College; University of Chicago
  摘要：We show that constraints can improve financial decision-making by disciplining behavioral biases. In financial markets, restrictions on leverage limit traders' ability to borrow to open new positions. We demonstrate that regulation that restricts the provision of leverage to retail traders improves trading performance. By increasing the opportunity cost of postponing the realization of losses, leverage constraints improve traders' market timing and reduce their disposition effect. We replicate...
• Consumers as Financiers: Consumer Surplus, Crowdfunding, and Initial Coin Offerings AI翻译
  作者：Lee, Jeongmin; Parlour, Christine A.
  作者单位：Washington University (WUSTL); University of California System; University of California Berkeley
  摘要：We study the efficiency implications of funding directly provided by consumers. Intermediaries fail to finance all efficient projects, and crowdfunding can improve efficiency. Whereas intermediaries value projects based on cash flows, consumers also receive a consumption benefit. Unique to crowdfunding is the ability of consumers to commit to pay for the benefit, and the degree to which they can do so determines its efficiency. We discuss the implications of introducing a resale market for con...
• Financial Constraints and Corporate Environmental Policies AI翻译
  作者：Xu, Qiping; Kim, Taehyun
  作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Chung Ang University
  摘要：This paper documents evidence that financial constraints increase firms' toxic emissions given that firms actively trade off abatement costs against potential legal liabilities. Exploring three quasi-natural experiments in which firms' financial resources are likely exogenously affected, we find that relaxing financial constraints reduces U.S. public firms' toxic releases. The effects of financial constraints on toxic releases are amplified when regulatory enforcement and external monitoring w...
• The Unintended Consequences of Corporate Bond ETFs: Evidence from the Taper Tantrum AI翻译
  作者：Dannhauser, Caitlin D.; Hoseinzade, Saeid
  作者单位：Villanova University; Suffolk University
  摘要：This paper examines whether ETFs are a unique source of corporate bond fragility. Relative to mutual funds, ETFs cater to high-liquidity-demand investors, facilitate positive feedback strategies, and transmit outflows to corporate bonds via near-proportional trading. Comparing yield spread changes of bonds from the same issuer, we show that ETFs create flow-induced pressure during the Taper Tantrum, a period of market turmoil. Redemptions used to maintain the relative price efficiency of the l...