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作者：Giglio, Stefano; Liao, Yuan; Xiu, Dacheng
作者单位：Yale University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; Rutgers University System; Rutgers University New Brunswick; University of Chicago
摘要：Data snooping is a major concern in empirical asset pricing. We develop a new framework to rigorously perform multiple hypothesis testing in linear asset pricing models, while limiting the occurrence of false positive results typically associated with data snooping. By exploiting a variety of machine learning techniques, our multiple-testing procedure is robust to omitted factors and missing data. We also prove its asymptotic validity when the number of tests is large relative to the sample si...
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作者：Dow, James; Han, Jungsuk; Sangiorgi, Francesco
作者单位：University of London; London Business School; Stockholm School of Economics; Frankfurt School Finance & Management
摘要：Will arbitrage capital flow into markets experiencing shocks, mitigating adverse effects on price efficiency? Not necessarily. In a dynamic model with privately informed capital-constrained arbitrageurs, price efficiency plays a dual role, determining both the profitability of new arbitrage and the ability to close existing positions profitably. An adverse shock to efficiency lengthens arbitrage duration, effectively reducing the amount of arbitrage capital available for new positions. If this...
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作者：Lee, Dong Wook; Shin, Hyun-Han; Stulz, Rene M.
作者单位：Korea University; Yonsei University; University System of Ohio; Ohio State University; National Bureau of Economic Research; European Corporate Governance Institute
摘要：High Tobin's industries receive more funding from capital markets than low Tobin's industries from 1971 to 1996. Since then, the opposite is true. The key to understanding this shift is that large firms, for which is more a proxy for rents than investment opportunities, have become more important within industries. For these firms, repurchases but not capital expenditures increase in the cross-section with , so that explains the variation of repurchases more than of capital expenditures. Conse...
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作者：Hacamo, Isaac
作者单位：Indiana University System; Indiana University Bloomington
摘要：This paper documents that mortgage market deregulation helps mitigate the risk of population aging by affecting a foundational family-level decision: the choice to have children. Using a U.S. federal regulator ruling, I show that young households fully exposed to mortgage market deregulation increase their probability of purchasing a home and having a child by 6 percentage points. Supplemental tests reject alternative hypotheses based on income or housing wealth growth and, instead, suggest th...
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作者：Saidi, Farzad; Streitz, Daniel
作者单位：Boston University; University of Bonn; Centre for Economic Policy Research - UK; Leibniz Association; Leibniz Institut fur Wirtschaftsforschung Halle (IWH); Copenhagen Business School
摘要：This paper documents a link between bank concentration and markups in nonfinancial sectors. We exploit concentration-increasing bank mergers and variation in banks' market shares across industries and show that higher credit concentration is associated with higher markups and that high-market-share lenders charge lower loan rates. We argue that this is due to the greater incidence of competing firms sharing common lenders that induce less aggressive product market behavior among their borrower...
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作者：Li, Xindan; Subrahmanyam, Avanidhar; Yang, Xuewei
作者单位：Nanjing University; Nanjing University; University of California System; University of California Los Angeles
摘要：We use proprietary brokerage data to study trading patterns within a well-known financial market bubble: the Chinese warrants bubble. Persistently successful investors trade very actively and exhibit characteristics of de facto market makers. Unskilled investors unprofitably trend-chase and increase holdings in out-of-the-money warrants near expiration, whereas sophisticated investors do the reverse. We find that regulators did not properly forecast trading frenzies, as the prespecified price ...
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作者：Han, Lu; Lutz, Chandler; Sand, Benjamin; Stacey, Derek
作者单位：University of Toronto; University of Wisconsin System; University of Wisconsin Madison; U.S. Securities & Exchange Commission (SEC); York University - Canada; University of Waterloo
摘要：We study how financial constraints affect the housing market by exploiting a regulatory change that increases the down payment requirement for homes selling for 1M or more. Using Toronto data, we find that the policy causes excess bunching of homes listed at 1M and heightened bidding intensity for these homes, but only a muted response in sales. While difficult to reconcile in a frictionless market, these findings are consistent with the implications derived from an equilibrium search model wi...
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作者：Sagi, Jacob S.
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：In stark contrast with liquid asset returns, commercial real estate idiosyncratic return means and variances do not scale with the holding period, even after accounting for all cash flow-relevant events. This puzzling phenomenon survives controlling for vintage effects, systematic risk heterogeneity, and a host of other explanations. To explain the findings, I derive an equilibrium search-based asset-pricing model that, when calibrated, provides an excellent fit to transactions data. A structu...
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作者：Easley, David; de Prado, Marcos Lopez; O'Hara, Maureen; Zhang, Zhibai
作者单位：Cornell University; Cornell University; Cornell University; Cornell University; New York University; New York University Tandon School of Engineering
摘要：Understanding modern market microstructure phenomena requires large amounts of data and advanced mathematical tools. We demonstrate how machine learning can be applied to microstructural research. We find that microstructure measures continue to provide insights into the price process in current complex markets. Some microstructure features with high explanatory power exhibit low predictive power, while others with less explanatory power have more predictive power. We find that some microstruc...
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作者：Roussanov, Nikolai; Ruan, Hongxun; Wei, Yanhao
作者单位：University of Pennsylvania; National Bureau of Economic Research; Peking University; University of Southern California
摘要：Marketing and distribution expenses are responsible for about one-third of the cost of active management in the mutual fund industry. Estimating a structural model with costly investor search and learning about fund skill, we find that marketing is nearly as important as performance and fees in determining fund size. Eliminating marketing substantially improves welfare: capital shifts toward cheaper funds and competition decreases fees; active funds shrink and capital allocation becomes more c...
