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作者：Shen, Mo
作者单位：Auburn University System; Auburn University
摘要：This paper studies how the labor market frictions of skilled workers affect corporate valuation. The analysis features immigrant workers' mobility constraints imposed by the U.S. green card application process and exploits exogenous variations caused by imperfections in the current immigration system. The study finds that relaxing mobility constraints negatively influences firm value. This effect is stronger for firms with higher labor adjustment costs. Reductions in investments and increases ...
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作者：Cao, Charles; Gempesaw, David; Simin, Timothy T.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University System of Ohio; Miami University
摘要：We investigate how information choices affect equity returns and risk. Building on an existing theoretical model of information and investment choice, we estimate a learning index that reflects the expected benefits of learning about an asset. High learning index stocks have lower future returns and risk compared to low learning index stocks. Analysis of a conditional asset pricing model, long-run patterns in returns and volatilities, other measures of information flow, and the information env...
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作者：Pearson, Neil D.; Yang, Zhishu; Zhang, Qi
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Tsinghua University; Durham University
摘要：We use brokerage account records to study trading during the Chinese put warrants bubble and find evidence consistent with extrapolative theories of speculative asset price bubbles. We identify the event that started the bubble and show that investors engaged in a form of feedback trading based on their own past returns. The interaction of feedback trading with the precipitating event caused additional buying and price increases in a feedback loop, and estimates of the trading volume due to th...
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作者：Andonov, Aleksandar; Krauss, Roman; Rauh, Joshua
作者单位：University of Amsterdam; Centre for Economic Policy Research - UK; University of Luxembourg; Stanford University; Stanford University; National Bureau of Economic Research
摘要：Institutional investors expect infrastructure to deliver long-term stable returns but gain exposure to infrastructure predominantly through finite-horizon closed private funds. The cash flows delivered by infrastructure funds display similar volatility and cyclicality as other private equity investments, and their performance similarly depends on quick deal exits. Despite weak risk-adjusted performance and failure to match the supposed characteristics of infrastructure assets, closed funds hav...
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作者：Liu, Yukun; Tsyvinski, Aleh
作者单位：University of Rochester; Yale University
摘要：We establish that cryptocurrency returns are driven and can be predicted by factors that are specific to cryptocurrency markets. Cryptocurrency returns are exposed to cryptocurrency network factors but not cryptocurrency production factors. We construct the network factors to capture the user adoption of cryptocurrencies and the production factors to proxy for the costs of cryptocurrency production. Moreover, there is a strong time-series momentum effect, and proxies for investor attention str...
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作者：Bellon, Aymeric; Cookson, J. Anthony; Gilje, Erik P.; Heimer, Rawley Z.
作者单位：University of Pennsylvania; University of Colorado System; University of Colorado Boulder; National Bureau of Economic Research; Boston College
摘要：We study the effect of personal wealth on entrepreneurial decisions using data on mineral payments from Texas shale drilling to individuals throughout the United States. Large cash windfalls increase business formation by 0.8 to 2.1 percentage points, but do not affect transitions to self-employment. By contrast, cash windfalls significantly extend self-employment spells, but do not affect the duration of business ownership. Our findings help reconcile contrasting findings in prior work: liqui...
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作者：Chambers, David; Spaenjers, Christophe; Steiner, Eva
作者单位：University of Cambridge; Centre for Economic Policy Research - UK; Hautes Etudes Commerciales (HEC) Paris; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Real estate-housing in particular-is a less profitable investment in the long run than previously thought. We hand-collect property-level financial data for the institutional real estate portfolios of four large Oxbridge colleges over the period 1901-1983. Gross income yields initially fluctuate around 5%, but then trend downward (upward) for agricultural and residential (commercial) real estate. Long-term real income growth rates are close to zero for all property types. Our findings imply an...
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作者：Neuberger, Anthony; Payne, Richard
作者单位：City St Georges, University of London
摘要：Higher moments of long-horizon returns are important for asset pricing but are hard to measure accurately using standard techniques. We provide theory showing that short-horizon (e.g., daily) returns can be used to construct precise estimates of long-horizon (e.g., annual) moments without making strong assumptions about the data-generating process. Skewness comprises two components: skewness of short-horizon returns and a leverage effect, that is, covariance between variance and lagged returns...
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作者：Irani, Rustom M.; Iyer, Rajkamal; Meisenzahl, Ralf R.; Peydro, Jose-Luis
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Imperial College London; Federal Reserve System - USA; Federal Reserve Bank - Chicago; Center for Economic & Policy Research (CEPR)
摘要：We investigate the connections between bank capital regulation and the prevalence of lightly regulated nonbanks (shadow banks) in the U.S. corporate loan market. For identification, we exploit a supervisory credit register of syndicated loans, loan-time fixed effects, and shocks to capital requirements arising from surprise features of the U.S. implementation of Basel III. We find that less-capitalized banks reduce loan retention, particularly among loans with higher capital requirements and a...
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作者：Cohn, Jonathan; Nestoriak, Nicole; Wardlaw, Malcolm
作者单位：University of Texas System; University of Texas Austin; University System of Georgia; University of Georgia
摘要：This paper presents evidence of a large, persistent decline in establishment-level workplace injury rates after private equity (PE) buyouts of publicly traded U.S. firms. We find that firms experience fewer OSHA safety violations after buyouts and that a larger decline in injury rates is associated with an increased probability of exit via IPO. Employment reductions after buyouts are concentrated in relatively low-injury-risk establishments. Overall, our results suggest that buyouts improve wo...
