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作者：Cabezon, Felipe; Hoberg, Gerard
作者单位：Virginia Polytechnic Institute & State University; University of Southern California
摘要：We first document that, despite potential legal issues, overlapping directors are surprisingly prevalent among direct competitors. Using panel data regressions and plausibly exogenous shocks, we find that competing firms in markets with dense overlapping-director networks experience innovation herding, lose product differentiation, and, ultimately, perform poorly. Novel text-based network propagation tests of technologies show that intellectual property leakage plays a role as firms with dense...
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作者：Li, Kai; Li, Yingying; Lyu, Changlei; Yu, Jialin
作者单位：Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen); Hong Kong University of Science & Technology; Shanghai University of Finance & Economics
摘要：We present a novel methodology for the out-of-sample forecast of the equity premium. Our predictive slope coefficient is a conservative constant that has a lower bias than the zero slope employed by the historical average, but has the same variance. We demonstrate that, theoretically and empirically, our method dominates the historical average in forecast performance. Our methodology establishes a simple yet powerful paradigm for exploiting the real-time equity premium predictability derived f...
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作者：Driessen, Joost; Ebert, Sebastian; Koeter, Joren
作者单位：Tilburg University; Ruprecht Karls University Heidelberg; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：We propose a new asset pricing model that generalizes the mean-variance framework by including probability weighting, specifically the overweighting of rare, high-impact events. Our model-the $ \Pi $-CAPM-generates several new predictions: (i) skewness has a positive price effect, amplified by volatility; (ii) the price effect of volatility is negative for left-skewed assets but positive for right-skewed assets; and (iii) option-implied variance premiums for stocks have a U-shaped relation to ...
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作者：Zhong, Hongda; Zhou, Zhen
作者单位：University of Texas System; University of Texas Dallas; Centre for Economic Policy Research - UK; Tsinghua University
摘要：Many regulations aim to promote coordination among creditors in bankruptcy by ex post restricting their ability to exit distressed firms. However, such restrictions may harm creditors' ex ante incentives to stay invested, thereby worsening coordination outcomes. We build a dynamic coordination model to show how this force shapes creditor runs, bankruptcy filings, and regulation designs. Intriguingly, filing for bankruptcy early, thereby preserving more assets for latecomers, can prolong firm l...
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作者：Li, Jia; Phillips, Peter C. B.; Shi, Shuping; Yu, Jun
作者单位：Singapore Management University; Yale University; University of Auckland; Macquarie University; University of Macau
摘要：This paper explores implications of weak identification in common 'long memory' and recent 'rough' approaches to modeling volatility dynamics of financial assets. We unveil an asymptotic near-observational equivalence between a long memory model with weak autoregressive dynamics and a rough model with a near-unit autoregressive root. Standard methods struggle to distinguish them, and conventional asymptotics are invalid. We propose an identification-robust approach to construct confidence sets...
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作者：Slutzky, Pablo; Xu, Sheng-Jun
作者单位：University System of Maryland; University of Maryland College Park; University of Alberta
摘要：In the United States, a significant number of criminal defendants are held in pretrial detention and face substantial financial burdens. Matching individual-level criminal case records to household-level financial data, we exploit the quasi-random assignment of court commissioners to study how pretrial detention affects household solvency. We find that pretrial detention results in higher rates of household insolvency, driven by higher rates of chapter 7 bankruptcies and judgment liens, and hi...
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作者：Brauning, Falk; Ivashina, Victoria; Ozdagli, Ali
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Boston; National Bureau of Economic Research; Harvard University; Center for Economic & Policy Research (CEPR); Federal Reserve System - USA; Federal Reserve Bank - Dallas
摘要：High-yield debt, including leveraged loans, typically features incurrence or '' cov-lite'' financial covenants. Unlike traditional maintenance covenants, incurrence covenants preserve equity control rights but impose specific contractual restrictions on the borrower once certain financial thresholds are crossed. Contrary to the prevailing view that incurrence covenants have limited practical impact, we document a substantial decline in investment when these covenants are triggered. During econ...
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作者：Hendershott, Terrence; Khan, Saad Ali; Riordan, Ryan
作者单位：University of California System; University of California Berkeley; Universite de Montreal; HEC Montreal; University of Munich; Queens University - Canada
摘要：Wholesale market makers pay for retail options orders that must be executed on exchanges. Payment for order flow (PFOF) wholesalers compete via price improvement in exchange auctions. To attract retail orders, wholesalers run more auctions when their recent price improvement has been lower. However, auction price improvement lowers market maker revenues. Wholesalers earn revenues to pay PFOF in nonauction trades where their designated market maker status increases their execution priority. Whi...
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作者：Celerier, Claire; Tak, Purnoor
作者单位：University of Toronto; University of London; London Business School
摘要：We study how bank advertising practices contribute to racial disparities in financial markets by steering minorities toward inferior products. We exploit a regulatory change that incentivizes deposit collection at the Freedman's Savings Bank, the first institution to collect deposits from African Americans post-Emancipation, by facilitating misuse of depositor funds. After deregulation, advertising volume rises, particularly in African American newspapers, leading to increased deposits from Bl...
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作者：Garfinkel, Jon A.; Hammoudeh, Mosab
作者单位：University of Iowa; University of Louisiana System; University of New Orleans
摘要：We offer new evidence on the relationship between competition and innovation that overcomes two measurement difficulties compromising the extant literature: aggregation at either firm level (or higher) of innovative activity, and the mediating influence of distance-to-technological-frontier. FDA awards of Breakthrough Therapy Designations (BTDs) on specific drugs, instrument stochastic unleveling of therapeutic (ie, product) markets. Rivals' innovative responses generally show an inverted-U pa...
