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作者：Ait-Sahalia, Yacine; Jacod, Jean; Xiu, Dacheng
作者单位：Princeton University; National Bureau of Economic Research; Sorbonne Universite; University of Chicago
摘要：We develop an asymptotic framework for conducting inference on continuous-time asset pricing models using high-frequency returns over an increasing time horizon. Our study focuses on the identification and estimation of risk premiums associated with the continuous component and jumps of various size brackets. We extend the classical Fama-MacBeth regression from the discrete-time setting to a continuous-time factor model, incorporating general dynamics for factors, idiosyncratic components, and...
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作者：Rehbein, Oliver; Rother, Simon
作者单位：Vienna University of Economics & Business; University of Mannheim
摘要：We present evidence that loan allocations and loan terms are closely linked to the strength of social connections between bank and borrower regions. Lending increases with social connectedness, particularly in the presence of strong screening incentives. If connectedness is high, banks discriminate between borrowers more, the terms of originated loans are more borrower friendly, and loan performance is better. Furthermore, social connectedness is associated with higher bank profitability and w...
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作者：Goedker, Katrin; Jiao, Peiran; Smeets, Paul
作者单位：Bocconi University; Leibniz Association; Ifo Institut; Maastricht University; University of Amsterdam
摘要：We provide experimental evidence of a positive memory bias that affects individuals' beliefs, decisions to reinvest, and overconfidence in the stock market. Individuals overremember positive investment outcomes of chosen assets and underremember negative ones. Based on their memories, subjects form overly optimistic beliefs about their investment, reinvest too much, and become overconfident about their investment ability relative to others. We further provide evidence on motivation driving the...
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作者：Acharya, Viral V.; Parlatore, Cecilia; Sundaresan, Suresh
作者单位：New York University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; European Corporate Governance Institute; Columbia University
摘要：We examine the optimal financing of infrastructure when governments can expropriate rents from private sector firms that manage infrastructure. While private firms need incentives to implement projects well, governments need incentives to limit expropriation. This double moral hazard limits the willingness of outside investors to fund infrastructure projects. Optimal financing contracts involve government guarantees to investors against project failure to incentivize the government to agree no...
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作者：Beaumont, Paul; Hebert, Camille; Lyonnet, Victor
作者单位：McGill University; University of Toronto
摘要：Firms enter new sectors by either building on their resources or buying existing companies. Using French administrative data, we propose a measure of human capital distance between a firm and a sector of entry. Using a shift-share instrument, we show that firms build in close sectors and buy in distant sectors in terms of human capital distance. Firms build by hiring new workers, which becomes increasingly costly in distant sectors as it requires not only hiring more workers but also having mo...
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作者：Bretscher, Lorenzo; Schmid, Lukas; Sen, Ishita; Sharma, Varun
作者单位：Swiss Finance Institute (SFI); University of Lausanne; Centre for Economic Policy Research - UK; University of Southern California; Harvard University; Indiana University System; Indiana University Bloomington
摘要：We propose an equilibrium corporate bond pricing model that accommodates the heterogeneity in institutional investors' preferences and mandates in an empirically tractable way. Our model, estimated on rich holdings data, quantifies investors' preferences and demand elasticities, with inelastic insurers focusing on the investment-grade segment, and elastic mutual funds substituting across ratings groups. The model offers a novel quantitative perspective of the effect of recent trends in institu...
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作者：Moussawi, Rabih; Shen, Ke; Velthuis, Raisa
作者单位：Villanova University; University of Pennsylvania; Lehigh University
摘要：This paper argues that a lesser known yet economically significant tax-deferral feature of ETFs' security design is crucial to their success. By relying on the in-kind redemption exemption, authorized participants help ETFs avoid distributing capital gains and reduce their tax overhang, partly by deploying heartbeat trades. We estimate that the ETF tax efficiency has increased long-term investors' after-tax returns by 1.05% per year relative to mutual funds in recent years. Exploiting cross-se...
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作者：Coppola, Antonio
作者单位：Stanford University
摘要：I show that investor composition affects bond price dynamics and capital allocation during crises. Using large-scale holdings data and within-firm ownership variation across near-identical bonds, I causally identify bond returns' investor composition elasticities. Corporate bonds held predominantly by insurers rather than mutual funds suffer milder losses in downturns: increasing insurer holdings by half a bond's size causes 20% shallower drawdowns. A shift-share instrument isolates variation ...
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作者：Capponi, Agostino; Jia, Ruizhe
作者单位：Columbia University; Stanford University
摘要：We show that the infrastructure of decentralized exchanges subjects liquidity providers (LPs) to a tragedy of the commons. Liquidity providers lack incentives to exit liquidity pools to prevent arbitrage losses, as these are collectively shared, while withdrawal costs are borne individually. Arbitrage rents primarily flow to validators as infrastructure fees, with the median arbitrageur transferring 96% of profits. Proposed solutions-speed technology, alternative sequencing rules, and flexible...
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作者：Larrain, Borja; Phillips, Gordon M.; Sertsios, Giorgo; Urzua I, Francisco
作者单位：Pontificia Universidad Catolica de Chile; Dartmouth College; National Bureau of Economic Research; University of Wisconsin System; University of Wisconsin Milwaukee; City St Georges, University of London
摘要：We study the effects of going public using a unique panel of firms in 16 European countries for which we observe financial data before and after initial public offering (IPO) attempts. We compare completed and withdrawn IPO attempts. We instrument the decision to complete the IPO using prior market returns. After instrumenting, we isolate a positive causal effect of going public on profitability. We also find a post-IPO expansion in sales per employee, subsidiaries, and countries in which firm...
