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作者：Chen, Mark A.; Wu, Qinxi; Yang, Baozhong
作者单位：University System of Georgia; Georgia State University; Baylor University
摘要：We provide large-scale evidence on the occurrence and value of FinTech innovation. Using data on patent filings from 2003 to 2017, we apply machine learning to identify and classify innovations by their underlying technologies. We find that most FinTech innovations yield substantial value to innovators, with blockchain being particularly valuable. For the overall financial sector, internet of things (IoT), robo-advising, and blockchain are the most valuable innovation types. Innovations affect...
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作者：Chen, Yong; Da, Zhi; Huang, Dayong
作者单位：Texas A&M University System; Texas A&M University College Station; University of Notre Dame; University of North Carolina; University of North Carolina Greensboro
摘要：We examine net arbitrage trading (NAT) measured by the difference between quarterly abnormal hedge fund holdings and abnormal short interest. NAT strongly predicts stock returns in the cross-section. Across ten well-known stock anomalies, abnormal returns are realized only among stocks experiencing large NAT. Exploiting Regulation SHO, which facilitated short selling for a random group of stocks, we present causal evidence that NAT has stronger return predictability among stocks facing greater...
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作者：Back, Kerry; Crotty, Kevin; Li, Tao
作者单位：Rice University; Rice University; City University of Hong Kong
摘要：We propose and estimate a model of endogenous informed trading that is a hybrid of the PIN and Kyle models. When an informed trader trades optimally, both returns and order flows are needed to identify information asymmetry parameters. Empirical relationships between parameter estimates and price impacts and between parameter estimates and stochastic volatility are consistent with theory. We illustrate how the estimates can be used to detect information events in the time series and to charact...
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作者：Bauer, Michael D.; Hamilton, James D.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco; University of California System; University of California San Diego
摘要：A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small-sample distortions. We propose more robust tests, including a novel bootstrap procedure specifically designed to test the spanning hypothesis. We revisit the analysis in six published studies and find that the evidence against the spanning hypothesis is much weak...
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作者：Chaudhuri, Ranadeb; Ivkovic, Zoran; Trzcinka, Charles
作者单位：Oakland University; Michigan State University; Michigan State University's Broad College of Business; Indiana University System; Indiana University Bloomington
摘要：We study cross-subsidization among U.S. equity products managed by institutional asset management firms. We find returns-based evidence consistent with both cross-subsidization receipt by strong recent performers that are relatively small in their firms and provision by products that are relatively large in their firms. Tax-exempt investors and taxable investors do not have a clear ranking by expertise, but tax-exempt investors' agency issues are more complex. Accordingly, taxable clients have...
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作者：Cici, Gjergji; Gehde-Trapp, Monika; Goericke, Marc-Andre; Kempf, Alexander
作者单位：University of Kansas; University Hohenheim; University of Cologne
摘要：Human capital acquired while working in other industries before joining fund management provides fund managers with an information advantage. Fund managers exploit this advantage by overweighting their experience industries and by picking outperforming stocks from these industries. These managers' superior information is impounded into stock prices slowly, suggesting that their information is unique and takes a while to be discovered by the markets. Families exploit their manager's industry-sp...
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作者：Gonzalez-Uribe, Juanita; Leatherbee, Michael
作者单位：University of London; London School Economics & Political Science; Pontificia Universidad Catolica de Chile
摘要：Dobusiness accelerators affect new venture performance? We investigate this question in the context of Start-Up Chile, an ecosystem accelerator. We focus on two treatment conditions typically found in business accelerators: basic services of funding and coworking space, and additional entrepreneurship schooling. Using a regression discontinuity design, we show that schooling bundled with basic services can significantly increase new venture performance. In contrast, we find no evidence that ba...
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作者：Bakshi, Gurdip; Chabi-Yo, Fousseni; Gao, Xiaohui
作者单位：University System of Maryland; University of Maryland College Park; University of Massachusetts System; University of Massachusetts Amherst
摘要：How reliable is the recovery theorem of Ross (2015)? We explore this question in the context of options on the 30-year Treasury bond futures, allowing us to deduce restrictions that link the physical and risk-neutral return distributions. Our empirical results undermine the implications of the recovery theorem. First, we reject an implicit assumption of the recovery theorem that the martingale component of the stochastic discount factor is identical to unity. Second, we consider the restrictio...
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作者：Giannetti, Mariassunta; Kahraman, Bige
作者单位：Stockholm School of Economics; Center for Economic & Policy Research (CEPR); University of Oxford
摘要：We provide evidence that open-end organizational structures undermine incentives for asset managers to attack long-term mispricing. We compare open-end funds with closed-end funds. Closed-end funds purchase more underpriced stocks than do open-end funds, especially if the stocks involve high arbitrage risk. We then show that hedge funds with high share restrictions having a lower degree of open-endedness also trade against long-term mispricing to a larger extent than do other hedge funds. Our ...
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作者：Hertzberg, Andrew; Liberman, Andres; Paravisini, Daniel
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; New York University; University of London; London School Economics & Political Science
摘要：We exploit a natural experiment in the largest online consumer lending platform to provide the first evidence that loan terms, in particular maturity choice, can be used to screen borrowers based on their private information. We compare two groups of observationally equivalent borrowers who took identical unsecured 36-month loans; for only one of the groups, a 60-month loan was also available. When a long-maturity option is available, fewer borrowers take the short-term loan, and those who do ...
