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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：Hackethal, Andreas; Hanspal, Tobin; Hartzmark, Samuel M.; Brauer, Konstantin
作者单位：Goethe University Frankfurt; Vienna University of Economics & Business; Boston College; National Bureau of Economic Research
摘要：We educate investors about the benefits of dividend reinvestment and costs of misperceiving dividends as free income. The intervention increases planned dividend reinvestment in survey responses. Using trading records, we observe a causal increase in dividend reinvestment in the field of roughly 50 cents for every euro received. This holds relative to investors' prior behavior and various control samples. Investors who learned the most from the intervention update their trading the most. The r...
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作者：Ma, Song
作者单位：Yale University; National Bureau of Economic Research
摘要：This paper proposes a new measure of technological obsolescence using detailed patent data. The measure contains incremental information about firm innovation relative to measures focusing on new innovation. Using this measure, we present two sets of results. First, firms' technological obsolescence foreshadows substantially lower growth, productivity, and reallocation of capital. This finding mainly applies to obsolescence of core innovation and embodied innovation, and it is stronger in comp...
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作者：Zhang, Yingguang; Zhu, Yandi; Linnainmaa, Juhani T.
作者单位：Peking University; Central University of Finance & Economics; Dartmouth College; National Bureau of Economic Research
摘要：Binsbergen, Han, and Lopez-Lira (2023) predict analysts' forecast errors using a random forest model. A strategy that trades against this model's predictions earns a monthly alpha of 1.54% ($ t $-value = 5.84). This estimate represents a large improvement over studies using classical statistical methods. We attribute the difference to a look-ahead bias. Removing the bias erases the alpha. Linear models yield as accurate forecasts and superior trading profits. Neither alternative machine learni...
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作者：Loewenstein, Mark; Qin, Zhenjiang
作者单位：University System of Maryland; University of Maryland College Park; University of Macau
摘要：Financial transaction taxes, or generally transaction costs, are salient in derivatives markets and seldom studied in equilibrium models. We study a tractable model with proportional transaction costs where agents trade a derivative with nonlinear payoffs to hedge nontraded endowments. We show that trade is sustained in an equilibrium with transaction costs only if there is sufficient heterogeneity in risk aversion. When there is trade, the equilibrium return variance increases in transaction ...
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作者：Boutros, Michael; Ben-David, Itzhak; Graham, John R.; Harvey, Campbell R.; Payne, John W.
作者单位：University of Toronto; University System of Ohio; Ohio State University; National Bureau of Economic Research; Duke University
摘要：We analyze a panel of over 28,400 S&P 500 return forecasts by CFOs to examine whether the extent of CFOs' miscalibration-providing forecast confidence intervals that are too narrow-decreases over time. We find no improvement with task repetition nor evidence of learning, that is, no improvement in response to past performance. Across CFOs, miscalibration appears to be a persistent personal trait. We find some evidence that the degree of miscalibration is related to birth cohort and stock marke...
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作者：Guo, Hongye
作者单位：University of Hong Kong
摘要：The U.S. stock market's return during the first month of a quarter correlates strongly with returns in future months, but the correlation is negative if the future month is the first month of a quarter, and positive if it isn't. These correlations offset, consistent with the well-known near-zero unconditional autocorrelation, yet they are pervasive, present across industries and countries. The pattern accords with a model in which investors extrapolate announced earnings to predict future earn...
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作者：Agarwal, Vikas; Aragon, George O.; Nanda, Vikram; Wei, Kelsey
作者单位：University System of Georgia; Georgia State University; Arizona State University; Arizona State University-Tempe; University of Texas System; University of Texas Dallas
摘要：Stocks expected to be sold by distressed mega hedge funds (MHFs) face anticipatory institutional selling and increased short interest. However, no evidence of anticipatory trading is found in stocks held by nondistressed MHFs, distressed non-MHFs, or stocks confidentially held by distressed MHFs, suggesting that public portfolio disclosure by large and closely followed distressed investors, and not common investment signals, drives anticipatory trading. Distressed MHFs with greater exposure to...
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作者：He, Li; Whited, Toni M.; Guo, Ran
作者单位：Indiana University System; Indiana University Bloomington; University of Michigan System; University of Michigan; National Bureau of Economic Research; Shanghai Jiao Tong University
摘要：We examine how relative performance evaluation (RPE) affects industry competition-a question relevant for corporate boards interested in incentivizing executives. Using U.S. airline data, we estimate a dynamic game of competition between heterogeneous firms in an oligopolistic market, with managers incentivized by RPE contracts. While RPE can induce a firm to compete more intensely by smoothing compensation, it also amplifies a firm's cost efficiency relative to its peers and can weaken compet...
