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作者：Engelberg, Joseph; Lu, Runjing; Mullins, William; Townsend, Richard
作者单位：University of California System; University of California San Diego; University of Toronto; National Bureau of Economic Research
摘要：We document political sentiment effects on U.S. inventors. Democratic inventors are more likely to patent (relative to Republicans) after the 2008 election of Obama but less likely after the 2016 election of Trump. These effects are at least twice as strong among politically active Democrats and are present even within firms and within firm$ \times $technology. We also show that partisans tend to cluster in technologies (e.g., Democrats in Biotechnology and Republicans in Weapons), so that sen...
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作者：Hansman, Christopher; Hong, Harrison; Jiang, Wenxi; Liu, Yu-Jane; Meng, Juan-Juan
作者单位：Emory University; Columbia University; Chinese University of Hong Kong; Peking University
摘要：There is causal evidence that mortgage credit expansions increase house prices. Does an expansion of margin lending increase stock prices? Because unconstrained arbitrageurs are more important for pricing stocks than homes, the impact is not obvious. Tests are limited because sizable shocks to margin lending are rare. We examine a major Chinese margin-lending expansion between 2010 and 2015. Institutional holding, regression discontinuity, and event study evidence-exploiting the rollout of mar...
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作者：Clifford, Christopher P.; Ellis, Jesse A.; Gerken, William C.
作者单位：University of Kentucky; North Carolina State University
摘要：This paper examines the impact of childhood cultural upbringing on financial advisor misconduct using novel data on advisors' childhood addresses. We find that an advisor's childhood location significantly predicts misconduct, with exposure to misbehavior culture during childhood playing a stronger role than exposure during adulthood. Addressing endogeneity concerns, we conduct several tests that support the notion that our results reflect cultural exposure rather than advisors' employment cho...
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作者：Li, Kai; Li, Yingying; Lyu, Changlei; Yu, Jialin
作者单位：Peking University Shenzhen Graduate School (PKU Shenzhen); Peking University; 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：Fu, Julie Zhiyu; Li, Jian; Xie, Yinxi
作者单位：Washington University (WUSTL); Columbia University; Indiana University System; Indiana University Bloomington
摘要：We present new facts on how convenience yields fluctuate with macroeconomic variables and fiscal policy: the convenience yield of long-term Treasuries is negatively correlated with inflation expectations, and inflation expectations predict future debt-to-GDP growth. To rationalize these findings, we incorporate the convenience yield into a macro-finance model with endogenous fiscal policy. The government finances deficit shocks partially through higher inflation and partially through more futu...
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作者：Sanati, Ali; Beyhaghi, Mehdi
作者单位：American University; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：The impact of tax benefits of debt on firms remains an open question. The 2017 U.S. tax reform limited the tax advantage of debt for all firms except for small businesses with average sales below $25 million. A regression discontinuity design based on the exception threshold shows that, as tax benefits of debt shrink, corporate debt declines significantly, while equity does not increase sufficiently to offset the reduction. Treated firms also decrease their investments due to the higher cost o...
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作者：Giambona, Erasmo; Kumar, Anil; Phillips, Gordon M.
作者单位：Syracuse University; Aarhus University; Danish Finance Institute; Dartmouth College; National Bureau of Economic Research
摘要：We study how risk management through hedging affects firms and competition among firms in the life insurance industry, an industry with over 7 trillion in assets and over 1,000 private and public firms. We examine firms after a staggered state-level reform that reduces the costs of hedging by granting derivatives superpriority in case of insolvency. We show that firms that are likely to face costly external finance increase hedging and reduce risk and the probability of receivership. Firms tha...
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作者：Wu, Liuren; Zhang, Yuzhao
作者单位：City University of New York (CUNY) System; Baruch College (CUNY)
摘要：This paper proposes a top-down linear option pricing model that unifies the pricing of different option contracts not by assuming common dynamics but by imposing common pricing on each risk source in proportion to decentralized risk estimates. The model generates significantly better pricing performance than existing bottom-up models. Its high-dimensional risk structure effectively explains the options return variation, allowing for the seamless integration of option pricing with risk manageme...
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作者：Kaniel, Ron; Wang, Pingle
作者单位：University of Rochester; Centre for Economic Policy Research - UK; University of Texas System; University of Texas Dallas
摘要：Using new SEC data, we study fund derivative use and its impact on performance. Despite small portfolio weights, derivatives contribute largely to fund returns. Contrary to prior research, we find most employ derivatives to amplify, not hedge, equity returns. Using machine learning to classify funds' derivative strategies reveals high specializations linked to information-related trading, liquidity management, gaining exposure, or hedging motives. Long index derivative users drive the amplific...
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作者：Traweek, Virginia; Wardlaw, Malcolm
作者单位：Texas Christian University; University System of Georgia; University of Georgia
摘要：We study depositor behavior and capital flight using data from the Freedman's Savings Bank, a bank established after the U.S. Civil War to support formerly enslaved individuals. White depositors, who generally had better access to financial information, begin providing significant funding as interest terms are enhanced. They respond faster to postpanic stabilization efforts and negative bank-specific information, and are twice as likely to close accounts before failure, passing expected losses...
