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作者：Ouazad, Amine; Kahn, Matthew E.
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作者：Jiang, Hao; Vayanos, Dimitri; Zheng, Lu
作者单位：Michigan State University; University of London; Centre for Economic Policy Research - UK; London School Economics & Political Science
摘要：We study how passive investing affects asset prices. Flows into passive funds disproportionately raise the stock prices of the economy's largest firms, especially those large firms in high demand by noise traders. Because of this effect, the aggregate market can rise even when flows are entirely due to investors switching from active to passive funds. Intuitively, passive flows increase the idiosyncratic risk of large firms in high demand, which discourages investors from correcting the flows'...
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作者：Voss, Paul
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：According to existing theories, short-term creditors promote corporate governance by responding quickly to new information. I show that this very feature of short-term debt can also undermine corporate governance. Though moderate levels of short-term debt improve the efficacy of blockholder exit and increase blockholders' incentives to engage with the firm, high levels of short-term debt impair governance. In particular, high levels of short-term debt render the threat of exit noncredible, mak...
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作者：Uhr, Charline
作者单位：Danish Finance Institute; Aarhus University
摘要：Does the performance of advisors' recommendations influence investors' propensity to seek advice again? I investigate a sample of calls between 10,063 German brokerage clients and financial advisors from 2005-2015. If advisors' recommendations in the initial meeting led to positive (vs. negative) performance, investors are 2.1 times more likely to arrange a second meeting. This effect is driven by the performance of the recommendations the investor decided to follow. Investors with positive pe...
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作者：Dong, Xi; Kang, Namho; Peress, Joel
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); Bentley University; INSEAD Business School
摘要：We document that persistent aggregate capital flows to hedge and mutual funds predict monthly factor returns with an out-of-sample R2 reaching 6.6%. Transient flows display no such power despite being more predictable. We show-both empirically and theoretically-that persistent flows' predictive power stems from active fund managers' capital constraints. As a result, managers invest persistent, but not transient, capital flows into factor trading strategies, leading to factor-return predictabil...
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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...
