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作者：Andries, Marianne; Bonelli, Maxime; Sraer, David
作者单位：University of Southern California; University of London; London Business School; University of California System; University of California Berkeley
摘要：We study an intervention by a brokerage firm providing advisory services to high-net-worth investors. In 2018, the firm changed the information displayed on its internal platform, so that financial advisors could no longer observe which clients' holdings were in paper gain or loss. Using data on portfolio stock transactions between 2016 and 2021, we show that, while all investors exhibit a significant disposition effect before 2018, that is, a greater propensity to realize gains than losses, h...
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作者：John, Kose; Rivera, Thomas J.; Saleh, Fahad
作者单位：New York University; McGill University; State University System of Florida; University of Florida
摘要：We develop an economic model to compare equilibrium security of Proof-of-Work (PoW) versus Proof-of-Stake (PoS) blockchains. We derive general conditions to determine when PoW blockchains are more secure than otherwise equivalent PoS blockchains and vice versa. Applying real-world parameter values to these conditions, we demonstrate that PoS blockchains are more secure than otherwise equivalent PoW blockchains. Furthermore, we demonstrate that PoS's security advantage over PoW is particularly ...
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作者：Andries, Marianne; Bianchi, Milo; Huynh, Karen K.; Pouget, Sebastien
作者单位：University of Southern California; Communaute d'universites et etablissements de Toulouse (Comue); Universite Toulouse 1 Capitole; Toulouse School of Economics
摘要：In an investment experiment, we show variations in information affect beliefs and decision-making within the information-beliefs-decisions chain. Subjects observe the time series of a risky asset and a signal that, in random rounds, helps predict returns. Subjects form extrapolative forecasts following a signal they perceive as useless, and their investment decisions underreact to their beliefs. If the same subjects perceive the signal as predictive, they rationally use it in their forecasts, ...
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作者：Driessen, Joost; Ebert, Sebastian; Koeter, Joren
作者单位：Tilburg University; Ruprecht Karls University Heidelberg; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We propose a new asset pricing model that generalizes the mean-variance framework by including probability weighting, specifically the overweighting of rare, high-impact events. Our model-the $ \Pi $-CAPM-generates several new predictions: (i) skewness has a positive price effect, amplified by volatility; (ii) the price effect of volatility is negative for left-skewed assets but positive for right-skewed assets; and (iii) option-implied variance premiums for stocks have a U-shaped relation to ...
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作者：Li, Jia; Phillips, Peter C. B.; Shi, Shuping; Yu, Jun
作者单位：Singapore Management University; Yale University; University of Auckland; Macquarie University; University of Macau
摘要：This paper explores implications of weak identification in common 'long memory' and recent 'rough' approaches to modeling volatility dynamics of financial assets. We unveil an asymptotic near-observational equivalence between a long memory model with weak autoregressive dynamics and a rough model with a near-unit autoregressive root. Standard methods struggle to distinguish them, and conventional asymptotics are invalid. We propose an identification-robust approach to construct confidence sets...
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作者：Slutzky, Pablo; Xu, Sheng-Jun
作者单位：University System of Maryland; University of Maryland College Park; University of Alberta
摘要：In the United States, a significant number of criminal defendants are held in pretrial detention and face substantial financial burdens. Matching individual-level criminal case records to household-level financial data, we exploit the quasi-random assignment of court commissioners to study how pretrial detention affects household solvency. We find that pretrial detention results in higher rates of household insolvency, driven by higher rates of chapter 7 bankruptcies and judgment liens, and hi...
