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作者：Ramirez, Carlos A.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Changes in the propagation of shocks along firm networks are important to understanding aggregate and cross-sectional features of stock returns. When calibrated to match key characteristics of supplier-customer networks in the United States, a model in which firms are interlinked via enduring relationships generates long-run consumption risks, high and volatile risk premiums, and a small and stable risk-free rate. The model also matches cross-sectional patterns of portfolio returns sorted by f...
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作者：Atanassov, Julian; Julio, Brandon; Leng, Tiecheng
作者单位：University of Nebraska System; University of Nebraska Lincoln; University of Oregon; Harbin Institute of Technology
摘要：We use close gubernatorial elections as a quasi-natural experiment to document a positive effect of political uncertainty on firm-level R&D. This finding is in contrast to the existing literature documenting a negative impact of political uncertainty on capital investment. We examine potential mechanisms and find that our results are consistent with the growth option view of R&D investment. The effect is stronger for politically sensitive and high-tech industries.The results are robust to diff...
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作者：Khomyn, Marta; Putnins, Talis; Zoican, Marius
作者单位：University of Adelaide; University of Technology Sydney; University of Calgary; University of Toronto
摘要：We analyze how ETFs compete. Drawing on a new model and empirical analysis, we show that ETF secondary market liquidity plays a key role in determining fees. More liquid ETFs for a given index charge higher fees and attract short-horizon investors who are more sensitive to liquidity than to fees. Higher turnover from these investors sustains the ETF's high liquidity, allowing the ETF to extract a rent through its fee, and creating a first-mover advantage. Liquidity segmentation through cliente...
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作者：Golez, Benjamin; Jackwerth, Jens
作者单位：University of Notre Dame; University of Konstanz
摘要：We estimate short-term dividend strip prices from 27 years of S&P 500 index options data (1996-2022). We use option-implied interest rates when estimating strip prices and longer holding period returns to mitigate measurement error. We find that Sharpe ratios for short-term strips are similar to or higher than Sharpe ratios for the market. Short-term strips also have a low market beta and a positive alpha. Over the business cycle, realized term premiums (ie, the difference between market and s...
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作者：Xu, Qiping; Zwick, Eric
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of Chicago
摘要：This paper studies tax-minimizing investment, whereby firms tilt capital purchases toward year-end to reduce taxes. We use this pattern to characterize how taxes affect investment behavior. We exploit variation in firm tax positions from administrative data to confirm that tax minimization causes spikes. Spikes increase when firms face financial constraints or higher option values of waiting. Cumulative investment does not completely reverse after spikes. We develop an investment model with ta...
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作者：Darmouni, Olivier; Mota, Lira
作者单位：Columbia University; Massachusetts Institute of Technology (MIT)
摘要：We construct a novel panel data set to provide new evidence on how the largest nonfinancial firms manage their financial assets. Our granular data show that, over the past decade, bond portfolios have grown to be at least as large as cash-like instruments, driven by the meteoric rise of corporate bond holdings. To shed light on the drivers of this growth, we conduct a pair of event studies around the 2017 tax reform and the 2020 liquidity crisis. We find that large holdings of marketable secur...
