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作者：Hvidberg, Kristoffer Balle
作者单位：University of Copenhagen
摘要：This paper documents how extensive economic education can reduce the risk of getting into financial trouble by comparing people who enter business and economics programs with people who enter other higher education programs. To identify the causal effect, I exploit GPA admission thresholds that quasi-randomize applicants near the thresholds into different higher education programs. I find that admission to an economics program reduces the probability of loan default and delinquency by one half...
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作者：Cao, Sean; Jiang, Wei; Yang, Baozhong; Zhang, Alan L.
作者单位：University System of Maryland; University of Maryland College Park; Emory University; University System of Georgia; Georgia State University; State University System of Florida; Florida International University
摘要：Growing AI readership (proxied for by machine downloads and ownership by AI-equipped investors) motivates firms to prepare filings friendlier to machine processing and to mitigate linguistic tones that are unfavorably perceived by algorithms. Loughran and McDonald (2011) and BERT available since 2018 serve as event studies supporting attribution of the decrease in the measured negative sentiment to increased machine readership. This relationship is stronger among firms with higher benefits to ...
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作者：Danielsson, Jon; Valenzuela, Marcela; Zer, Ilknur
作者单位：University of London; London School Economics & Political Science; Pontificia Universidad Catolica de Chile; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We investigate the effects of financial risk cycles on business cycles, using a panel spanning 73 countries since 1900. Agents use a Bayesian learning model to form their beliefs about risk. We construct a proxy of these beliefs and show that perceived low risk encourages risk-taking, augmenting growth at the cost of accumulating financial vulnerabilities, and, therefore, a reversal in growth follows. The reversal is particularly pronounced when the low-risk environment persists and credit gro...
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作者：Goulding, Christian L.; Santosh, Shrihari; Zhang, Xingtan
作者单位：Research Affiliates LLC; University System of Maryland; University of Maryland College Park; University of Colorado System; University of Colorado Boulder
摘要：We study the interaction between noisy demand and skewed asset payoffs. In our model, price as a function of quantities is convex in a neighborhood around zero if and only if skewness is positive. The combination of convexity and noise produces the idiosyncratic skewness effect, a documented negative relationship between an asset's idiosyncratic skewness and its expected return. We further offer an explanation for the idiosyncratic volatility puzzle. Finally, our theory predicts that higher id...
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作者：Iyer, Ganesh; Manso, Gustavo
作者单位：University of California System; University of California Berkeley
摘要：We investigate the strategic role of a recommender who cares about accuracy and whose recommendations influence product quality. In the presence of such feedback effects, recommendations have a self-fulling property: the recommendation agent can select any firm that will end up being the firm with the best quality. This produces important inefficiencies that include (a) a lack of incentive to acquire valuable information, (b) a status quo bias, and (c) the avoidance of risky innovations. Monet...
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作者：Abis, Simona; Veldkamp, Laura
作者单位：University of Colorado System; University of Colorado Boulder; Columbia University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：Big data technologies change the way in which data and labor combine to create knowledge. Is this a modest innovation or a data revolution? Using hiring and wage data, we estimate firms' data stocks and their knowledge production functions. Quantifying changes in production functions informs us about the likely long-run changes in output, in factor shares, and in the distribution of income, due to big data technologies. For the investment management industry, our structural estimates predict a...
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作者：Ballensiefen, Benedikt; Ranaldo, Angelo; Winterberg, Hannah
作者单位：University of St Gallen; The World Bank; Swiss Finance Institute (SFI)
摘要：A repurchase agreement (repo) is a source of cash and collateral. We document that the money market is more segmented when the collateral motive prevails. Two crucial aspects of the central bank framework lead to this disconnect: banks' access to the central bank's deposit facility and assets' eligibility for quantitative easing (QE). We show that repo rates lent by banks with access to the deposit facility and secured by QE eligible assets are more collateral-driven and disconnected from fund...
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作者：Schwarz, Christopher; Sun, Zheng
作者单位：University of California System; University of California Irvine
摘要：We study the speed with which investors learn about managers' skills by examining how quickly investor and managers' beliefs converge. After showing our measure proxies for the change in the dispersion of beliefs, we find that hedge fund investors learn as fast as suggested by Bayes' rule. However, we find mutual fund investors learn more slowly than suggested by Bayes' rule. Mutual fund investors' slow learning is not due to the use of different performance measures, institutional frictions, ...
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作者：Daniel, Kent; Klos, Alexander; Rottke, Simon
作者单位：Columbia University; National Bureau of Economic Research; University of Kiel; University of Amsterdam
摘要：In this paper, we infer how the estimates of firm value by optimists and pessimists evolve in response to information shocks. Specifically, we examine returns and disagreement measures for portfolios of short-sale-constrained stocks that have experienced large gains or large losses. Our analysis suggests the presence of two groups, one of which overreacts to new information and remains biased over about 5 years, and a second group, which underreacts and whose expectations are unbiased after ab...
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作者：Kakhbod, Ali; Loginova, Uliana; Malenko, Andrey; Malenko, Nadya
作者单位：University of California System; University of California Berkeley; University of Michigan System; University of Michigan; Centre for Economic Policy Research - UK; European Corporate Governance Institute
摘要：We study the effectiveness of shareholder engagement, that is, shareholders communicating their views to management. When shareholders and management have different beliefs, each shareholder engages more effectively when other shareholders engage as well. A limited shareholder base can thus prevent effective engagement. However, a limited shareholder base naturally arises under heterogeneous beliefs because investors who most disagree with management do not become shareholders. Passive funds, ...
