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作者：Hassan, Tarek A.; Hollander, Stephan; van Lent, Laurence; Schwedeler, Markus; Tahoun, Ahmed
作者单位：Boston University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; Tilburg University; Frankfurt School Finance & Management; University of London; London Business School
摘要：We construct text-based measures of the primary concerns listed firms associated with the spread of COVID-19 and other epidemic diseases. We identify which firms perceive to lose or gain from a given epidemic and textually decompose the epidemic's effect on the firm's demand and supply. We find that the effects of COVID-19 manifest as a simultaneous shock to demand and supply, with both shocks affecting firms' market valuations in equal measure on average. By contrast, demand-related impacts a...
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作者：Braggion, Fabio; von Meyerinck, Felix; Schaub, Nic
作者单位：Tilburg University; University of Zurich; WHU - Otto Beisheim School of Management
摘要：We analyze how individual investors respond to inflation. We introduce a unique data set containing information on local inflation and security portfolios of more than 2,000 clients of a German bank between 1920 and 1924, covering the German hyperinflation. We find that individual investors buy fewer (sell more) stocks when facing higher local inflation. This effect is more pronounced for less sophisticated investors. Moreover, we document a positive relation between local inflation and forgon...
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作者：Buss, Adrian; Sundaresan, Savitar
作者单位：Frankfurt School Finance & Management; Center for Economic & Policy Research (CEPR); Imperial College London
摘要：We identify a novel economic mechanism through which passive ownership positively affects informational efficiency in the cross-section of firms. Passive investors' inelastic demand lowers a firm's cost-of-capital, inducing it to take more risk. The higher cash flow variance, in turn, incentivizes active investors to acquire more precise private information, pushing up price informativeness for firms with high passive ownership. High passive ownership also implies higher stock prices and highe...
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作者：Hong, Harrison; Wang, Neng; Yang, Jinqiang
作者单位：Columbia University; National Bureau of Economic Research; Shanghai University of Finance & Economics
摘要：We model the welfare consequences of mandates that restrict investors to hold firms with net-zero carbon emissions. To qualify for these mandates, value-maximizing firms have to accumulate decarbonization capital. Qualification lowers a firm's required return by its decarbonization investments divided by Tobin's q, that is, the greenium or the dividend yield shareholders forgo to address the global-warming externality. The welfare-maximizing mandate approximates the first-best solution, yieldi...
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作者：Ortiz, Marcelo; Peter, Caspar David; Urzua, I. Francisco; Volpin, Paolo F.
作者单位：Pompeu Fabra University; Barcelona School of Economics; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; City St Georges, University of London; Drexel University; City St Georges, University of London
摘要：Taking advantage of the implementation of the 2003 European Commission (EC) directive on financial reporting, we explore the impact of mandatory financial disclosure on mergers and acquisitions (M & A). We find robust evidence that the number (and volume) of private firms becoming an M & A target increases with mandatory disclosure. Analyses of cross-industry differences, deal-level data, and post-deal performance indicate that financial disclosure increases M & A activity by reducing informat...
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作者：Bybee, Leland; Kelly, Bryan; Su, Yinan
作者单位：Yale University; National Bureau of Economic Research; Johns Hopkins University
摘要：We estimate a narrative factor pricing model from news text of The Wall Street Journal. Our empirical method integrates topic modeling (LDA), latent factor analysis (IPCA), and variable selection (group lasso). Narrative factors achieve higher out-of-sample Sharpe ratios and smaller pricing errors than standard characteristic-based factor models and predict future investment opportunities in a manner consistent with the ICAPM. We derive an interpretation of the estimated risk factors from narr...
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作者：He, Yazhou Ellen; Kahraman, Bige; Lowry, Michelle
作者单位：University of Manchester; University of Oxford; Center for Economic & Policy Research (CEPR); Drexel University
摘要：We examine whether shareholder votes in environmental and social (ES) proposals are informative about firms' ES risks. ES proposals are unique in that they nearly always fail. We examine whether mutual funds' support for these failed proposals contains information about the ES risks that firms face. Higher support in failed ES proposals predicts subsequent ES incidents and the effects of these incidents on shareholder value. Examining the detailed records of fund votes, we find that agency fri...
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作者：Gomez-Cram, Roberto; Olbert, Marcel
作者单位：University of London; London Business School
摘要：Over 140 countries agreed on a fundamental corporate tax reform in 2021 to be implemented in 2023 and beyond. To measure its potential effects, we study asset price changes within minutes of the reform announcements. We construct proxies for the reform's costs regarding U.S. companies' tax burdens and countries' public finances. Likely exposed companies exhibit significant negative stock returns. Our lower-bound estimates indicate total shareholder value losses of $112.6 billion one day after ...
