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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：Daley, Brendan; Green, Brett; Vanasco, Victoria
作者单位：Johns Hopkins University; Washington University (WUSTL); Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI)
摘要：We investigate the effect of scrutiny (e.g., credit ratings, analyst reports, or mandatory disclosures) on the security design problem of a privately informed issuer. We show that scrutiny has important implications for both the form of security designed and the amount of inefficient retention of cash flows. The model predicts that issuers will design informationally sensitive securities (i.e., levered equity) when scrutiny is sufficiently intense. Otherwise, issuers opt for a standard debt co...
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作者：Liu, Haoyang; Parker, Dean; Ramcharan, Rodney
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Dallas; New York University; University of Southern California
摘要：We study the impact of the refinancing channel of monetary policy on very small and medium-sized businesses. Using data covering the near universe of these businesses, we find that increased household refinancing reduces the probability that a business exits or exhausts its debt capacity in the calendar year, as well as 6 years after the first exposure. It also helps younger businesses maintain credit relationships. Financial factors, like business liquidity, as well as local demand dependence...
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作者：Converse, Nathan; Levy-Yeyati, Eduardo; Williams, Tomas
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Universidad Torcuato Di Tella; George Washington University
摘要：We study how the growth of exchange-traded funds (ETFs) affects the sensitivity of international capital flows to the global financial cycle. Using comprehensive fund-level data on investor flows, we show that their sensitivity to global financial conditions for equity (bond) ETFs is 2.5 (2.25) times higher than for equity (bond) mutual funds. This higher sensitivity can be directly linked to ETFs underlying shorter-trading-horizon clientele that trades more often in response to shocks. Using ...
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作者：Xiong, Yan; Yang, Liyan
作者单位：Hong Kong University of Science & Technology; University of Toronto; Peking University
摘要：We study the observability of investors' information-acquisition activities in financial markets. Improving observability leads to two strategic effects on information acquisition: (1) the pricing effect, which arises from interactions between investors and the market maker and can encourage or discourage information acquisition, and (2) the competition effect, which concerns interactions among investors and always encourages information acquisition. We apply our theory to study voluntary and ...
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作者：Boyarchenko, Nina; Larsen, Lars C.; Whelan, Paul
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Center for Economic & Policy Research (CEPR); Copenhagen Business School
摘要：This paper documents that U.S. equity returns are large and positive during the opening hours of European markets. These returns are pervasive and highly economically and statistically significant. Consistent with models of inventory risk, we demonstrate a strong relationship with order imbalances at the close of the preceding U.S. trading day. Rationalizing unconditionally positive overnight drift returns, we uncover an asymmetric reaction to demand shocks: market sell-offs generate robust po...
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作者：Belo, Frederico; Donangelo, Andres; Lin, Xiaoji; Luo, Ding
作者单位：INSEAD Business School; Centre for Economic Policy Research - UK; University of Minnesota System; University of Minnesota Twin Cities; City University of Hong Kong
摘要：We document that the aggregate hiring rate of publicly traded firms in the U.S. economy negatively predicts stock market returns and long-term cash flows, and positively predicts short-term cash flows. In addition, through a variance decomposition, we show that the time-series variation in the aggregate hiring rate is mainly driven by changes in discount rates and short-term expected cash flows, with no contribution from variation in long-term expected cash flows. We estimate a neoclassical dy...
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作者：Bali, Turan G.; Beckmeyer, Heiner; Morke, Mathis; Weigert, Florian
作者单位：Georgetown University; University of Munster; University of St Gallen; University of Neuchatel
摘要：Drawing upon more than 12 million observations over the period from 1996 to 2020, we find that allowing for nonlinearities significantly increases the out-of-sample performance of option and stock characteristics in predicting future option returns. The nonlinear machine learning models generate statistically and economically sizable profits in the long-short portfolios of equity options even after accounting for transaction costs. Although option-based characteristics are the most important s...
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作者：Dasgupta, Sudipto; Huynh, Thanh D.; Xia, Ying
作者单位：Chinese University of Hong Kong; Monash University; Monash University
摘要：We find that firms reduce toxic emissions at their local plants following EPA enforcement actions against nearby plants operated by peer firms that compete in the same product market. These reductions are more pronounced for plants located near socially responsible mutual funds (SRMFs) that hold these plants' parent firms' shares. Close proximity to SRMFs is associated with real investment in abatement measures to mitigate emissions. While plants increase emissions again in the long run, such ...
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作者：Gahng, Minmo; Ritter, Jay R.; Zhang, Donghang
作者单位：Cornell University; State University System of Florida; University of Florida; University of South Carolina System; University of South Carolina Columbia
摘要：Going public by merging with a Special Purpose Acquisition Company (SPAC) is much more expensive than conducting a traditional IPO. We rationalize why some companies merge with a SPAC by listing the potential benefits. We analyze the agency problems that certain SPAC features address. SPAC IPO investors and deal sponsors have earned remarkably high annualized average returns, although we warn that recent deals are likely to disappoint. Public investors in the merged companies have earned very ...
