-
作者：Brown, Gregory W.; Howard, Philip; Lundblad, Christian T.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Wake Forest University
摘要：Hedge fund positions are an important component of crowded trades. These vehicles are particularly active, take highly concentrated positions, and utilize leverage and short sales. Using a database of hedge fund holdings, we measure the degree of security-level crowdedness. The difference between the average returns on portfolios sorted by high versus low crowdedness portfolios is sizable, and the variation in the realized portfolio returns is distinct from other traditional risk factors. Furt...
-
作者：Barroso, Pedro; Saxena, Konark
作者单位：Universidade Catolica Portuguesa; University of New South Wales Sydney
摘要：Portfolio optimization often struggles in realistic out-of-sample contexts. We deconstruct this stylized fact by comparing historical forecasts of portfolio optimization inputs with subsequent out-of-sample values. We confirm that historical forecasts are imprecise guides of subsequent values, but we discover the resultant forecast errors are not entirely random. They have predictable patterns and can be partially reduced using their own history. Learning from past forecast errors to calibrate...
-
作者：Gupta, Arpit; Hansman, Christopher
作者单位：New York University; Imperial College London
摘要：We ask whether the correlation between mortgage leverage and default is due to moral hazard (the causal effect of leverage) or adverse selection (ex ante risky borrowers choosing larger loans). We separate these information asymmetries using a natural experiment resulting from the contract structure of option adjustable-rate mortgages and unexpected 2008 divergence of indexes that determine rate adjustments. Our point estimates suggest that moral hazard is responsible for 40% of the correlatio...
-
作者：Cai, Jay; Nguyen, Tu; Walkling, Ralph
作者单位：Drexel University; University of Waterloo; University System of Ohio; Ohio State University; Drexel University
摘要：Using 9,801 director appointments during 2003-2014, we document the dramatic impact of connections. Sixty-nine percent of new directors have professional ties to incumbent boards, a group representing 13% of all potential candidates. Consistent with facilitating coordination and reducing search costs, connections help boards bring in gender diversity, new skills, and new industry background. More complex firms and firms in more competitive environments tend to appoint connected directors and e...
-
作者：Efing, Matthias; Hau, Harald; Kampkoetter, Patrick; Rochet, Jean-Charles
作者单位：Hautes Etudes Commerciales (HEC) Paris; University of Geneva; Swiss Finance Institute (SFI); Eberhard Karls University of Tubingen
摘要：We argue that risk sharing motivates the bankwide structure of bonus pay. In the presence of financial frictions that make external financing costly, the optimal contract between shareholders and employees involves some degree of risk sharing whereby bonus pay partially absorbs negative earnings shocks. Using payroll data for 1.26 million employee-years in all functional divisions of Austrian, German, and Swiss banks, we uncover several empirical patterns in bonus pay that are difficult to rat...
-
作者：D'Acunto, Francesco; Hoang, Daniel; Weber, Michael
作者单位：Boston College; Helmholtz Association; Karlsruhe Institute of Technology; University of Chicago; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
摘要：Binding lower bounds on interest rates and large government deficits limit the scope of fiscal and monetary policies to stimulate households' spending through financial intermediaries and firms. Policy makers have thus been implementing unconventional policies that aim to increase households' spending directly through managing their expectations. We first show theoretically and empirically that higher inflation expectations increase households' consumption. We then design a difference-in-diffe...
-
作者：Krieger, Joshua; Li, Danielle; Papanikolaou, Dimitris
作者单位：Harvard University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Northwestern University
摘要：We provide evidence that risk aversion leads pharmaceutical firms to underinvest in radical innovation. We introduce a new measure of drug novelty based on chemical similarity and show that firms face a risk-reward trade-off: novel drug candidates are less likely to obtain FDA approval but are based on more valuable patents. Consistent with a simple model of costly external finance, we show that a positive shock to firms' net worth leads firms to develop more novel drugs. This suggests that ev...
-
作者：Heimer, Rawley Z.; Imas, Alex
作者单位：Boston College; University of Chicago
摘要：We show that constraints can improve financial decision-making by disciplining behavioral biases. In financial markets, restrictions on leverage limit traders' ability to borrow to open new positions. We demonstrate that regulation that restricts the provision of leverage to retail traders improves trading performance. By increasing the opportunity cost of postponing the realization of losses, leverage constraints improve traders' market timing and reduce their disposition effect. We replicate...
-
作者：Lee, Jeongmin; Parlour, Christine A.
作者单位：Washington University (WUSTL); University of California System; University of California Berkeley
摘要：We study the efficiency implications of funding directly provided by consumers. Intermediaries fail to finance all efficient projects, and crowdfunding can improve efficiency. Whereas intermediaries value projects based on cash flows, consumers also receive a consumption benefit. Unique to crowdfunding is the ability of consumers to commit to pay for the benefit, and the degree to which they can do so determines its efficiency. We discuss the implications of introducing a resale market for con...
-
作者：Xu, Qiping; Kim, Taehyun
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Chung Ang University
摘要：This paper documents evidence that financial constraints increase firms' toxic emissions given that firms actively trade off abatement costs against potential legal liabilities. Exploring three quasi-natural experiments in which firms' financial resources are likely exogenously affected, we find that relaxing financial constraints reduces U.S. public firms' toxic releases. The effects of financial constraints on toxic releases are amplified when regulatory enforcement and external monitoring w...
