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作者：Hoberg, Gerard; Kumar, Nitin; Prabhala, Nagpurnanand
作者单位：University of Southern California; Indian School of Business (ISB); Johns Hopkins University
摘要：We show that a new measure of buy-side competition explains momentum profits. The momentum quintile spread is 1.11% when competition is low and negligible when competition is high. Better alphas are attained with superior Sharpe and Sortino ratios, with no negative skewness, and in more investible strategies featuring value-weighted portfolios and large capitalization stocks. Stock characteristics traditionally related to momentum do not explain our results. Tests based on long-term reversals,...
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作者：Liu, Tim; Makridis, Christos A.; Ouimet, Paige; Simintzi, Elena
作者单位：Utah System of Higher Education; University of Utah; Columbia University; University of North Carolina; University of North Carolina Chapel Hill
摘要：Why do firms offer nonwage compensation instead of the equivalent amount in financial compensation? We argue that firms use nonwage benefits, specifically female-friendly benefits, such as maternity leave, to increase gender diversity by efficiently attracting women. Using Glassdoor data, we show that firms offer higher-quality maternity leave benefits in labor markets in which female talent is relatively scarce. This result also holds more generally when examining all female-friendly nonwage ...
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作者：Stafford, Erik
作者单位：Harvard University
摘要：The contributions of asset selection and incremental leverage to buyout investment performance are more important than typically assumed or estimated to be. Buyout funds select small firms with distinct value characteristics. Public equities with these characteristics have high risk-adjusted returns relative to common factors. Adding incremental leverage to a publicly traded stock portfolio increases both risks and mean returns in this sample. Direct investments in private equity funds earn lo...
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作者：Correa, Ricardo; Paligorova, Teodora; Sapriza, Horacio; Zlate, Andrei
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We analyze the impact of monetary policy on cross-border bank flows for a large sample of countries over two decades. We find evidence in favor of a cross-border risk-taking channel, as the monetary policy stance of source countries is an important determinant of cross-border bank flows. A relatively tighter monetary policy in source countries prompts banks to reallocate their lending toward safer foreign counterparties. The cross-border reallocation of credit is more pronounced for source cou...
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作者：D'Acunto, Francesco; Rossi, Alberto G.
作者单位：Boston College; Georgetown University
摘要：We document four secular trends about U.S. mortgage origination by traditional and FinTech lenders after the 2008-2009 financial crisis. First, since 2011, the overall number, size, and approval rate of small and medium-sized loans have been decreasing over time, relative to large loans. Second, the largest lenders redistribute their lending the most. Third, this loan-size redistribution of credit increases in the size of the lender. Fourth, the effects are stronger for mortgages further away ...
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作者：Florackis, Chris; Louca, Christodoulos; Michaely, Roni; Weber, Michael
作者单位：University of Liverpool; Cyprus University of Technology; University of Hong Kong; University of Chicago; National Bureau of Economic Research
摘要：Based on textual analysis and a comparison of cybersecurity risk disclosures of firms that were hacked to others that were not, we propose a novel firm-level measure of cybersecurity risk for all U.S.-listed firms. We then examine whether cybersecurity risk is priced in the cross-section of stock returns. Portfolios of firms with high exposure to cybersecurity risk outperform other firms, on average, by up to 8.3% per year. Yet, high-exposure firms perform poorly in periods of high cybersecuri...
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作者：Chaigneau, Pierre; Edmans, Alex; Gottlieb, Daniel
作者单位：Queens University - Canada; University of London; London Business School; Centre for Economic Policy Research - UK; European Corporate Governance Institute; University of London; London School Economics & Political Science
摘要：The informativeness principle states that a contract should depend on informative signals. This paper studies how it should do so. Signals indicating that the output distribution has shifted to the left (e.g., weak industry performance) reduce the threshold for the manager to be paid; those indicating that output is a precise measure of effort (e.g., low volatility) decrease high thresholds and increase low thresholds. Surprisingly, good signals of performance need not reduce the threshold. Ap...
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作者：Keys, Benjamin J.; Mahoney, Neale; Yang, Hanbin
作者单位：University of Pennsylvania; National Bureau of Economic Research; Stanford University; Harvard University
摘要：We use credit report data to study consumer financial distress in America. We report large, persistent disparities in financial distress across regions. To understand these patterns, we conduct a movers analysis. For collections and default, there is only weak convergence following a move, suggesting these types of distress are not primarily caused by place-based factors (e.g., local economic conditions and state laws) but instead reflect person-based characteristics (e.g., financial literacy ...
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作者：Hartzmark, Samuel M.; Solomon, David H.
作者单位：University of Chicago; National Bureau of Economic Research; Boston College
摘要：Investors' perception of performance is biased because the relevant measure, returns, is rarely displayed. Major indices ignore dividends, thereby underreporting market performance. Newspapers are more pessimistic on ex-dividend days, consistent with mistaking the index for returns. Market betas should track returns, but track prices more than dividends, creating predictable returns. Mutual funds receive inflows for beating the S&P 500 price index based on net asset value (also not a return). ...
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作者：Lie, Erik; Yang, Keyang (Daniel)
作者单位：University of Iowa; Washington State University
摘要：We first compare several measures of import penetration and find that total imports, tariffs, and exchange rates are endogenous, while imports from China are largely exogenous. Then we examine the effects of Chinese import penetration on executive compensation of U.S. firms. We document that Chinese import penetration reduces executives' stock grants and wealth-performance sensitivity, suggesting that competition mitigates agency problems and the need for conventional alignment mechanisms. Aut...
