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作者：Levine, Ross; Lin, Chen; Tai, Mingzhu; Xie, Wensi
作者单位：University of California System; University of California Berkeley; University of Hong Kong; Chinese University of Hong Kong
摘要：Why did banks experience massive deposit inflows during the pandemic? We discover that deposit interest rates at bank branches in counties with higher COVID-19 infection rates fell by more than rates at branches-even branches of the same bank-in counties with lower infection rates. Credit drawdowns, national policies, such as the Payment Protection Program, and a flight-to-safety do not account for these cross-branch changes in deposit rates. Evidence suggests that higher local COVID-19 infect...
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作者：Dicks, David; Fulghieri, Paolo
作者单位：Baylor University; University of North Carolina; University of North Carolina Chapel Hill; Center for Economic & Policy Research (CEPR); European Corporate Governance Institute
摘要：We develop a theory of innovation waves, investor sentiment, and merger activity based on Knightian uncertainty. Uncertainty-averse investors are more optimistic on an innovation when they can make contemporaneous investments in multiple uncertain projects. Innovation waves occur when there is a critical mass of innovative companies, and are characterized by stronger investor sentiment, higher equity valuation, and hot initial public offering markets. Our approach to investor sentiment is not ...
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作者：Gabriel, Stuart; Iacoviello, Matteo; Lutz, Chandler
作者单位：University of California System; University of California Los Angeles; Federal Reserve System - USA; Federal Reserve System Board of Governors; U.S. Securities & Exchange Commission (SEC)
摘要：We investigate the impact of Great Recession policies in California that substantially increased lender pecuniary and time costs of foreclosure. We estimate that the California Foreclosure Prevention Laws (CFPLs) prevented 250,000 California foreclosures (a 20% reduction) and created $300 billion in housing wealth. The CFPLs boosted mortgage modifications and reduced borrower transitions into default. They also mitigated foreclosure externalities via increased maintenance spending on homes tha...
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作者：Zviadadze, Irina
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：This paper develops a methodology to test structural asset pricing models based on their implications for the multiperiod risk-return trade-off. A new measure, the term structure of risk, captures the sensitivities of multiperiod expected returns to structural shocks. The level and slope of the term structure of risk can indicate misspecification in equilibrium models. I evaluate the performance of asset pricing models with long-run risk, consumption disasters, and variance shocks. I find that...
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作者：Tian, Mary
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：In a novel model mining experiment, we data mine hundreds of randomly constructed three-factor models and find that many outperform well-known models from the literature, including those with four and five factors. The results provide compelling evidence that the threshold of factor model success needs to be raised. Confidence intervals for model rankings, derived from a bootstrap simulation, offer new insights into the consistency of a model's pricing ability. Rankings for some well-known mod...
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作者：Kini, Omesh; Williams, Ryan; Yin, Sirui
作者单位：University System of Georgia; Georgia State University; University of Arizona; University System of Ohio; Miami University
摘要：Using hand-collected data on CEO noncompete agreements (NCAs), we find that NCAs are less common when CEOs expect to incur greater personal costs from reduced job mobility and more common when firms expect to suffer greater economic harm if departing CEOs leave to work for a competitor. Additionally, turnover-performance sensitivity is stronger when CEOs have NCAs. Finally, total compensation and incentive pay are higher if CEOs have more enforceable NCAs. Our identification strategy exploits ...
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作者：Gao, Zhenyu; Sockin, Michael; Xiong, Wei
作者单位：Chinese University of Hong Kong; University of Texas System; University of Texas Austin; Princeton University; National Bureau of Economic Research
摘要：We develop a model to analyze information aggregation and learning in housing markets. Households enter a neighborhood by buying houses and consuming each other's final goods. In the presence of pervasive informational frictions, housing prices serve as important signals to households and capital producers about the neighborhood's economic strength. Our model provides a novel amplification mechanism in which noise from housing markets propagates throughout the local economy via learning becaus...
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作者：Anand, Amber; Samadi, Mehrdad; Sokobin, Jonathan; Venkataraman, Kumar
作者单位：State University of New York (SUNY) System; Southern Methodist University
摘要：Using detailed order handling data, we find that institutional brokers who route more orders to affiliated alternative trading systems (ATSs) are associated with lower execution quality (i.e., lower fill rates and higher implementation shortfall costs). To separate clients' preference for ATSs from brokers' routing decisions, we confirm these results for orders where brokers have more order handling discretion, matched broker analysis that accounts for ATS usage, matched child orders that acco...
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作者：Chernov, Mikhail; Creal, Drew
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of Notre Dame
摘要：Exposures of expected future nominal depreciation rates to the current interest rate differential violate the UIP hypothesis in a pattern that is a nonmonotonic function of horizon. Forward expected nominal depreciation rates are monotonic. We explain the two patterns by simultaneously incorporating the weak form of PPP into a joint model of the stochastic discount factor, the nominal exchange rate, and domestic and foreign yield curves. Departures from PPP generate the first pattern. The risk...
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作者：Chernenko, Sergey; Lerner, Josh; Zeng, Yao
作者单位：Purdue University System; Purdue University; Harvard University; National Bureau of Economic Research; University of Pennsylvania
摘要：Founder-friendly venture financings and nontraditional venture investors have both flourished over the past decade. Using detailed contract data, we study open-end mutual funds investing in private venture-backed firms. We posit that conflicts between early-stage venture investors and liquidity-constrained later-stage ones influence the classic agency problems affecting entrepreneurs and investors. We find that mutual funds with more stable funding are more likely to invest in private firms an...
