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作者：Massa, Massimo; Schumacher, David; Wang, Yan
作者单位：INSEAD Business School; McGill University; McMaster University
摘要：We exploit the merger between BlackRock and Barclays Global Investors to study how changes in expected ownership concentration affect the investment behavior of funds and the cross-section of stocks worldwide. We find that funds with open-end structures and large exposure to commonly held stocks begin avoiding these stocks following the merger announcement. This leads to a permanent change in the composition of institutional ownership and a negative price and liquidity impact. We confirm these...
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作者：Bolton, Patrick; Santos, Tano; Scheinkman, Jose A.
作者单位：Columbia University; National Bureau of Economic Research; Princeton University
摘要：We propose an incentive-based theory of how a savings glut produces financial fragility. Originators must be incentivized to produce high-quality assets. Assets are distributed to informed intermediaries or uninformed investors. A savings glut reduces origination incentives by compressing spreads between the prices paid for high-quality assets by informed intermediaries and prices paid by uninformed investors for generic assets. The narrowing of spreads relaxes intermediaries' borrowing constr...
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作者：Cong, Lin William; He, Zhiguo; Li, Jiasun
作者单位：Cornell University; University of Chicago; National Bureau of Economic Research; George Mason University
摘要：The rise of centralized mining pools for risk sharing does not necessarily undermine the decentralization required for blockchains: because of miners' cross-pool diversification and pool managers' endogenous fee setting, larger pools better internalize their externality on global hash rates, charge higher fees, attract disproportionately fewer miners, and grow more slowly. Instead, mining pools as a financial innovation escalate miners' arms race and significantly increase the energy consumpti...
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作者：Bianchi, Daniele; Buchner, Matthias; Hoogteijling, Tobias; Tamoni, Andrea
作者单位：University of London; Queen Mary University London; University of Warwick; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark
摘要：In this note we revisit the empirical results in after correcting for using information not available at the time the forecast was made. Although we note a decrease in out-of-sample , the revised analysis confirms that bond excess return predictability from neural networks remains statistically and economically significant.
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作者：Isakov, Dusan; Perignon, Christophe; Weisskopf, Jean-Philippe
作者单位：University of Fribourg; Hautes Etudes Commerciales (HEC) Paris
摘要：We study the effect of dividend taxes on the payout and investment policies of publicly listed firms. We exploit a unique setting in Switzerland where, following the corporate tax reform of 2011, some but not all firms were suddenly able to pay tax-exempt dividends. We show that treated firms increase their dividend payout by around 30% after the tax cut. The effect on payout is less pronounced for firms prone to agency conflicts. We find a significant positive abnormal stock return after the ...
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作者：Dimmock, Stephen G.; Kouwenberg, Roy; Mitchell, Olivia S.; Peijnenburg, Kim
作者单位：National University of Singapore; Mahidol University; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of Pennsylvania; National Bureau of Economic Research; Universite Catholique de Lille; EDHEC Business School; Centre for Economic Policy Research - UK
摘要：We test whether probability weighting affects household portfolio choice in a representative survey. On average, people display inverse-S-shaped probability weighting, overweighting low probability events. As theory predicts, probability weighting is positively associated with portfolio underdiversification and significant Sharpe ratio losses. Analyzing respondents' individual stock holdings, we find higher probability weighting is associated with owning lottery-type stocks and positively skew...
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作者：Benamar, Hedi; Foucault, Thierry; Vega, Clara
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Hautes Etudes Commerciales (HEC) Paris
摘要：We use clickstream data to show that investors' demand for information about macroeconomic factors affecting the path of future interest rates is a measure of their uncertainty about this path. In particular, an increase in information demand ahead of influential economic announcements affecting investors' beliefs about future interest rates predicts a stronger reaction of U.S. Treasury note yields to these announcements, as it should if information demand positively covaries with uncertainty....
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作者：Cai, Ye; Xu, Jin; Yang, Jun
作者单位：Santa Clara University; Virginia Polytechnic Institute & State University; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：Corporate donations to charities affiliated with the board's independent directors (affiliated donations) are large and mostly undetected due to lack of formal disclosure. Affiliated donations may impair independent directors' monitoring incentives. CEO compensation is on average 9.4% higher at firms making affiliated donations than at other firms, and it is much higher when the compensation committee chair or a large fraction of compensation committee members are involved. We find suggestive ...
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作者：Braggion, Fabio; Dwarkasing, Mintra; Ongena, Steven
作者单位：Tilburg University; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of Zurich; Swiss Finance Institute (SFI); KU Leuven; Center for Economic & Policy Research (CEPR)
摘要：Economic theories posit conflicting hypotheses on how wealth inequality affects entrepreneurial dynamism. We investigate the impact of wealth inequality on business dynamics by constructing local measures of household wealth inequality based on financial rents, home equity, and 1880 farmland. We then identify the effect of wealth inequality on entrepreneurship by instrumenting it with land distribution under the 1862 Homestead Act. Wealth inequality decreases firm entry and exit, and the propo...
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作者：Chodorow-Reich, Gabriel; Ghent, Andra; Haddad, Valentin
作者单位：Harvard University; National Bureau of Economic Research; University of North Carolina; University of North Carolina Chapel Hill; University of California System; University of California Los Angeles
摘要：We construct a new data set tracking the daily value of life insurers' assets at the security level. Outside of the 2008-2009 crisis, a $1 drop in the market value of assets reduces an insurer's market equity by $0.10. During the financial crisis, this pass-through rises to $1. We explain this pattern by viewing insurance companies as asset insulators, institutions with stable, long-term liabilities that can ride out transitory dislocations in market prices. Illustrating the macroeconomic impo...
