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作者：Saleh, Fahad
作者单位：Wake Forest University
摘要：Permissionless blockchains require a protocol to generate consensus. Many prominent permissionless blockchains employ Proof-of-Work (PoW) for that purpose, but PoW possesses significant shortcomings. Various alternatives have been proposed. This paper provides the first formal economic model of the most famous alternative, Proof-of-Stake (PoS), and establishes conditions under which PoS generates consensus. A sufficiently modest reward schedule not only implies the existence of an equilibrium ...
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作者：Aragon, George O.; Nanda, Vikram; Zhao, Haibei
作者单位：Arizona State University; Arizona State University-Tempe; University of Texas System; University of Texas Dallas; Lehigh University
摘要：We find that capital flows to hedge funds in different countries are influenced by the strength and the enforcement of investor protection laws. Hedge funds located in weak investor protection countries exhibit greater sensitivity of investor outflow to poor performance, relative to funds in countries with strong protection. Furthermore, weak investor protection is associated with fund managers engaging in greater returns management. Our findings suggest that in countries with weaker investor ...
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作者：Kacperczyk, Marcin; Sundaresan, Savitar; Wang, Tianyu
作者单位：Imperial College London; Center for Economic & Policy Research (CEPR); Tsinghua University
摘要：We study the impact of foreign institutional investors on price efficiency with firm-level international data. Using additions to the MSCI index and the U.S. Jobs and Growth Tax Relief Reconciliation Act as exogenous shocks to foreign ownership, we show that greater foreign ownership increases stock price informativeness, especially in developed economies. This increase arises from new information that foreign investors bring in and displacement of less-informed domestic retail investors. Fina...
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作者：Cong, Lin William; Li, Ye; Wang, Neng
作者单位：Cornell University; University System of Ohio; Ohio State University; Columbia University; National Bureau of Economic Research
摘要：We develop a dynamic asset pricing model of cryptocurrencies/tokens that allow users to conduct peer-to-peer transactions on digital platforms. The equilibrium price of tokens is determined by aggregating heterogeneous users' transactional demand, rather than discounting cash flows as is done in standard valuations models. Endogenous platform adoption builds on user network externality and exhibits an S-curve: it starts slow, becomes volatile, and eventually tapers off. The introduction of tok...
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作者：Huang, Shiyang; O'Hara, Maureen; Zhong, Zhuo
作者单位：University of Hong Kong; Cornell University; University of Melbourne
摘要：We empirically examine the impact of industry exchange-traded funds (IETFs) on informed trading and market efficiency. We find that IETF short interest spikes simultaneously with hedge fund holdings on the member stock before positive earnings surprises, reflecting long-the-stock/short-the-ETF activity. This pattern is stronger among stocks with high industry risk exposure. A difference-in-difference analysis on the ETF inception event shows that IETFs reduce post-earnings-announcement drift m...
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作者：Ilhan, Emirhan; Sautner, Zacharias; Vilkov, Grigory
作者单位：Frankfurt School Finance & Management
摘要：Strong regulatory actions are needed to combat climate change, but climate policy uncertainty makes it difficult for investors to quantify the impact of future climate regulation. We show that such uncertainty is priced in the option market. The cost of option protection against downside tail risks is larger for firms with more carbon-intense business models. For carbon-intense firms, the cost of protection against downside tail risk is magnified at times when the public's attention to climate...
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作者：Chari, Anusha; Stedman, Karlye Dilts; Lundblad, Christian
作者单位：University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Kansas City
摘要：This paper examines the spillover effects of U.S. unconventional monetary policy (UMP) on emerging market capital flows and asset prices. Affine term structure model estimates show that U.S. monetary policy shocks, identified with high-frequency Treasury futures data, represent revisions to expected short-term yields and term premia, especially during the UMP period. The policy shocks exhibit sizable effects on U.S. holdings of emerging market assets. These effects disproportionately manifest ...
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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：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...
