-
作者：Acharya, Viral V.; Eisert, Tim; Eufinger, Christian; Hirsch, Christian
作者单位：Reserve Bank of India; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; University of Navarra; IESE Business School; Deutsche Bundesbank
摘要：Launched in Summer 2012, the European Central Bank's (ECB) Outright Monetary Transactions (OMT) program indirectly recapitalized European banks through its positive impact on periphery sovereign bonds. However, the stability reestablished in the banking sector did not fully translate into economic growth. We document zombie lending by banks that remained weakly capitalized even post-OMT. In turn, firms receiving loans used these funds not to undertake real economic activity, such as employment...
-
作者：Ao, Mengmeng; Li, Yingying; Zheng, Xinghua
作者单位：Xiamen University; Hong Kong University of Science & Technology
摘要：This paper introduces a newapproach to constructing optimal mean-variance portfolios. The approach relies on a novel unconstrained regression representation of the mean-variance optimization problem combined with high-dimensional sparse-regression methods. Our estimated portfolio, under a mild sparsity assumption, controls for risk and attains the maximum expected return as both the numbers of assets and observations grow. The superior properties of our approach are demonstrated through compre...
-
作者：Hou, Kewei; van Dijk, Mathijs A.
作者单位：University System of Ohio; Ohio State University; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：Many studies report that the size effect in the cross-section of stock returns disappeared after the early 1980s. This paper shows that its disappearance can be attributed to negative shocks to the profitability of small firms and positive shocks to big firms. After adjusting for the price impact of profitability shocks, we find a robust size effect in the cross-section of expected returns after the early 1980s. Our results highlight the importance of in-sample cash-flow shocks in understandin...
-
作者：Chen, Mark A.; Wu, Qinxi; Yang, Baozhong
作者单位：University System of Georgia; Georgia State University; Baylor University
摘要：We provide large-scale evidence on the occurrence and value of FinTech innovation. Using data on patent filings from 2003 to 2017, we apply machine learning to identify and classify innovations by their underlying technologies. We find that most FinTech innovations yield substantial value to innovators, with blockchain being particularly valuable. For the overall financial sector, internet of things (IoT), robo-advising, and blockchain are the most valuable innovation types. Innovations affect...
-
作者：Chen, Yong; Da, Zhi; Huang, Dayong
作者单位：Texas A&M University System; Texas A&M University College Station; University of Notre Dame; University of North Carolina; University of North Carolina Greensboro
摘要：We examine net arbitrage trading (NAT) measured by the difference between quarterly abnormal hedge fund holdings and abnormal short interest. NAT strongly predicts stock returns in the cross-section. Across ten well-known stock anomalies, abnormal returns are realized only among stocks experiencing large NAT. Exploiting Regulation SHO, which facilitated short selling for a random group of stocks, we present causal evidence that NAT has stronger return predictability among stocks facing greater...
