-
作者：Sicherman, Nachum; Loewenstein, George; Seppi, Duane J.; Utkus, Stephen P.
作者单位：Columbia University; Carnegie Mellon University
摘要：This paper investigates financial attention using novel panel data on daily investor online account logins. We find support for selective attention to portfolio information. Account logins fall by 9.5% after market declines. Investors also pay less attention when the VIX volatility index is high. The level of attention and the attention/return correlation are strongly related to investor demographics (gender, age) and financial position (wealth, holdings). Using a new statistical decomposition...
-
作者：Borisov, Alexander; Goldman, Eitan; Gupta, Nandini
作者单位：University System of Ohio; University of Cincinnati; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：We examine whether the stock market considers corporate lobbying to be value enhancing, using an event that potentially limited the ability of firms to lobby but was exogenous to their characteristics and prior lobbying decisions. The results show that this exogenous shock negatively affects the value of firms that lobby. In particular, we estimate that a firm that spends $100,000 more on lobbying in the 3 years before the shock ( where sample average lobbying expenses are about $4 million), e...
-
作者：Kostovetsky, Leonard
作者单位：Boston College
摘要：I provide a measure for the value that investors place on trust and relationships in asset management by examining mutual fund flows around announced changes in the ownership of fund management companies. I find a decline in flows of around 7% of fund assets in the year following the announcement date, resulting primarily from fund outflows. Retail investors and investors in funds with higher expense ratios are most responsive to ownership changes, providing evidence that such investors appear...
-
作者：Cosemans, Mathijs; Frehen, Rik; Schotman, Peter C.; Bauer, Rob
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Tilburg University; Maastricht University
摘要：We propose a hybrid approach for estimating beta that shrinks rolling window estimates toward firm-specific priors motivated by economic theory. Our method yields superior forecasts of beta that have important practical implications. First, unlike standard rolling window betas, hybrid betas carry a significant price of risk in the cross-section even after controlling for characteristics. Second, the hybrid approach offers statistically and economically significant out-of-sample benefits for in...
-
作者：Korteweg, Arthur; Kraeussl, Roman; Verwijmeren, Patrick
作者单位：University of Southern California; University of Luxembourg; Emory University; University of Melbourne; University of Glasgow
摘要：This paper shows the importance of correcting for sample selection when investing in illiquid assets that trade endogenously. Using a sample of 32,928 paintings that sold repeatedly between 1960 and 2013, we find an asymmetric V-shaped relation between sale probabilities and returns. Adjusting for the resulting selection bias reduces average annual index returns from 8.7% to 6.3%, lowers Sharpe ratios from 0.27 to 0.11, and materially impacts portfolio allocations. Investing in a broad portfol...
-
作者：Stango, Victor; Zinman, Jonathan
作者单位：University of California System; University of California Davis; Dartmouth College; National Bureau of Economic Research
摘要：We document substantial cross-individual dispersion in U.S. credit card borrowing costs, even after controlling for borrower risk and card characteristics. That remaining dispersion arises because cross-lender pricing heterogeneity generates dispersion in annual percentage rate (APR) offers to borrowers, and borrowers vary in shopping intensity. Our empirics match administrative data to self-reported card shopping intensity and use instruments suggested by fair lending law to account for the e...
-
作者：Hubener, Andreas; Maurer, Raimond; Mitchell, Olivia S.
作者单位：Goethe University Frankfurt; University of Pennsylvania; National Bureau of Economic Research
摘要：We show how optimal household decisions regarding work, retirement, saving, portfolio allocations, and life insurance are shaped by the complex financial options embedded in U.S. Social Security rules and uncertain family transitions. Our life cycle model predicts sharp consumption drops on retirement, an age-62 peak in claiming rates, and earlier claiming by wives versus husbands and single women. Moreover, life insurance is mainly purchased on men's lives. Our model, which takes Social Secur...
