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作者：Feng, Jian; Huo, Xiaolin; Liu, Xin; Mao, Yifei; Xiang, Hong
作者单位：Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen); University of Hong Kong; University of International Business & Economics; University of Macau; Santa Clara University; Hong Kong Polytechnic University
摘要：Identifying firms' bond-market-specific economic links through credit-rating comovement of their corporate bonds, a long-short strategy for stocks based on these links generates a risk-adjusted alpha of 0.45% per month, which cannot be explained by existing economic links in the literature. Market segmentation between the equity and bond markets appears to be the underlying mechanism: (i) The cross-return predictability is muted in the bond market; (ii) The cross-return predictability is mitig...
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作者：Nyborg, Kjell G.; Woschitz, Jiri
作者单位：University of Zurich; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK; BI Norwegian Business School
摘要：For variables with a term structure, the standard difference-in-differences (DiD) model is predisposed toward misspecification, even under random assignment, because of heterogeneity over the maturity spectrum and imperfect matching between treated and control units. Estimated treatment effects that are false, biased, or hard to interpret become a concern. Neither unit fixed effects nor standard term-structure controls resolve the problem. Solutions that overcome imperfect matching involve est...
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作者：Cong, Lin William; Feng, Guanhao; He, Jingyu; He, Xin
作者单位：Cornell University; City University of Hong Kong; Chinese Academy of Sciences; University of Science & Technology of China, CAS; National Bureau of Economic Research
摘要：We introduce a new class of tree-based models, P-Trees, for analyzing (unbalanced) panel of individual asset returns, generalizing high-dimensional sorting with economic guidance and interpretability. Under the mean- variance efficient framework, P-Trees construct test assets that significantly advance the efficient frontier compared to commonly used test assets, with alphas unexplained by benchmark pricing models. P-Tree tangency portfolios also constitute traded factors, recovering the prici...
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作者：Breitung, Christian; Mueller, Sebastian
作者单位：Technical University of Munich
摘要：We leverage the capabilities of GPT-3 to generate historical business descriptions for over 63,000 global firms. Utilizing these descriptions and advanced embedding models from OpenAI, we construct time-varying business networks that represent business links across the globe. We showcase the performance of these networks by studying the lead-lag effect for global stocks and predicting target firms in M&A deals. We demonstrate how masking firm-specific details can mitigate look-ahead bias conce...
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作者：Yu, Gloria Yang
作者单位：Singapore Management University
摘要：Does the early-career exposure of bank CEOs to the 1980s savings and loans (S&L) crisis affect the outcomes of banks they subsequently managed? We measure the S&L crisis exposure by the bank failure rate in the states where CEOs worked during the S&L crisis. Armed with this measure, we find that banks managed by CEOs with higher S&L crisis exposure took on less risk and that these banks better survived the financial crisis of 2008. In particular, CEOs adjusted risk attitudes in areas causing t...
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作者：Barroso, Pedro; Detzel, Andrew; Maio, Paulo
作者单位：Universidade Catolica Portuguesa; Baylor University; Hanken School of Economics; Getulio Vargas Foundation
摘要：This paper shows that leading theories of the beta anomaly fail to explain the anomaly's conditional performance. Abnormal returns and Sharpe ratios of betting-against-beta (BAB) factors rise following months with below-median realized volatility, even controlling for mispricing, limits to arbitrage, lottery preferences, analyst disagreement, and sentiment. Moreover, the leverage constraints theory counterfactually predicts that market and BAB Sharpe ratios increase with volatility. We further...
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作者：Corhay, Alexandre; Kung, Howard; Schmid, Lukas
作者单位：University of Toronto; University of London; London Business School; Centre for Economic Policy Research - UK; University of Southern California; Center for Economic & Policy Research (CEPR)
摘要：We document that the increasing polarization in Tobin's Q within industries is closely connected to the growing divergence in rents and the emergence of superstar firms over the past four decades, while discount rates and growth rates did not exhibit the same increasing dispersion. We explain these industry polarization trends in an estimated general equilibrium model where each industry consists of large superstar oligopolists and small monopolistically competitive firms with endogenous trans...
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作者：Denes, Matthew; Lagaras, Spyridon; Tsoutsoura, Margarita
作者单位：Carnegie Mellon University; University of Illinois System; University of Illinois Urbana-Champaign; Washington University (WUSTL); Centre for Economic Policy Research - UK; European Corporate Governance Institute; National Bureau of Economic Research
摘要：Platform intermediation of goods and services has considerably transformed the U.S. economy. We use administrative data on U.S. tax returns to study the role of the gig economy on entrepreneurship. We find that gig workers are more likely to become entrepreneurs, particularly those who are lower income, younger, and benefit from flexibility. We track all newly created firms and show that gig workers start firms in similar industries as their gig experience, which are less likely to survive and...
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作者：Sachdeva, Kunal; Silva, Andre F.; Slutzky, Pablo; Xu, Billy Y.
作者单位：University of Michigan System; University of Michigan; Federal Reserve System - USA; Federal Reserve System Board of Governors; University System of Maryland; University of Maryland College Park; University of Rochester
摘要：This paper examines the effects of targeted credit rationing by banks on firms likely to generate negative externalities. We exploit an initiative of the U.S. Department of Justice, labeled Operation Choke Point, which compelled banks to limit relationships with firms in controversial industries. Using supervisory loan-level data, we show that, as intended, targeted banks reduced lending and terminated relationships with affected firms. However, most of these firms fully substituted credit thr...
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作者：Mukharlyamov, Vladimir; Sarin, Natasha
作者单位：Georgetown University; Yale University
摘要：This paper provides empirical evidence of a well-known theoretical concern that market failures in two-sided markets are hard to identify and correct. We study the reactions of banks, merchants, and consumers to Dodd-Frank's Durbin Amendment that lowered interchange fees on debit card transactions. Banks recouped a significant portion of their losses by charging consumers for products that they previously provided for free on the subsidized side of the two-sided market. The accelerated adoptio...
