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作者：Mclean, R. David; Pontiff, Jeffrey; Reilly, Christopher
作者单位：Boston College; University of Texas System; University of Texas Dallas
摘要：We assess how nine different categories of market participants trade relative to a comprehensive forecastedreturn variable based on 193 predictors. Firms and short sellers tend to be the smart money-both sell stocks with low-forecasted returns, and their trades predict returns in the intended direction. Retail investors trade against forecasted returns. Retail investors' and institutions' trades predict returns opposite to the intended direction. This poor trading performance is driven by trad...
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作者：Brugler, James; Khomyn, Marta; Putnins, Talis
作者单位：University of Melbourne; Adelaide University; University of Adelaide; University of Technology Sydney
摘要：Financial benchmarks such as LIBOR underpin the pricing of trillions of dollars of contracts around the world. We evaluate the quality of benchmark prices using a state-space model to separate information from noise. Applying the method to LIBOR benchmarks and their replacements, we find that alternative reference rates (ARRs) are less noisy in four of the five currencies. However, the USD ARR is considerably more noisy, resulting in billions of dollars of noise-related wealth transfers betwee...
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作者：Auer, Raphael; Monnet, Cyril; Shin, Hyun Song
作者单位：University of Bern; Study Center Gerzensee
摘要：Distributed ledgers promise to enable the classical vision of money as a universal transaction record. But is it ever optimal to update a ledger through decentralized consensus? Analyzing an exchange economy with credit, we show that centralized updating is optimal when long-term rewards are more valued, minimizing redundant validation costs and maximizing economic surplus. Decentralization becomes preferable under weaker intertemporal incentives and when validators are drawn from market parti...
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作者：Randl, Otto; Simion, Giorgia; Zechner, Josef
作者单位：Vienna University of Economics & Business
摘要：This paper derives a stochastic discount factor for currency-hedged government bonds of developed markets by projecting returns onto the unconditional mean-variance efficient (UMVE) portfolio. Priced risks of international bonds differ fundamentally from those of currencies. The UMVE portfolio achieves a Sharpe ratio over twice the average of individual markets, with the market price of risk peaking during crises and periods with high inflation dispersion. While bond returns exhibit a strong f...
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作者：Honigsberg, Colleen; Hu, Edwin; Jackson Jr, Robert J.
作者单位：University of Virginia; New York University
摘要：The regulatory framework for financial advisors is fragmented, with multiple state and federal regulators. Prior empirical literature on financial advisors has largely focused on a single subset of financial advisors, but we create a database containing brokers regulated primarily by FINRA, investment advisers regulated by the SEC or state securities regulators, and insurance producers regulated by state insurance regulators. There is significant overlap across the regimes; more than 40% of th...
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作者：Chen, Huaizhi
作者单位：University of Notre Dame
摘要：I show that as a portfolio's value concentration increases, actively managed portfolios predictably trim large positions, maintaining a level of practical diversification. This rebalancing channel is concentrated at thresholds implied by regulatory guidelines and by a fund's own risk management histories. Since larger stocks are typically held widely and in large weights, they experience a coordinated contrarian trading demand that originates from this form of risk management. Diversification ...
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作者：Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide
作者单位：Goethe University Frankfurt; Universita Ca Foscari Venezia; New York University; New York University; University of Virginia
摘要：We explore whether Quantitative Easing (QE) negatively affected the functioning of the treasury market. Focusing on the arbitrage between European sovereign bonds and their futures contracts, we show that the scarcity of treasuries created by QE led to a disconnect between the prices of identical assets. We identify three channels: reduced bond market liquidity, increased funding costs in the repo market, and a higher cost of carry. A change in a policy instrument allows us to identify scarcit...
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作者：Stulz, Rene M.
作者单位：University System of Ohio; Ohio State University; European Corporate Governance Institute
摘要：This paper assesses the contributions of Michael C. Jensen to financial economics and to American business. His work on agency theory is the cornerstone of modern corporate finance. He influenced how American business operates by helping make the internal and external governance of firms more efficient. He changed how knowledge in financial economics is diffused both through the founding of the Journal of Financial Economics and of the Social Science Research Network. I question the claim made...
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作者：Avenancio-Leon, Carlos F.; Piccolo, Alessio; Pinto, Roberto
作者单位：University of California System; University of California San Diego; Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Lancaster University
摘要：A central finding of the theoretical literature on bargaining is that parties' attitudes towards delay influence bargaining outcomes. However, the ability to endure delays, resilience, is often private information and hard to measure in most real-world contexts. In the context of collective bargaining, we show firms actively attempt to become financially resilient in anticipation of labor negotiations. Firms adjust their financial resilience to respond to the passage of right-to-work laws (RWL...
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作者：Capponi, Agostino; Jia, Ruizhe; Wang, Kanye Ye
作者单位：Columbia University; Stanford University; University of Macau; University of Macau; University of Macau
摘要：The blockchain settlement layer facilitates systematic frontrunning, resulting in inefficient block-space allocation. Private transaction pools can reduce these inefficiencies and enhance welfare. However, full adoption is limited by misaligned incentives between users and validators. Validators are reluctant to forgo rents they earn from frontrunning-referred to as maximal extractable value-leading to a partial adoption equilibrium in which frontrunning persists. Our empirical analysis of Eth...
