-
作者：Ewens, Michael; Xiao, Kairong; Xu, Ting
作者单位：Columbia University; National Bureau of Economic Research; University of Toronto
摘要：We quantify the costs of major disclosure and governance regulations by exploiting a regulatory quirk: many rules trigger when a firm's public float exceeds a threshold. Consistent with firms avoiding costly regulation, we document significant bunching around three major regulatory thresholds. Estimations reveal that the three examined rules' compliance costs range from 1.2% to 1.8% of market capitalization for firms near thresholds. For a median U.S. public company, total costs amount to 4.3%...
-
作者：Babina, Tania; Fedyk, Anastassia; He, Alex; Hodson, James
作者单位：Columbia University; National Bureau of Economic Research; University of California System; University of California Berkeley; University System of Maryland; University of Maryland College Park; Slovenian Academy of Sciences & Arts (SASA); Jozef Stefan Institute
摘要：We study the use and economic impact of AI technologies. We propose a new measure of firm-level AI investments using employee resumes. Our measure reveals a stark increase in AI investments across sectors. AI-investing firms experience higher growth in sales, employment, and market valuations. This growth comes primarily through increased product innovation. Our results are robust to instrumenting AI investments using firms' exposure to universities' supply of AI graduates. AI-powered growth c...
-
作者：Cooper, Michael; Gulen, Huseyin; Ion, Mihai
作者单位：Utah System of Higher Education; University of Utah; Purdue University System; Purdue University; University of Arizona
摘要：We show that the performance of the new factor models of Hou et al. (2015) and Fama and French (2015) depends crucially on how their investment factor is constructed. Both models use growth in total assets to measure investment. Their ability to price the cross-section of returns decreases significantly when the investment factor is constructed using traditional investment measures, or measures that also account for investment in intangibles. In contrast, we find that factors based on growth i...
-
作者：Fisher, Jack; Gavazza, Alessandro; Liu, Lu; Ramadorai, Tarun; Tripathy, Jagdish
作者单位：Harvard University; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; University of Pennsylvania; Imperial College London; Bank of England
摘要：In household finance markets, inactive households can implicitly cross -subsidize active households who promptly respond to financial incentives. We assess the magnitude and distribution of cross -subsidies in the mortgage market. To do so, we build a structural model of household mortgage refinancing and estimate it on rich administrative data covering the stock of outstanding mortgages in the UK. We estimate sizeable cross -subsidies that flow from relatively poorer households and those loca...
-
作者：Xu, Chenzi; Yang, He
作者单位：Stanford University; Centre for Economic Policy Research - UK; Amazon.com
摘要：Privately issued money often bears default risk, which creates transaction frictions when used as a medium of exchange. The late 19th century US provides a unique context to evaluate the real effects of supplying a new type of money that is safe from default. We measure the local change in monetarytransaction frictions with a market access approach derived from general equilibrium trade theory. Consistent with theories hypothesizing that lowering transaction frictions benefits the traded and i...
-
作者：Charoenwong, Ben; Kimura, Yosuke; Kwan, Alan; Tan, Eugene
作者单位：National University of Singapore; Institute of Science Tokyo; Tokyo Institute of Technology; University of Hong Kong; University of Toronto
摘要：In canonical models of investment dynamics under uncertainty, time -to -build in investment decisions implies that uncertainty negatively impacts firm values and aggregate capital productivity. However, capital budgeting, which involves ex -ante information acquisition and state -contingent investment decisions, can potentially ameliorate time -to -build frictions. Reduced -form evidence using firm -level data on sales and investment expectations and errors supports both mechanisms. Incorporat...
-
作者：Li, Sicong; Demiguel, Victor; Martin-Utrera, Alberto
作者单位：Chinese University of Hong Kong; University of London; London Business School; Iowa State University
摘要：We propose a formal statistical test to compare asset-pricing models in the presence of price impact. In contrast to the case without trading costs, we show that in the presence of price-impact costs different models may be best at spanning the investment opportunities of different investors depending on their absolute risk aversion. Empirically, we find that the five-factor model of Hou et al. (2021), the six-factor model of Fama and French (2018) with cash-based operating profitability, and ...
-
作者：Kogan, Shimon; Makarov, Igor; Niessner, Marina; Schoar, Antoinette
作者单位：Reichman University; University of Pennsylvania; University of London; London School Economics & Political Science; Indiana University System; Indiana University Bloomington; Massachusetts Institute of Technology (MIT)
摘要：Trading in cryptocurrencies grew rapidly over the last decade, dominated by retail investors. Using data from eToro, we show that retail traders are contrarian in stocks and gold, yet the same traders follow a momentum-like strategy in cryptocurrencies. The differences are not explained by individual characteristics, investor composition, inattention, differences in fees, or preference for lottery-like assets. We conjecture that retail investors have a model where cryptocurrency price changes ...
-
作者：Liu, Xuewen; Wang, Pengfei; Yang, Zhongchao
作者单位：University of Hong Kong; Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen); Wuhan University
摘要：We present a rational expectations model of credit-driven crises, providing a new perspective to explain why credit booms can lead to severe financial crises and aftermath slow economic recoveries. In our model economy, banks can operate in two types of business. They are sequentially aware of the deterioration of fundamentals of the speculative business and decide whether to continue credit extension in that business or liquidate capital and move into the traditional business. However, becaus...
-
作者：Cookson, J. Anthony; Lu, Runjing; Mullins, William; Niessner, Marina
作者单位：University of Colorado System; University of Colorado Boulder; University of Alberta; University of California System; University of California San Diego; Indiana University System; Indiana University Bloomington
摘要：We examine social media attention and sentiment from three major platforms: Twitter, StockTwits, and Seeking Alpha. We find that, even after controlling for firm disclosures and news, attention is highly correlated across platforms, but sentiment is not: its first principal component explains little more variation than purely idiosyncratic sentiment. Using market events, we attribute differences across platforms to differences in users (e.g., professionals versus novices) and differences in pl...
