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作者：Knesl, Jiri
作者单位：University of Oxford
摘要：I examine the asset pricing implications of technological innovations that allow capital to displace labor: automation. I develop a theory in which firms with displaceable labor are negatively exposed to such technology shocks. In the model, firms optimally adopt tech-nology to gain competitive advantage but in equilibrium competition erodes profits and decreases firm value. Empirically, I find that firms with high share of displaceable labor have negative exposure to technology shocks. A long...
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作者：Edmans, Alex; Gosling, Tom; Jenter, Dirk
作者单位：University of London; London Business School; University of London; London School Economics & Political Science
摘要：We survey directors and investors on the objectives, constraints, and determinants of CEO pay. We find that directors face constraints beyond participation and incentives, and that pay matters not to finance consumption but to address CEOs' fairness concerns. 67% of directors would sacrifice shareholder value to avoid controversy, leading to lower levels and one-size-fits-all structures. Shareholders are the main source of constraints, suggesting directors and investors disagree on how to maxi...
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作者：Yan, Jingda; Yu, Jialin
作者单位：Renmin University of China; Hong Kong University of Science & Technology
摘要：Cross-stock momentum builds on the asymmetry in lead-lag linkages and the difference between long-run and short-run contemporaneous co-movements. Data-driven cross-stock linkages generate a monthly alpha of 1.62% (t-stat=10.03). The asymmetry distinguishes cross-stock momentum from factor momentum, and industry momentum is not subsumed by factor momentum. Factor momentum profit is mostly due to the high cross-stock links. The data-driven linkages vary faster over time than those in previous st...
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作者：Grothe, Magdalena; Pancost, N. Aaron; Tompaidis, Stathis
作者单位：European Central Bank; University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin
摘要：We analyze competition and risk management at central counterparties (CCPs) using a granular transaction-level dataset, and find that CCPs decrease collateral in response to lower collateral at their competitors, an effect that becomes stronger as the correlation between positions increases. To interpret our findings, we derive a model in which collateral is driven by risk and CCP competition. Our results are consistent with the model and suggest that a single monopolistic CCP would require mo...
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作者：Chod, Jiri; Lyandres, Evgeny
作者单位：Boston College; Tel Aviv University
摘要：This paper models benefits of quoting output price in units of crypto token under duopolistic product market competition with switching costs. Pricing output in tokens pro-vides a firm with a de facto second-mover advantage, raising its equilibrium profit. In ad-dition, the firm can further increase its equilibrium profit by committing via a smart con-tract to the number of tokens sold. By focusing on utility tokens used at the product mar-ket competition stage, the paper highlights potential ...
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作者：Fich, Eliezer M.; Parrino, Robert; Tran, Anh L.
作者单位：Drexel University; University of Texas System; University of Texas Austin; University of London
摘要：SEC Rule10b5-1 plans are intended to limit the ability of insiders to trade opportunistically. We study insider stock sales by CEOs both under and outside of these plans. While both groups exhibit opportunism, this behavior is more limited in plan sales and non-plan sales in well-governed firms. Furthermore, opportunism in plan sales is greater for transactions representing a larger fraction of the CEO's firm-related wealth. CEOs can circumvent the intent of Rule 10b5-1 by exercising their dis...
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作者：Elkamhi, Redouane; Jo, Chanik
作者单位：University of Toronto; Chinese University of Hong Kong
摘要：We test the conditional consumption-CAPM using asset holders' consumption and find that the time variation in the prices of asset holders' consumption risk is procyclical. This puzzling time variation is at odds with the implication of existing consumption-based equilibrium asset pricing models. We show that our finding is a salient feature of the data observed in multiple asset classes (aggregate equity market, equity portfolios, bond portfolios, and commodities portfolios), using different m...
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作者：Dannhauser, Caitlin D.; Spilker, Harold D.
作者单位：Villanova University; University of Hawaii System; University of Hawaii Manoa
摘要：Modern mutual fund families include more than active mutual funds (AMFs). AMFs in families with greater index mutual fund (IMF) presence generate higher category-adjusted gross returns. Performance is positively related to the levels of passive and active fees, sug-gesting moral hazard. Intrafamily competition from IMFs in the same Morningstar category incentivizes managers to exert effort. Financial resources do not contribute to the perfor-mance effect. Cross-trading with IMFs occurs with so...
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作者：Niepmann, Friederike; Schmidt-Eisenlohr, Tim
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：A strong dollar has been associated with lower lending to emerging markets and tighter global financial conditions. This paper documents similar patterns for credit in the U.S. economy: when the U.S. broad dollar index appreciates by 1 percent, U.S. banks' corporate loan originations fall by 4.5 percent, with banks tightening credit standards and lending to safer borrowers. This negative correlation, which we term the U.S. dollar credit channel, is at least in part driven by institutional inve...
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作者：Hassan, Ramin; Loualiche, Erik; Pecora, Alexandre R.; Ward, Colin
作者单位：Cornerstone Research; University of Minnesota System; University of Minnesota Twin Cities; Virginia Polytechnic Institute & State University
摘要：Exchange rate volatility falls after a trade deal, driven by a decline in the systematic component of risk. The average trade deal increases trade by 50 percent over five years, reducing systematic risk by a third of a standard deviation across countries. We examine this connection in an Armington model where the structure of trade networks determines the risk in exchange rates. We estimate our model to current data and find i) that countries at the periphery of the world trade network benefit...
