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作者：Bai, John Jianqiu; Tang, Yuehua; Wan, Chi; Yuksel, H. Zafer
作者单位：Northeastern University; State University System of Florida; University of Florida; University of Massachusetts System; University of Massachusetts Boston; University of Rhode Island
摘要：We study how mutual fund managers gain an edge in selecting stocks in an era of globalization. We use textual analysis to construct a measure that captures a mutual fund's offshore exposure concentration through holding US multinational firms. We find that funds with a higher offshore concentration index (OCI) perform significantly better, with the difference in four-factor alpha between the top and bottom deciles amounting to 2.95% per annum. Fund managers' overweighting of firms with operati...
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作者：Di Maggio, Marco; Kermani, Amir; Ramcharan, Rodney; Yao, Vincent; Yu, Edison
作者单位：Harvard University; National Bureau of Economic Research; University of California System; University of California Berkeley; University System of Georgia; Georgia State University; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：Using new employer-employee matched data, this paper investigates the impact of uncertainty, as measured by idiosyncratic stock market volatility, on individual outcomes. We find that firms provide at best partial insurance to their workers. Increased firm-level uncertainty reduces total compensation, especially variable pay, and workers reduce their durable goods consumption in response. Such shocks also lead to greater financial fragility among lower-income earners. Constructing a new county...
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作者：Chodorow-Reich, Gabrie; Darmouni, Olivier; Luck, Stephan; Plosser, Matthew
作者单位：Harvard University; Columbia University; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We use supervisory loan-level data to document that small firms (SMEs) obtain shorter maturity credit lines than large firms, post more collateral, have higher utilization rates, and pay higher spreads. We rationalize these facts as the equilibrium outcome of a trade -off between lender commitment and discretion. Using the COVID recession, we test the prediction that SMEs are subject to greater lender discretion. Consistent with this hypothe-sis, SMEs did not draw down whereas large firms did,...
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作者：Albertus, James F.; Glover, Brent; Levine, Oliver
作者单位：Carnegie Mellon University; University of Wisconsin System; University of Wisconsin Madison
摘要：We estimate a dynamic model, featuring agency conflicts and a stochastic tax reform arrival, to evaluate how the change from a worldwide to territorial tax system, enacted under the Tax Cuts and Jobs Act (TCJA), affects foreign investment. Although a worldwide system imposes a higher tax liability on foreign income, we show it encourages excess foreign investment by depressing the opportunity cost of capital. In our estimated model, the TCJA reduces foreign investment by 15.6% on average, with...
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作者：Gredil, Oleg R.; Kapadia, Nishad; Lee, Jung Hoon
作者单位：Tulane University; Vanderbilt University
摘要：We examine the ability of ratings and market-based measures to predict defaults. Although market-based measures are more accurate at horizons up to one year, ratings comple-ment market-based measures and are not redundant in predicting defaults across hori-zons. Market-based measures differ from ratings in that they respond to both cash-flow and discount-rate news, while ratings respond primarily to cash-flow news, which is more informative of future defaults. Ratings ignore transitory shocks ...
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作者：Hilt, Eric; Jaremski, Matthew; Rahn, Wendy
作者单位：Wellesley College; University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; National Bureau of Economic Research
摘要：We study the effects of the Liberty Bond drives of World War I on financial intermediation in the 1920s and beyond. Using panel data on US counties, and an instrument that captures differences in the approaches used to market the bonds, we find that higher Liberty Bond subscription rates led to an increase in investment banks and a contraction in commercial bank assets. We also find that in the late 1930s, individuals residing in states where Liberty Bond subscription rates had been higher wer...
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作者：Chaderina, Maria; Weiss, Patrick; Zechner, Josef
作者单位：University of Oregon; Vienna University of Economics & Business
摘要：We show that firms with longer debt maturities earn risk premia not explained by unconditional factors. Embedding dynamic capital structure choices in an asset-pricing framework where the market price of risk evolves with the business cycle, we find that firms with long-term debt exhibit more countercyclical leverage. The induced covariance between betas and the market price of risk generates a maturity premium similar in size to our empirical estimate of 0.21% per month. We also provide direc...
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作者：Bartlett, Robert; Morse, Adair; Stanton, Richard; Wallace, Nancy
作者单位：University of California System; University of California Berkeley; University of California System; University of California Berkeley
摘要：U.S. fair-lending law prohibits lenders from making credit determinations that disparately affect minority borrowers if those determinations are based on characteristics unrelated to creditworthiness. Using an identification under this rule, we show risk-equivalent Lat-inx/Black borrowers pay significantly higher interest rates on GSE-securitized and FHA-insured loans, particularly in high-minority-share neighborhoods. We estimate these rate differences cost minority borrowers over $450 millio...
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作者：Meirowitz, Adam; Pi, Shaoting
作者单位：Yale University; Iowa State University
摘要：We study governance when shareholders vote and can also buy or sell shares. We find that voting for the policy that one believes is better for the firm maximizes portfolio value only when pivotal; otherwise, it is better to vote against one's information, distort the market, and then trade at the distorted price. Equilibrium voting informativeness balances these forces and is demonstrably low. As the number of shareholders grows, the proba-bility of making the correct decision becomes lower th...
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作者：Moench, Emanuel; Soofi-Siavash, Soroosh
作者单位：Deutsche Bundesbank; Goethe University Frankfurt; Centre for Economic Policy Research - UK; Bank of Lithuania; Vilnius University; Frankfurt School Finance & Management
摘要：We identify a yield news shock as an innovation that does not move Treasury yields con-temporaneously but explains a maximum share of their future variation. Yields do not immediately respond to the news shock as the initial reaction of term premiums and ex-pected short rates offset each other. While the impact on term premiums fades quickly, expected short rates and thus yields decline persistently. As a result, the shock explains a staggering 50% of Treasury yield variation several years out...
