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作者：Erel, Isil; Liebersohn, Jack
作者单位：University System of Ohio; Ohio State University; National Bureau of Economic Research; European Corporate Governance Institute; University of California System; University of California Irvine
摘要：New technology promises to expand the supply of financial services to small businesses poorly served by banks. Does it succeed? We study the response of FinTech to financial ser-vices demand created by the introduction of the Paycheck Protection Program. FinTech is disproportionately used in ZIP codes with fewer bank branches, lower incomes, and more minority households, and in industries with fewer banking relationships. It is also greater in counties where the economic effects of the COVID-1...
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作者：An, Jiafu; Hou, Wenxuan; Lin, Chen
作者单位：University of Aberdeen; University of Portsmouth; Shanghai Lixin University of Accounting & Finance; University of Edinburgh; University of Hong Kong
摘要：We study the impact of an epidemic disease on modern financial development by exploiting geographic variations in the precolonial survival conditions of the TseTse fly, which transmits an epidemic disease that is harmful to humans and fatal to livestock in Africa. Using newly georeferenced data, we discover that firms and households in regions historically more exposed to the epidemic disease have less access to external financing today. Exploring the channels, we find that people in historica...
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作者：Bertomeu, Jeremy; Marinovic, Ivan; Terry, Stephen J.; Varas, Felipe
作者单位：Washington University (WUSTL); Stanford University; Boston University; National Bureau of Economic Research; Duke University
摘要：S C Firm managers likely have more information than outsiders. If managers strategically conceal information, market uncertainty will increase. We develop a dynamic corporate disclosure model, estimating the model using the management earnings forecasts of US public companies. The model, based on the buildup of reputations by managers over time, matches key facts about forecast dynamics. We find that 80% of firms strategically manage information, that managers have superior information around ...
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作者：Karnaukh, Nina; Vokata, Petra
作者单位：University System of Ohio; Ohio State University
摘要：We find that 30-minute changes in bond yields around scheduled Federal Open Market Committee (FOMC) announcements are predictable with the pre-FOMC Blue Chip profes-sionals' revisions in GDP growth forecasts. A positive pre-FOMC GDP growth revision pre-dicts a contractionary policy news shock (positive change in bond yields), a negative GDP growth revision predicts an expansionary policy news shock (negative change in bond yields). Failing to account for this predictability biases the estimate...
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作者：Obaid, Khaled; Pukthuanthong, Kuntara
作者单位：California State University System; California State University East Bay; University of Missouri System; University of Missouri Columbia
摘要：By applying machine learning to the accurate and cost-effective classification of photos based on sentiment, we introduce a daily market-level investor sentiment index (Photo Pessimism) obtained from a large sample of news photos. Consistent with behavioral mod -els, Photo Pessimism predicts market return reversals and trading volume. The relation is strongest among stocks with high limits to arbitrage and during periods of elevated fear. We examine whether Photo Pessimism and pessimism embedd...
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作者：Zhang, Shaojun
作者单位：University System of Ohio; Ohio State University
摘要：This paper shows the cross-sectional and time series momentum in currencies, which cannot be explained by carry and dollar factors, summarize the autocorrelation of these factors. These momentum strategies long currency factors following positive factor returns and short them following losses. Carry and dollar factors are strongly autocorrelated and only earn significantly positive excess returns following positive factor returns. By contrast, idiosyncratic currency returns contain little mome...
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作者：Fonseca, Julia; Van Doornik, Bernardus
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Central Bank of Brazil
摘要：We estimate the effect of increased access to bank credit on the employment and wages of high-and low-skilled workers. To do so, we consider a bankruptcy reform that led to an expansion of bank credit to Brazilian firms. We use administrative data and exploit cross-sectional variation in the enforcement of the new legislation arising from differences in the congestion of civil courts. We find that the credit expansion led to an increase in the skill intensity of firms and in within-firm return...
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作者：Kumar, Alok; Rantala, Ville; Xu, Rosy
作者单位：University of Miami; Chinese University of Hong Kong
摘要：This study examines whether sell-side equity analysts engage in social learning in which their earnings forecasts for certain firms are influenced by the forecasts and outcomes of peer analysts associated with other firms in their respective portfolios. We find that ana -lyst optimism is negatively correlated with recent forecast errors, by peers, on other firms in the analyst's portfolio. An analyst is also more likely to issue bold forecasts when peers recently issued similar forecasts for o...
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作者：Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian
作者单位：University of Massachusetts System; University of Massachusetts Amherst; University of Mannheim; University of Neuchatel
摘要：This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of ex-pected stock returns. We derive an extended linear model with a positive premium for MCRASH, and we empirically confirm that stocks with high MCRASH earn significantly higher future returns than stocks with low MCRASH. The premium is not explained by linear factor exposures, alternative downside risk measures, or stoc...
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作者：Martin, Ian W. R.; Nagel, Stefan
作者单位：University of London; London School Economics & Political Science; University of Chicago
摘要：Modern investors face a high-dimensional prediction problem: thousands of observable variables are potentially relevant for forecasting. We reassess the conventional wisdom on market efficiency in light of this fact. In our equilibrium model, N assets have cash flows that are linear in J characteristics, with unknown coefficients. Risk-neutral Bayesian investors learn these coefficients and determine market prices. If J and N are comparable in size, returns are cross-sectionally predictable ex...
