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作者：Gryglewicz, Sebastian; Mayer, Simon; Morellec, Erwan
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); University of Chicago; Hautes Etudes Commerciales (HEC) Paris
摘要：We develop a model in which a start-up firm issues tokens to finance a digital platform, which creates agency conflicts between platform developers and outsiders. We show that token financing is preferred to equity financing unless the platform expects strong cash flows, has large financing needs, or faces severe agency conflicts. Tokens are characterized by their utility features, facilitating transactions, and security features, granting cash flow rights. While security features trigger endo...
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作者：Kashyap, Anil K.; Kovrijnykh, Natalia; Li, Jian; Pavlova, Anna
作者单位：National Bureau of Economic Research; University of Chicago; Centre for Economic Policy Research - UK; Bank of England; Arizona State University; Arizona State University-Tempe; University of Chicago; University of London; London Business School
摘要：We argue that the pervasive practice of evaluating portfolio managers relative to a bench-mark has real effects. Benchmarking generates additional, inelastic demand for assets in-side the benchmark. This leads to a benchmark inclusion subsidy: a firm inside the benchmark values an investment project more than the one outside. The same wedge arises for valuing M&A, spinoffs, and IPOs. This overturns the proposition that an invest-ment's value is independent of the entity considering it. We desc...
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作者：Chen, Jun; Hshieh, Shenje; Zhang, Feng
作者单位：Renmin University of China; City University of Hong Kong; Utah System of Higher Education; University of Utah
摘要：We examine the role of high-skilled foreign labor in VC-backed startups through two natural experiments. First, we show that winning more H-1B visas in random lotteries enhances VC-backed startups' financial performance, likelihood of going public, and quantity and quality of innovation. Second, we show that the H-1B quota reduction in 2004 caused permanent damage to the performance of startups that previously had used H-1B workers. The findings imply that high-skilled foreign workers possess ...
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作者：Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey
作者单位：Columbia University; Center for Economic & Policy Research (CEPR); Federal Reserve System - USA; Fordham University
摘要：We use non-Gaussian features in U.S. macroeconomic data to identify aggregate supply and demand shocks while imposing minimal economic assumptions. Macro risks represent the variables that govern the time-varying variance, skewness, and higher-order moments of these two shocks, with good (bad) variance associated with positive (negative) skewness. We document that macro risks significantly contribute to the variation of yields and risk premiums for nominal bonds. While overall bond risk premiu...
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作者：Klingler, Sven; Syrstad, Olav
作者单位：BI Norwegian Business School; Norges Bank
摘要：We examine the alternative reference rates that are set to replace the London Interbank Offered Rate (LIBOR) as benchmark rate by the end of 2021. After providing the relevant background, we show that: (i) depending on the marginal lenders, tighter regulatory con-straints can either increase or decrease the alternative benchmarks; (ii) increases in the amount of government debt outstanding increase the alternative benchmarks, more so for collateralized rates; and (iii) more central bank reserv...
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作者：Peydro, Jose-Luis; Polo, Andrea; Sette, Enrico
作者单位：Centre for Economic Policy Research - UK; Imperial College London; Luiss Guido Carli University; European Central Bank; Bank of Italy
摘要：Monetary policy transmission may be impaired if banks rebalance their portfolios toward securities. We identify the bank lending and risk-taking channels of monetary policy by exploiting-Italy's unique-credit and security registers. In crisis times, with higher central bank liquidity, less capitalized banks react by increasing securities over credit supply, in-ducing worse firm-level real effects. However, they buy securities with lower yields and haircuts. Unlike in crisis times, in precrisis...
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作者：Bali, Turan G.; Subrahmanyam, Avanidhar; Wen, Quan
作者单位：Georgetown University; University of California System; University of California Los Angeles
摘要：Long-term reversals in corporate bonds are economically and statistically significant in a comprehensive sample spanning the period 1977 to 2017. Such reversals are stronger for bonds with high credit risk and more binding regulatory, capital, and funding liquidity constraints. Bond long-term reversal is not a manifestation of the equity counterpart and is mainly driven by long-term losers. A long-term reversal factor carries a sizable premium and is not explained by long-established equity an...
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作者：Geczy, Christopher; Jeffers, Jessica S.; Musto, David K.; Tucker, Anne M.
作者单位：University of Pennsylvania; University of Chicago; University System of Georgia; Georgia State University
摘要：We draw on new data and theory to examine how private market contracts adapt to serve multiple goals, particularly the social-benefit goals that impact funds add to their financial goals. Counter to the intuition from multitasking models (Holmstrom and Milgrom, 1991), few impact funds tie compensation directly to impact, and most retain traditional financial incentives. However, funds contract directly on impact in other ways and adjust aspects of the contracts such as governance. In the cross...
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作者：Baltussen, Guido; Da, Zhi; Lammers, Sten; Martens, Martin
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of Notre Dame
摘要：Hedging short gamma exposure requires trading in the direction of price movements, thereby creating price momentum. Using intraday returns on over 60 futures on equities, bonds, commodities, and currencies between 1974 and 2020, we find strong market intraday momentum everywhere. The return during the last 30 minutes before the market close is positively predicted by the return during the rest of the day (from previous market close to the last 30 minutes). The predictive power is economically ...
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作者：Bandi, Federico M.; Chaudhuri, Shomesh E.; Lo, Andrew W.; Tamoni, Andrea
作者单位：Johns Hopkins University; Massachusetts Institute of Technology (MIT); The Santa Fe Institute; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark
摘要：We represent risk factors as sums of orthogonal components capturing fluctuations with cycles of different length. The representation leads to novel spectral factor models in which systematic risk is allowed-without being forced-to vary across frequencies. Frequency specific systematic risk is captured by a notion of spectral beta . We show that traditional factor models restrict the spectral betas to be constant across frequencies. The restriction can hide horizon-specific pricing effects tha...
