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作者：Guo, Yifeng; Mota, Lira
作者单位：Columbia University
摘要：Information production is key to the efficiency of financial markets. Does selling infor-mation separately improve its production? We investigate this question using MiFID II, a European regulation that unbundles research from transactions. We show that unbundling causes fewer research analysts to cover a firm. This decrease does not come from small -or mid-cap firms but is concentrated in large firms. Surprisingly, the reduction in analyst coverage is accompanied by a decrease in forecast err...
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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：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...
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作者：Adams, Paul; Hunt, Stefan; Palmer, Christopher; Zaliauskas, Redis
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：While popular with policymakers, most evidence on consumer financial disclosure's effectiveness studies borrowing decisions (where optimality is unclear) or lab experiments (where attention is not scarce). We provide field evidence from randomized controlled trials with 124,0 0 0 savings account holders at five UK depositories. Treated consumers were disclosed varying degrees of salient information about alternative products, including one with their current provider strictly dominating their ...
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作者：Chalmers, John; Liu, Yu (Steve); Wang, Z. Jay
作者单位：University of Oregon; University of Missouri System; Missouri University of Science & Technology
摘要：The Real-Time Transaction Reporting System (RTRS) reduced the delay in reporting municipal bond trades from one-day to 15 min. We find a significant reduction in secondary market trading costs after the introduction of the RTRS. Our estimates imply that retail investors benefited primarily from reduced dealer intermediation costs, while large trades benefited from reductions in bargaining costs. Bonds experienced increases in trading volume across the liquidity spectrum. We find higher dealer ...
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作者：Calder-Wang, Sophie; Gompers, Paul A.
作者单位：University of Pennsylvania; Harvard University; National Bureau of Economic Research
摘要：Given overall lack of gender diversity in the venture capital and entrepreneurship industry shown in Calder-Wang and Gompers (2017) we ask: What promotes greater gender diversity in hiring? Does diversity lead to better firm performance and higher investment returns? In this paper, using a unique dataset of the gender of venture capital partners' children, we find strong evidence that when partners have more daughters, the propensity to hire female partners increases. Moreover, our instrumenta...
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作者：Mukherjee, Abhiroop; Panayotov, George; Shon, Janghoon
作者单位：Hong Kong University of Science & Technology
摘要：We develop an approach to identify whether recent technological advancements & mdash;such as the rise of commercial satellite-based macro estimates & mdash;can provide an alternative to government data. We measure the extent to which satellite estimates affect the value of a government macro announcement using its asset price impact. Our identification relies on cloud cover, which prevents satellites from observing economic activity at a few key hubs. Applying our approach, we find that some s...
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作者：Aghamolla, Cyrus; An, Byeong-Je
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Nanyang Technological University
摘要：We study a dynamic voluntary disclosure setting where the manager's information and the firm's value evolve over time. The manager is not limited in her disclosure opportunities, but disclosure is costly. The results show that the manager discloses even if this leads to a price decrease in the current period. The manager absorbs this price drop in order to increase her option value of withholding disclosure in the future. That is, by disclosing today, the manager can improve her continuation v...
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作者：Ahnert, Toni; Forbes, Kristin; Friedrich, Christian; Reinhardt, Dennis
作者单位：Bank of Canada; Centre for Economic Policy Research - UK; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Bank of England
摘要：We use a new data set on macroprudential foreign exchange (FX) regulations to evaluate their effectiveness and unintended consequences. Our results support the predictions of a model in which banks and markets lend in different currencies, but only banks can screen firm productivity. Regulations significantly reduce bank FX borrowing, and firms respond by increasing FX debt issuance. Moreover, regulations reduce bank sensitivity to exchange rates but are less effective at reducing the sensitiv...
