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作者：Barber, Brad M.; Morse, Adair; Yasuda, Ayako
作者单位：University of California System; University of California Davis; University of California System; University of California Berkeley; National Bureau of Economic Research
摘要：We show that investors derive nonpecuniary utility from investing in dual-objective Venture Capital (VC) funds, thus sacrificing returns. Impact funds earn 4.7 percentage points (ppts) lower internal rates of return (IRRs) ex-post than traditional VC funds. In random utility/willingness-to-pay (WTP) models investors accept 2.5-3.7 ppts lower IRRs ex ante for impact funds. The positive WTP result is robust to fund access rationing and investor heterogeneity in fund expected returns. Development...
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作者：Carpinelli, Luisa; Crosignani, Matteo
作者单位：European Central Bank; Bank of Italy; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We analyze the role of loan maturity and collateral eligibility in the transmission of central bank liquidity provisions to banks following a wholesale funding dry-up. We analyze the transmission of the three-year LTRO, which substantially extended the ECB liquidity maturity, in Italy, where banks benefited from a government guarantee program that effectively relaxed the ECB collateral requirements. Combining the national credit register with banks securities holdings, we find that (i) the mat...
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作者：Cipriani, Marco; La Spada, Gabriele
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：This paper uses a quasi-natural experiment to estimate the premium for money-likeness. The 2014 Securities and Exchange Commission (SEC) reform of the money market fund (MMF) industry reduced the money-likeness of prime MMFs by increasing their information sensitivity, while leaving government MMFs unaffected. Investors fled from prime to government MMFs, with total outflows exceeding one trillion dollars. Using a differencein-differences design, we estimate the premium for money-likeness to b...
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作者：Hagstromer, Bjorn
作者单位：Stockholm University
摘要：The effective bid-ask spread measured relative to the spread midpoint overstates the true effective bid-ask spread in markets with discrete prices and elastic liquidity demand. The average bias is 13%-18% for S&P 500 stocks in general, depending on the estimator used as benchmark, and up to 97% for low-priced stocks. Cross-sectional bias variation across stocks, trading venues, and investor groups can influence research inference. The use of the midpoint also undermines liquidity timing and tr...
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作者：Chinco, Alex; Neuhierl, Andreas; Weber, Michael
作者单位：University of Chicago; Washington University (WUSTL); National Bureau of Economic Research
摘要：The anomaly zoo has caused many to question whether researchers are using the right tests of statistical significance. But even if researchers are using the right tests, they will still draw the wrong conclusions from their econometric analyses if they start out with the wrong priors (i.e., if they start out with incorrect beliefs about the ex ante probability of encountering a tradable anomaly, the anomaly base rate). We propose a way to estimate it by combining two key insights: Empirical Ba...
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作者：Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan
作者单位：Northwestern University; Yale University
摘要：We study the pricing of shocks to uncertainty and volatility using a wide-ranging set of options contracts covering a variety of different markets. If uncertainty shocks are viewed as bad by investors, they should carry negative risk premiums. Empirically, however, uncertainty risk premiums are positive in most markets. Instead, it is the realization of large shocks to fundamentals that has historically carried a negative premium. In other words, we find that the return premium for gamma is ne...
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作者：Briggs, Joseph; Cesarini, David; Lindqvist, Erik; Ostling, Robert
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; New York University; National Bureau of Economic Research; Stockholm University; Research Institute of Industrial Economics (IFN); Stockholm School of Economics
摘要：We exploit the randomized assignment of lottery prizes in a large administrative Swedish data set to estimate the causal effect of wealth on stock market participation. A $150,00 0 windfall gain increases the stock market participation probability by 12 percentage points among prelottery nonparticipants but has no discernible effect on prelottery stock owners. A structural life cycle model significantly overpredicts entry rates even for very high entry costs (up to $31,0 00). Additional analys...
