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作者：Siriwardane, Emil N.; Sunderam, Adi; Wallen, Jonathan
作者单位：Harvard University; National Bureau of Economic Research
摘要：We use arbitrage activity in equity, fixed income, and foreign exchange markets to characterize the frictions and constraints facing intermediaries. The average pairwise correlation between the 32 arbitrage spreads that we study is 22%. These low correlations are inconsistent with canonical intermediary asset pricing models. We show that at least two types of segmentation drive arbitrage dynamics. First, funding is segmented-certain trades rely on specific funding sources, making their arbitra...
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作者：Custodio, Claudia; Mendes, Diogo; Metzger, Daniel
作者单位：Centre for Economic Policy Research - UK; Imperial College London; European Corporate Governance Institute; Stockholm School of Economics; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We study the impact of an MBA-style executive education course in finance on corporate policies and firm performance targeting top managers of medium and large Mozambican enterprises. Using a randomized controlled trial, we find that the educational treatment induces changes in financial policies that improve firm performance. Specifically, a reduction in working capital (0.4 to 0.5 standard deviations) increases cash flow, and in turn long-term investments. This effect operates primarily thro...
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作者：Francke, Marc; Korevaar, Matthijs
作者单位：University of Amsterdam; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：Based on centuries of data, we demonstrate that demographics have been a major, predictable driver of house prices. High birth rates 25 to 29 (60 to 64) years ago predict declining (rising) rent-price ratios today. This pattern arises from age-concentrated entry into and exit from homeownership affecting house prices, rather than changes in housing consumption that could also impact rents. We provide evidence for possible mechanisms: slow responses of other market participants to shifts in hom...
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作者：Chemla, Gilles; Rivera, Alejandro; Shi, Liyan
作者单位：Imperial College London; Centre National de la Recherche Scientifique (CNRS); Centre for Economic Policy Research - UK; University of Texas System; University of Texas Dallas; Carnegie Mellon University
摘要：We examine executive compensation in a general equilibrium model with dynamic moral hazard, where executives' outside options are endogenously determined by equilibrium market compensation. Firms provide incentives through compensation packages featuring deferred payments as carrots and termination as sticks. Crucially, the effectiveness of termination as an incentive device is undermined by the outside options available to executives. As individual firms fail to internalize the effect of thei...
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作者：Medina, Paolina C.; Pagel, Michaela
作者单位：University of Houston System; University of Houston; Washington University (WUSTL); National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：Using an experiment in which 3.1 million bank customers were encouraged to save, we explore the mechanisms behind coholding liquid savings and credit card debt. Theoretically, we show that the joint responses of spending, saving, and borrowing to the nudge differ across economic models of coholding. Using machine learning techniques, we find that the most responsive individuals reduce spending and increase savings by 4.9% (206 USD PPP per month) while their credit card debt remains unchanged. ...
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作者：Guernsey, Scott; Guo, Feng; Liu, Tingting; Serfling, Matthew
作者单位：University of Tennessee System; University of Tennessee Knoxville; Iowa State University
摘要：Based on a comprehensive data set of classified (staggered) boards covering nearly all U.S. public firms from 1991 to 2020, we show that contrary to conventional wisdom, the use of classified boards remains widespread. Moreover, classified board usage over a firm's life cycle depends significantly on the decade the firm matured or year it went public. While classified boards were rarely removed in the 1990s, firms became more likely to declassify as they matured during the following decades. D...
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作者：Hu, Allen; Ma, Song
作者单位：University of British Columbia; Yale University; National Bureau of Economic Research
摘要：Persuasive communication functions through not only content but also delivery-facial expression, tone of voice, and diction. This paper examines the persuasiveness of delivery in startup pitches. Using machine learning algorithms to process full pitch videos, we quantify persuasion in visual, vocal, and verbal dimensions. We find that positive (i.e., passionate, warm) pitches increase funding probability. However, conditional on funding, startups with higher levels of pitch positivity underper...
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作者：Bryzgalova, Svetlana; Pelger, Markus; Zhu, Jason
作者单位：University of London; London Business School; Stanford University
摘要：We build cross-sections of asset returns for a given set of characteristics, that is, managed portfolios serving as test assets, as well as building blocks for tradable risk factors. We use decision trees to endogenously group similar stocks together by selecting optimal portfolio splits to span the stochastic discount factor, projected on individual stocks. Our portfolios are interpretable and well diversified, reflecting many characteristics and their interactions. Compared to combinations o...
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作者：Nozawa, Yoshio; Tsoy, Anton
作者单位：University of Toronto
摘要：We study a search and bargaining model of over-the-counter markets for nonstandardized assets of heterogeneous quality. Once matched, investors privately learn their values positively correlated with asset quality. Bargaining results in delay that is hump-shaped in quality and U-shaped in asset turnover. We document these patterns in commercial real estate and corporate bonds markets. Extreme qualities are little affected by changes in asset standardization, while intermediate qualities are mo...
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作者：Betermier, Sebastien; Calvet, Laurent E.; Knupfer, Samuli; Kvaerner, Jens Soerlie
作者单位：McGill University; SKEMA Business School; Universite Cote d'Azur; Centre for Economic Policy Research - UK; Aalto University; BI Norwegian Business School; Research Institute of Industrial Economics (IFN); Tilburg University
摘要：This paper develops an empirical methodology for extracting pricing factors from investor portfolio data. We apply this approach to the stockholdings of Norwegian individual investors from 1997 to 2017. A two-factor model, featuring the market portfolio and a long-short portfolio constructed from the holdings of investors sorted by age or wealth, explains both the common variation in portfolio holdings and the cross section of stock returns. Portfolio tilts toward the long-short investor facto...
