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作者：Zhang, Harold H.; Zhao, Feng; Zhao, Xiaofei
作者单位：University of Texas System; University of Texas Dallas; Georgetown University; University of Texas System; University of Texas Dallas
摘要：Examining the contractual disclosures during the sale of private-label residential mortgage-backed securities before the 2008 financial crisis, we find that textual contents in the risk-factor section predict subsequent losses and yet were not reflected in pricing. Insurance companies, especially life insurers and insurers with low regulatory capital ratios, are more exposed to textual risks. Consistent with issuers hedging litigation risks with disclosure, we find that textual contents are as...
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作者：Hanley, Kathleen Weiss
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作者：Garmaise, Mark J.; Levi, Yaron; Lustig, Hanno
作者单位：National Bureau of Economic Research; Centre for Economic Policy Research - UK; Stanford University
摘要：Using high-frequency spending data, we show that household consumption displays excess sensitivity to salient macroeconomic news, even when the news is not real. When the announced local unemployment rate reaches a 12-month maximum, local news coverage of unemployment increases and local consumers reduce their discretionary spending by 1.5% relative to consumers in areas with the same macroeconomic conditions. Low-income households display greater excess sensitivity to salience. The decrease i...
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作者：Sannino, Francesco
作者单位：Frankfurt School Finance & Management
摘要：I model positive sorting of entrepreneurs across the high and low value-added segments of the venture capital market. Aiming to attract high-quality entrepreneurs, inefficiently many venture capitalists (VCs) commit to provide high value-added by forming small portfolios. This draws the marginal entrepreneur away from the low value-added segment, reducing match quality in the high value-added segment too. There is underinvestment. Multiple equilibria may emerge, and they differ in aggregate in...
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作者：Duarte, Jefferson; Jones, Christopher s.; Wang, Junbo l.
作者单位：Rice University; University of Southern California; Louisiana State University System; Louisiana State University
摘要：The stylized fact that volatility is not priced in individual equity options does not withstand scrutiny. First, we show that the average return of heavily traded deep out-of-the-money call options on stocks is -116 basis points per day. Second, Fama-MacBeth estimates of the volatility risk premium in stock options are similar to those in S&P 500 Index call options. Third, the mean return of heavily traded delta-hedged at-the-money calls (puts) is -23 (-30) basis points. Fourth, the variance r...
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作者：Krohn, Ingomar; Mueller, Philippe; Whelan, Paul
作者单位：Bank of Canada; University of Warwick; Chinese University of Hong Kong; University of Warwick
摘要：The U.S. dollar appreciates in the run-up to foreign exchange (FX) fixes and depreciates thereafter, tracing a W-shaped return pattern around the clock. Return reversals for the top nine traded currencies over a 21-year period are pervasive and highly statistically significant, and they imply daily swings of more than one billion U.S. dollars based on spot volumes. Using natural experiments, we document the existence of a published reference rate determines the timing of intraday return revers...
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作者：Gofman, Michael; Jin, Zhao
作者单位：Hebrew University of Jerusalem
摘要：We document an unprecedented brain drain of Artificial Intelligence (AI) professors from universities from 2004 to 2018. We find that students from the affected universities establish fewer AI startups and raise less funding. The brain-drain effect is significant for tenured professors, professors from top universities, and deep-learning professors. Additional evidence suggests that unobserved city- and university-level shocks are unlikely to drive our results. We consider several economic cha...
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作者：Povel, Paul; Strobl, Guenter
作者单位：University of Houston System; University of Houston; University of Vienna
摘要：We analyze a principal-agent model in which an effort-averse agent can manipulate a publicly observable performance report. The principal cannot observe the agent's cost of effort, her effort choice, and whether she manipulated the report. An optimal contract links compensation to the realized output and the (possibly manipulated) report. Manipulation can be beneficial to the principal because it can make the report more informative about the agent's effort choice, thereby reducing the agent's...
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作者：Jorring, Adam Tejs
作者单位：University of Massachusetts System; University of Massachusetts Amherst
摘要：Using detailed account-level data, this paper explores how financial sophistication affects consumers' spending responses to changes in income. I document that, controlling for liquidity, financially unsophisticated consumers display significant spending responses to predictable decreases in their disposable income. Furthermore, they have lower savings rates, fewer liquid savings, and higher debt-to-income ratios, leaving them more exposed to income shocks. Robustness tests, supported by anecd...
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作者：Bhattacharya, Utpal; Kumar, Amit; Visaria, Sujata; Zhao, Jing
作者单位：Hong Kong University of Science & Technology; Singapore Management University; City St Georges, University of London; Hong Kong Polytechnic University
摘要：We arranged for trained undercover men and women to pose as potential clients and visit all 65 local financial advisory firms in Hong Kong. At financial planning firms, but not at securities firms, women were more likely than men to receive advice to buy only individual or only local securities. Female clients who signaled high confidence, high risk tolerance, or a domestic outlook were especially likely to receive this suboptimal advice. Our theoretical model explains these patterns as a resu...
