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作者：Kelly, Bryan; Malamud, Semyon; Zhou, Kangying
作者单位：Yale University; National Bureau of Economic Research; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK; Yale University
摘要：Much of the extant literature predicts market returns with simple models that use only a few parameters. Contrary to conventional wisdom, we theoretically prove that simple models severely understate return predictability compared to complex models in which the number of parameters exceeds the number of observations. We empirically document the virtue of complexity in U.S. equity market return prediction. Our findings establish the rationale for modeling expected returns through machine learni...
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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：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：Kacperczyk, Marcin; Pagnotta, Emiliano S.
作者单位：Imperial College London; Center for Economic & Policy Research (CEPR); Singapore Management University; Singapore Management University
摘要：Do illegal insiders internalize legal risk? We address this question with hand-collected data from 530 SEC (the U.S. Securities and Exchange Commission) investigations. Using two plausibly exogenous shocks to expected penalties, we show that insiders trade less aggressively and earlier and concentrate on tips of greater value when facing a higher risk. The results match the predictions of a model where an insider internalizes the impact of trades on prices and the likelihood of prosecution and...
