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作者：Banerjee, Snehal; Davis, Jesse; Gondhi, Naveen
作者单位：University of California System; University of California San Diego; University of North Carolina; University of North Carolina Chapel Hill; INSEAD Business School; University of North Carolina; University of North Carolina Chapel Hill
摘要：The psychology literature documents that individuals derive current utility from their beliefs about future events. We show that, as a result, investors in financial markets choose to disagree about both private information and price information. When objective price informativeness is low, each investor dismisses the private signals of others and ignores price information. In contrast, when prices are sufficiently informative, heterogeneous interpretations arise endogenously: most investors i...
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作者：Hanley, Kathleen
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作者：Chen, Hui; Dou, Winston wei; Kogan, Leonid
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We formalize the concept of dark matter in asset pricing models by quantifying the additional informativeness of cross-equation restrictions about fundamental dynamics. The dark-matter measure captures the degree of fragility for models that are potentially misspecified and unstable: a large dark-matter measure indicates that the model lacks internal refutability (weak power of optimal specification tests) and external validity (high overfitting tendency and poor out-of-sample fit). The measur...
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作者：Howell, Sabrina T.; Kuchler, Theresa; Snitkof, David; Stroebel, Johannes; Wong, Jun
作者单位：National Bureau of Economic Research; University of Chicago; New York University
摘要：Process automation reduces racial disparities in credit access by enabling smaller loans, broadening banks' geographic reach, and removing human biases from decision making. We document these findings in the context of the Paycheck Protection Program (PPP), where private lenders faced no credit risk but decided which firms to serve. Black-owned firms obtained PPP loans primarily from automated fintech lenders, especially in areas with high racial animus. After traditional banks automated their...
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作者：Gopalan, Radhakrishnan; Hamilton, Barton H.; Sabat, Jorge; Sovich, David
作者单位：Washington University (WUSTL); University Diego Portales; University of Kentucky; University of Kentucky
摘要：We combine state minimum wage changes with individual-level income and credit data to estimate the effect of wage gains on the debt of low-wage workers. In the three years following a $0.88 minimum wage increase, low-wage workers experience a $2,712 income increase and a $856 decrease in debt. The entire decline in debt comes from less student loan borrowing among enrolled college students. Credit constraints, buffer-stock behavior, and other rational channels cannot explain the reduction in s...
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作者：Dai, Min; Giroud, Xavier; Jiang, Wei; Wang, Neng
摘要：We propose a tractable model of dynamic investment, spinoffs, financing, and risk management for a multidivision firm facing costly external finance. Our analysis formalizes the following insights: (i) Within-firm resource allocation is based not only on divisions' productivity, as in winner-picking models, but also their risk; (ii) firms may voluntarily spin off productive divisions to increase liquidity; (iii) diversification can reduce firm value in low-liquidity states, as it increases the...
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作者：Gorbenko, Alexander S.; Malenko, Andrey
作者单位：University of London; University College London; University of London; University College London; Boston College; Center for Economic & Policy Research (CEPR)
摘要：We study initiation of takeover auctions by potential buyers and the seller. A bidder's indication of interest reveals that she is optimistic about the target. If bidders' values have a substantial common component, as in takeover battles between financial bidders, this effect disincentivizes bidders from indicating interest, and auctions are seller-initiated. Conversely, in private-value auctions, such as battles between strategic bidders, equilibria can feature both seller- and bidder-initia...
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作者：Reuben, Ernesto; Sapienza, Paola; Zingales, Luigi
作者单位：New York University; New York University Abu Dhabi; Northwestern University; University of Chicago; Northwestern University
摘要：We study when preferences for competition are a positive economic trait among high earners and the extent to which this trait can explain the gender gap in income among a master's degree in business administration (MBAs). Consistent with the experimental evidence, preferences for competition are a positive economic trait only for individuals who are not overconfident. Preferences for competition correlate with income only at graduation when bonuses are guaranteed and not a function of performa...
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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：Collin-Dufresne, Pierre; Junge, Benjamin; Trolle, Anders B.
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Copenhagen Business School; Copenhagen Business School
摘要：We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using new results for pricing compound options via multivariate affine transform analysis. The model captures many aspects of the joint dynamics of CDX and SPX options. However, it cannot reconcile the relative levels of option prices, suggesting ...
