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作者：Kogan, Leonid; Li, Jun; Zhang, Harold h.
作者单位：National Bureau of Economic Research; Massachusetts Institute of Technology (MIT); University of Texas System; University of Texas Dallas; University of Texas System; University of Texas Dallas
摘要：We show theoretically that variable production costs reduce systematic risk of firms' cash flows if capital and variable inputs are complementary in firms' production and input prices are procyclical. In our dynamic model, this operating hedge effect is weaker for more profitable firms, giving rise to a gross profitability premium. Moreover, gross profitability and value factors are distinct and negatively correlated, and their premia are not captured by the capital asset pricing model (CAPM)....
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作者：Levine, Ross; Lin, Chen; Ma, Chicheng; Xu, Yuchen
作者单位：Stanford University; National Bureau of Economic Research; University of Hong Kong; Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen); University of New South Wales Sydney
摘要：The primary challenge to assessing the legal origins view of comparative financial development is identifying exogenous changes in legal systems. We assemble new data on Shanghai's British and French concessions between 1845 and 1936. Two regime changes altered British and French legal jurisdiction over their respective concessions. By examining the changing application of different legal traditions to adjacent neighborhoods within the same city and controlling for military, economic, and poli...
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作者：Akepanidtaworn, Klakow; Mascio, Rick di; Imas, Alex; Schmidt, Lawrence D. W.
作者单位：International Monetary Fund; University of Chicago; Massachusetts Institute of Technology (MIT)
摘要：Are market experts prone to heuristics, and do these heuristics transfer across buying and selling domains? We investigate this question using a unique data set of institutional investors with portfolios averaging $573 million. A striking finding emerges: While there is evidence of skill in buying, selling decisions underperform substantially, even relative to random-selling strategies. This holds despite the similarity between the two decisions in frequency, substance, and consequences for pe...
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作者：Bolton, Patrick; Kacperczyk, Marcin
作者单位：Columbia University; Imperial College London; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; University of London; London Business School; Imperial College London
摘要：The energy transition away from fossil fuels exposes companies to carbon-transition risk. Estimating the market-based premium associated with carbon-transition risk in a cross section of 14,400 firms in 77 countries, we find higher stock returns associated with higher levels and growth rates of carbon emissions in all sectors and most countries. Carbon premia related to emissions growth are greater for firms located in countries with lower economic development, larger energy sectors, and less ...
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作者：Heston, Steven L.; Jones, Christopher S.; Khorram, Mehdi; Li, Shuaiqi; Mo, Haitao
作者单位：University System of Maryland; University of Maryland College Park; University of Southern California; Rochester Institute of Technology; City University of Hong Kong; University of Kansas; University of Kansas
摘要：This paper investigates the performance of option investments across different stocks by computing monthly returns on at-the-money straddles on individual equities. We find that options with high historical returns continue to significantly outperform options with low historical returns over horizons ranging from 6 to 36 months. This phenomenon is robust to including out-of-the-money options or delta-hedging the returns. Unlike stock momentum, option return continuation is not followed by long...
