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作者：Elkamhi, Redouane; Jo, Chanik; Nozawa, Yoshio
作者单位：University of Toronto; Chinese University of Hong Kong
摘要：A one-factor model based on long-run consumption growth explains the risk premiums on corporate bond portfolios sorted on credit rating, credit spreads, downside risk, idiosyncratic volatility, long-term reversals, maturity, and sensitivity to the financial intermediary capital factor. The estimated risk-aversion coefficient is lower when we use the consumption growth of wealthy households over a longer horizon as a risk factor, and a model with a 20-quarter horizon yields a risk-aversion coef...
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作者：Angelici, Marta; Profeta, Paola
作者单位：Bocconi University; Bocconi University
摘要：Does removing constraints on the time and place of work benefit the utility of workers and firms? We design a randomized experiment of a sample of workers in a large Italian company; workers are randomly divided into a treated group that engages in flexible place and time of work (which we call smart working) one day per week for nine months and a control group that continues to work traditionally. By comparing the treated and control groups, we find causal evidence that the flexibility of sma...
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作者：Robatto, Roberto
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：This paper evaluates liquidity requirements and public liquidity injections in the context of financial crises, using a model that includes near-money assets. Some key effects are transmitted through liquidity premia and the price of liquid assets, producing a heterogeneous impact that depends on an agent's holdings of liquid assets. In addition, some agents prefer policies that do not fully relax their liquidity constraints because these policies are associated with higher prices. Liquidity r...
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作者：Chib, Siddhartha; Zhao, Lingxiao; Zhou, Guofu
作者单位：Washington University (WUSTL); Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen)
摘要：Starting from twelve distinct factors from the recent literature, plus twelve principal components (PCs) of anomalies unexplained by the initial factors, a Bayesian comparison of approximately seventeen million models in terms of marginal likelihoods and posterior model probabilities shows that {Mkt, MOM, IA, ROE, MGMT, PERF, PEAD, FIN}, plus the nonconsecutive principal components, {PC1, PC5, PC7} are the best supported risk factors. Pricing tests and annualized out-of-sample Sharpe ratios fo...
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作者：Lai, Sandy; Lin, Chen; Ma, Xiaorong
作者单位：National Taiwan University; University of Hong Kong; University of Macau
摘要：This paper studies the cost of capital effect of a major regulatory technology, or RegTech, event: the staggered implementation of the Electronic Data Gathering, Analysis, and Retrieval (EDGAR) system of the Securities and Exchange Commission in the period from 1993 to 1996. This event represents a largely exogenous shock to corporate information dissemination technologies, resulting in a considerable reduction in information acquisition costs for investors. Using a difference-in-differences r...
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作者：Bao, Leo; Huang, Difang; Lin, Chen
作者单位：Monash University; Chinese Academy of Sciences; Academy of Mathematics & System Sciences, CAS; University of Hong Kong
摘要：Gender discrimination in education hinders women's representation in various fields. How can we create a gender-neutral learning environment when teachers' gender composition and mindset are slow to change? Recent development in artificial intelligence (AI) provides a way to achieve this goal as engineers can make AI trainers gender neutral and not take gender-related information as input. We use data from a natural experiment in which such AI trainers replace some human teachers for a male-do...
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作者：Bonaparte, Yosef; Korniotis, George M.; Kumar, Alok; Vosse, Melina
作者单位：University of Colorado System; University of Colorado Anschutz Medical Campus; Children's Hospital Colorado; University of Colorado Denver; University of San Diego
摘要：We study the impact of monetary policy changes on portfolio decisions of U.S. households. Contrary to the predictions of canonical portfolio choice models, interest rate increases are related to increased equity ownership and larger wealth allocations to risky assets. Inflation hedging is a likely explanation for these findings. Interest rates have a stronger impact on the equity exposure of households that experience higher inflation, especially those with greater inflation awareness and pote...
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作者：Dobrescu, Loretti; Motta, Alberto; Shanker, Akshay
作者单位：University of New South Wales Sydney; University of Sydney
摘要：As part of a term-long anonymous assessment, thousands of undergraduate university students were divided into groups, each led by a randomly selected peer. The leader's gender had no effect on the assessment's outcomes, but female students led by a female peer achieved 0.26 standard deviations (SD) higher course grades when the gender of the leader was revealed. They also outperformed by 0.22 SD their counterparts in groups in which the leader's gender was revealed to be male. The mechanism in...
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作者：Dambra, Michael; Velikov, Mihail; Weber, Joseph
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Massachusetts Institute of Technology (MIT)
摘要：We examine how managers' disclosure decisions vary in response to monetary policy shocks. Specifically, we examine the extent to which firms issue Forms 8-K, press releases, and management forecasts following unexpected changes to the target federal funds rate. We find consistent evidence that unexpected decreases (increases) in the Federal Open Market Committee target rate lead to larger increases (decreases) in disclosure by firms that are more sensitive to monetary policy shocks. Furthermor...
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作者：Li, Zhibing; Liu, Laura Xiaolei; Liu, Xiaoyu; Wei, K. C. John
作者单位：University of International Business & Economics; Peking University; Hong Kong Polytechnic University
摘要：We replicate 469 anomaly variables similar to those studied by Hou et al. (2020) using Chinese A-share data and a reliable testing procedure with mainboard breakpoints and value-weighted returns. We find that 83.37% of the anomaly variables do not generate significant high-minus-low quintile raw return spreads. Further adjusting risk increases the failure rate slightly to 84.22% based on CAPM alphas and 86.99% based on Fama-French three-factor alphas. We show that the conventional procedure us...
