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• Financial Contagion in Network Economies and Asset Prices AI翻译
  作者：Buraschi, Andrea; Tebaldi, Claudio
  作者单位：Imperial College London; Bocconi University
  摘要：This paper studies intertemporal asset pricing in network economies when distress shocks can propagate through the network, similarly to epidemic outbreaks. Two classes of equilibria exist. In the first, idiosyncratic shocks are diversifiable and do not affect valuations; the consumption capital asset pricing model applies. In the second, idiosyncratic shocks generate nondiversifiable long-run cascades of shocks (financial pandemics) that introduce a new risk premium component unexplained by t...
• Hate Trumps Love: The Impact of Political Polarization on Social Preferences AI翻译
  作者：Dimant, Eugen
  作者单位：University of Pennsylvania; Leibniz Association; Ifo Institut
  摘要：Exhibiting altruism toward and cooperativeness with others is a key ingredient for successful work relationships and managerial decision making. Rising political polarization creates a hazard because it ruptures this fabric and impedes the interaction of employees, especially across political isles. This paper's focus is to examine various behavioral-, belief-, and norm-based layers of (non)strategic decision making that are plausibly affected by polarization. I quantify this phenomenon via fi...
• Private Debt and the Role of Venture Capital and Private Equity Sponsors AI翻译
  作者：Buchner, Axel; Espenlaub, Susanne; Khurshed, Arif; Mohamed, Abdulkadir
  作者单位：heSam Universite; ESCP Business School; University of Manchester; Alliance Manchester Business School; University of Leeds
  摘要：This is the first study examining the key role played by venture capital and private equity (VCPE) firms in the private debt market. Private debt funds invest in companies owned (sponsored) by VCPEs and in other companies without VCPE sponsors. Using novel data, we find that private debt without VCPE sponsors generates a premium. Further analysis shows that this sponsorless premium compensates for higher risk and costs of risk mitigation as sponsorless lenders adopt a more hands-on approach em...
• Accounting-Driven Bank Monitoring and Firms' Debt Structure: Evidence from IFRS 9 Adoption AI翻译
  作者：Li, Xiao; Ng, Jeffrey; Saffar, Walid
  作者单位：Central University of Finance & Economics; University of Hong Kong; Hong Kong Polytechnic University
  摘要：International Financial Reporting Standard (IFRS) 9 is of practical relevance to banks because it requires intense monitoring of borrowers to record timely loan losses. Using data from 50 countries, we find that accounting-driven bank monitoring due to IFRS 9 adoption reduces firms' reliance on bank debt relative to public debt. This finding is consistent with firms experiencing more costly bank monitoring after a shift in regulatory reporting that requires banks to monitor borrowers more inte...
• The Composite Overfit Analysis Framework: Assessing the Out-of-Sample Generalizability of Construct-Based Models Using Predictive Deviance, Deviance Trees, and Unstable Paths AI翻译
  作者：Danks, Nicholas P.; Ray, Soumya; Shmueli, Galit
  作者单位：Trinity College Dublin; National Tsing Hua University
  摘要：Construct-based models have become a mainstay of management and information systems research. However, these models are likely overfit to the data samples upon which they are estimated, making them risky to use in explanatory, prescriptive, or predictive ways outside a given sample. Empirical researchers currently lack tools to analyze why and how their models may not generalize out of sample. We propose a composite overfit analysis (COA) framework that applies predictive tools to describe the...
• Minimum Wage Increases and Employer Performance: Role of Employer Heterogeneity AI翻译
  作者：Agarwal, Sumit; Ayyagari, Meghana; Kosova, Renata
  作者单位：National University of Singapore; George Washington University; Imperial College London
  摘要：Despite a large minimum wage literature that analyzes employee outcomes, there is less evidence on firm performance, prices, and quality. Exploiting staggered changes in U.S. minimum wages during 2000-2008 and census data on more than 29,000 hotel properties, we find that doubling the minimum wage as currently debated would reduce average hotel revenues by 6% per year and their occupancy rates by 3.1%. Responses vary by employer quality and organizational form. Although luxury hotels pass thro...
• Charitable Giving by the Poor: A Field Experiment in Kyrgyzstan AI翻译
  作者：Adena, Maja; Hakimov, Rustamdjan; Huck, Steffen
  作者单位：University of Lausanne; University of London; University College London
  摘要：In a large-scale natural field experiment, we partnered with a microlending company in Kyrgyzstan that asked over 180,000 of its clients for donations to social projects as a form of corporate philanthropy. In a 2 x 2 design, we explored two main (preregistered) hypotheses about giving by the poor. First, based on a conjecture that the poor are more price sensitive than the rich and in contrast to previous studies, we hypothesize that matching incentives induce crowding in of out-of-pocket don...
• Strategic Competition and Self-Confidence AI翻译
  作者：Brilon, Stefanie; Grassi, Simona; Grieder, Manuel; Schulz, Jonathan F.
  作者单位：Johannes Gutenberg University of Mainz; Zurich University of Applied Sciences; George Mason University
  摘要：This study tests the hypothesis that competitive strategic interactions foster overconfidence. We experimentally compare a strategic environment in which players have an incentive to overstate their own ability to deter competitors and avoid competition with a nonstrategic environment in which these incentives are removed. Subsequently, we measure the participants' confidence. Overconfidence persists in the former environment but vanishes in the latter. We provide evidence for three mechanisms...
• The Beta Anomaly and Mutual Fund Performance AI翻译
  作者：Irvine, Paul; Kim, Jeong Ho (John); Ren, Jue
  作者单位：Texas Christian University; Emory University
  摘要：We find evidence for the beta anomaly in mutual fund performance. This anomaly is not accounted for in the standard four-factor framework, nor by the addition of a betting-against-beta factor to the benchmark model. We identify the active component of alpha (active alpha) not attributable to the passive effects related to beta. Active alpha is persistent and associated with superior portfolio performance. We find that, although many investors use standard alpha to allocate capital, a subset of...
• The Economics of Security Analysis AI翻译
  作者：Hou, Kewei; Mo, Haitao; Xue, Chen; Zhang, Lu
  作者单位：University System of Ohio; Ohio State University; Louisiana State University System; Louisiana State University; University System of Ohio; University of Cincinnati; National Bureau of Economic Research
  摘要：The investment capital asset pricing model, in which expected returns vary cross-sectionally with investment, profitability, and expected growth, provides an equilibrium foundation for Graham and Dodd's security analysis. The q5 model is a good start to explaining prominent security analysis strategies, such as Abarbanell and Bushee's fundamental signals, Frankel and Lee's intrinsic to market, Greenblatt's magic formula, Asness et al.'s quality minus junk, Bartram and Grinblatt's agnostic anal...