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作者：Neufeld, Ariel; Papapantoleon, Antonis; Xiang, Qikun
作者单位：Nanyang Technological University; Delft University of Technology; Foundation for Research & Technology - Hellas (FORTH)
摘要：We consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their arbitrage-free prices. We work in a completely realistic setting, in that we only assume the knowledge of traded prices for other single- and multi-asset derivatives and even allow for the presence of bid-ask spread in these prices. We provide a fundamental theorem of asset pricing for this market model, as well as a s...
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作者：De Angelis, Tiziano; Tankov, Peter; Zerbib, Olivier David
作者单位：University of Turin; Collegio Carlo Alberto; Institut Polytechnique de Paris; Ecole Polytechnique; Boston University; Universite Catholique de Lille; EDHEC Business School
摘要：This paper shows how green investing spurs companies to mitigate their carbon emissions by raising the cost of capital of the most carbon-intensive companies. Companies??? emissions decrease when the wealth share of green investors and their sensitivity to climate externalities increase. We show that the impact of green investors primarily governs companies??? long-run emissions. Companies are further incentivized to reduce their emissions when green investors anticipate tighter climate regula...
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作者：Dieler, Tobias; Biswas, Sonny; Calzolari, Giacomo; Castiglionesi, Fabio
作者单位：University of Bristol; European University Institute; Centre for Economic Policy Research - UK; Tilburg University
摘要：We study the impact of a financial transaction tax (FTT) in a model that combines asset trading and real investment. An informed trader holds private information about the fundamental value of a firm, and the firm'smanager relies on the asset price to infer such information and invest accordingly. We characterize an informative, but illiquid, equilibrium where the firm's value is optimal but trade is inefficiently low, together with an uninformative equilibrium with maximal liquidity but ineff...
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作者：Beyhaghi, Mehdi; Khashabi, Pooyan; Mohammadi, Ali
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Richmond; ESSEC Business School; Copenhagen Business School; Danish Finance Institute
摘要：We examine the relationship between pre-grant patent disclosure and analyst forecast accuracy. We take advantage of the passage of the American Inventor's Protection Act (1999), which mandates the pre-grant public disclosure of all information in patent application documents within 18 months of the initial filings. We find that, on average, the pre-grant patent disclosure of corporate inventions significantly improves the accuracy of analyst forecasts about the patenting firm and this improvem...
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作者：Landsman, Wayne R.; Li, Chao Kevin; Zhao, Jianxin Donny
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of New South Wales Sydney; Emory University
摘要：This study uses an information-asymmetry framework to examine the effect of initiation of credit default swaps (CDS) trading on firm dividend payout policy. We find evidence that CDS initiation is associated with increasing dividends, which is consistent with firms distributing excess free cash flow to mitigate exacerbated manager-equityholder agency conflicts resulting from reduced monitoring by banks following CDS initiation. Additional findings support this explanation by showing that the d...
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作者：Gallego, Guillermo; Berbeglia, Gerardo
作者单位：The Chinese University of Hong Kong, Shenzhen; University of Melbourne
摘要：For a large class of demand models that allow for multiple consumer types, we present performance guarantees for simple nonpersonalized pricing heuristics relative to optimal personalized pricing. Our results demonstrate that in a general setting, the effectiveness of pricing along a positive vector depends on how the price vector aligns with optimal personalized price vectors. We propose two positive direction vectors: the economic and robust directions. The economic direction is a convex com...
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作者：Chandy, Rajesh; Dowell, Glen; Mayer, Colin; Plambeck, Erica; Serafeim, George; Toffel, Michael W.; Toktay, L. Beril; Weberg, Elke
作者单位：University of London; London Business School; Cornell University; University of Oxford; Stanford University; Harvard University; University System of Georgia; Georgia Institute of Technology; Princeton University
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作者：Wu, Liuren; Tian, Meng
作者单位：City University of New York (CUNY) System; Baruch College (CUNY)
摘要：The stock option-implied volatility skew reflects both the structural risk characteristics of the underlying company and the short-term information flow about the stock price movement. This paper builds a semistructural, cross-sectional option pricing model to separate the structural risk contributions from the information flow. The model identifies two structural risk sources that contribute to the cross-sectional variation of the skew: the company's business cyclicality and its default risk....
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作者：Laussel, Didier; Long, Ngo Van; Resende, Joana
作者单位：Aix-Marseille Universite; McGill University; Australian National University; Universidade do Porto
摘要：We consider a nondurable good monopolist that collects data on its customers in order to profile them and subsequently practice price discrimination on returning cus-tomers. The monopolist's price discrimination scheme is leaky in the sense that an endogenous fraction of consumers choose to incur a privacy cost to conceal their identity when they return in the following periods. We characterize the Markov perfect equili-brium of the game under two alternative customer profiling regimes: full i...
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作者：Divakaruni, Anantha; Zimmerman, Peter
作者单位：University of Bergen; Federal Reserve System - USA; Federal Reserve Bank - Cleveland
摘要：In April 2020, the U.S. government sent economic impact payments (EIPs) directly to households as part of its measures to address the COVID-19 pandemic. We characterize these stimulus checks as a wealth shock for households and examine their effect on retail trading in Bitcoin. We find a significant increase in Bitcoin buy trades of size $1,200, which is the modal EIP amount. We find similar increases in trading for other countries that paid out stimulus checks. We estimate that the EIPs have ...
