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作者：Colliard, Jean-Edouard; Foucault, Thierry; Lovo, Stefano
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：We study Algorithmic Market Makers (AMs) that use Q-learning algorithms to set prices for a risky asset. We find that while AMs successfully adapt to adverse selection, they struggle to learn competitive pricing strategies. This failure is driven by limited experimentation and noisy feedback regarding the profitability of undercutting a competitor. Consequently, an increase in AMs' profit volatility tends to result in less competitive market outcomes. These features leave identifiable patterns...
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作者：Heeb, Florian; Kolbel, Julian F.; Ramelli, Stefano; Vasileva, Anna
作者单位：Goethe University Frankfurt; Massachusetts Institute of Technology (MIT); University of St Gallen; University of St Gallen; Swiss Finance Institute (SFI); University of Zurich
摘要：A fundamental concern about green investing is that it may crowd out political support for public policies addressing negative externalities. We examine this concern in a preregistered experiment conducted shortly before a real referendum on a climate law in Switzerland. We find that offering an opportunity to invest in a climate-friendly fund does not reduce individual support for climate regulation, measured by political donations and voting intentions. A replication of the experiment in the...
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作者：Gomes, Francisco; Haliassos, Michael; Ramadorai, Tarun
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; Goethe University Frankfurt; University of London; Imperial College London; London School Economics & Political Science
摘要：We present and discuss the papers in this special issue. We use the themes that these papers study to illustrate interesting new directions that are being pursued in the household finance literature and highlight open questions on which more work is needed.
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作者：Gormley, Todd A.; Kaviani, Mahsa; Maleki, Hosein, I
作者单位：Washington University (WUSTL); University of Delaware; Rutgers University System; Rutgers University New Brunswick
摘要：We document that judges' political affiliations are strongly associated with the level of judicial penalties levied against companies. For example, Republican-appointed judges impose larger fines for hiring illegal immigrants, while Democrat-appointed judges impose larger fines for pollution- and environment-related violations. Time-series variation suggests that political partisanship, not fixed ideological differences, drives these findings. The differences become amplified when higher-court...
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作者：Bretscher, Lorenzo; Schmid, Lukas; Sen, Ishita; Sharma, Varun
作者单位：University of Lausanne; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK; University of Southern California; Harvard University; Indiana University System; Indiana University Bloomington
摘要：We propose an equilibrium corporate bond pricing model that accommodates the heterogeneity in institutional investors' preferences and mandates in an empirically tractable way. Our model, estimated on rich holdings data, quantifies investors' preferences and demand elasticities, with inelastic insurers focusing on the investment-grade segment, and elastic mutual funds substituting across ratings groups. The model offers a novel quantitative perspective of the effect of recent trends in institu...
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作者：Dannhauser, Caitlin; Pontiff, Jeffrey
作者单位：Villanova University; Boston College
摘要：Performance chasing is pervasive in active mutual funds, index mutual funds, and ETFs, with positive flow-performance sensitivity evident in both broad-based and niche funds and for the skill and nonskill components of returns. The sensitivity of ETFs is greatest, with insignificant differences between active and index mutual funds. The heightened sensitivity of ETFs is not explained by benchmark design or exchange trading, and is amplified by institutional ownership. Institutional trading of ...
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作者：Sheng, Jinfei; Xu, Nan; Zheng, Lu
作者单位：University of California System; University of California Irvine; Shanghai University of Finance & Economics
摘要：We examine the informativeness of fund risk disclosure by combining fund returns and textual data. We develop a novel measure, INF, to capture the explanatory power of disclosed risks for fund returns. Average INF is 55% after controlling for market risk and remains 26-29% after excluding risks related to fund name or strategy. We explain variations in INF through disclosure costs and benefits: (1) Funds with less informative disclosures face SEC comment letters and reduced flow, (2) informati...
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作者：Antolin-Diaz, Juan; Petrella, Ivan; Rubio-Ramirez, Juan
作者单位：Massachusetts Institute of Technology (MIT); Collegio Carlo Alberto; University of Turin; Emory University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
摘要：A long tradition in macro-finance studies the dynamics of aggregate stock returns and dividends using vector autoregressions, imposing the restrictions implied by the Campbell-Shiller (CS) identity to sharpen inference. We develop Bayesian methods that encode a priori skepticism about return predictability while imposing the restrictions. We highlight that persistence in dividend growth induces dividend momentum, a previously overlooked channel for return predictability. By combining Bayesian ...
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作者：Malenko, Andrey; Malenko, Nadya
作者单位：Boston College
摘要：Traditionally, fund managers cast votes on behalf of fund investors. Recently, there is a shift toward pass-through voting, with funds offering investors a choice: delegate votes to the fund or vote themselves. We develop a framework to study the implications of voting choice. While it helps reflect heterogeneous investor preferences, it also shapes the informational content of the vote, and these forces can conflict. When interests are aligned, voting choice improves information aggregation a...
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作者：Harford, Jarrad; He, Qiyang; Qiu, Buhui
作者单位：University of Washington; University of Washington Seattle; Deakin University; University of Sydney
摘要：We extract information from earnings call transcripts to develop a comprehensive and reliable measure of labor shortage exposure. After validating the measure at the state, industry, and firm levels, we show that firms with labor shortage exposures experience lower earnings call CARs, future stock returns and operating performance. Firms respond to labor shortages by substituting labor with capital and R&D investments, and by producing more production-process patents. Such responses help mitig...
