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作者：Lowry, Michelle; Wang, Pingle; Wei, Kelsey D.
作者单位：Drexel University; University of Texas System; University of Texas Dallas
摘要：Environmental, social, and governance (ESG) funds have heterogeneous incentives to engage with portfolio firms. If funds view ESG as a value driver, then these incentives will affect funds' behavior and thus their impact on firms. We compare ESG funds with similar levels of ESG investments but different incentives to engage. Funds with higher incentives to engage, that is, committed ESG funds, conduct more ESG-related information acquisition, pursue longer term investment strategies, engage mo...
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作者：Davila, Eduardo; Parlatore, Cecilia
作者单位：Yale University; National Bureau of Economic Research; New York University; Center for Economic & Policy Research (CEPR)
摘要：We identify and estimate price informativeness, a necessary step in testing theories of information aggregation. Starting from a pricing equation and a stochastic process for payoffs, we show how to recover relative price informativeness from regressions of asset price changes on changes in payoffs. Applying our identification results, we estimate a panel of stock-specific measures of informativeness for U.S. stocks. In the cross-section, large stocks with high turnover, idiosyncratic volatili...
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作者：He, Li; Whited, Toni M.
作者单位：Universite Catholique de Lille; EDHEC Business School; University of Michigan System; University of Michigan; National Bureau of Economic Research
摘要：Why do so few women become CEOs? To understand this glass ceiling, we estimate a dynamic model of the CEO gender decision, which contains perceived gender productivity differences, search costs reflecting limited female labor supply, and employer disutility from discrimination. The key factor is the shortage of suitable female candidates, as boards prefer hiring women, and productivity differences between genders are minimal. We find no evidence of a glass cliff in which women become CEOs just...
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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; Iowa State University; City University of Hong Kong; University of Kansas
摘要：We develop a model-free measure of the variance premium by constructing option portfolios whose returns are highly correlated with realized stock variance. This effectively decomposes returns into realized variance minus implied variance. We apply this decomposition to document a novel quarterly cross-sectional continuation pattern in both realized variance and implied variance of individual stocks. Implied variance underanticipates the seasonality of realized variance, so options that perform...
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作者：Guenzel, Marius; Liu, Tong
作者单位：University of Pennsylvania; Massachusetts Institute of Technology (MIT)
摘要：We document that firms exhibit excess commitment to R&D projects and examine its consequences for innovation outcomes. Using detailed data on pharmaceutical firms' clinical trial projects, we find that trial delays, empirically uncorrelated with multiple project-quality measures, substantially reduce firms' subsequent project-termination propensity. This result remains robust when we use variation in clinical trial site congestion to instrument for unexpected delays. Excess commitment intensif...
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作者：Gonzalez-Uribe, Juanita; Klingler-Vidra, Robyn; Wang, Su; Yin, Xiang
作者单位：University of London; London School Economics & Political Science; University of London; King's College London; ShanghaiTech University; Tsinghua University
摘要：Analyzing approximately 2,000 applicants to a U.K. seed fund, this study examines how venture capital (VC) due diligence affects startup outcomes independent of funding decisions. Leveraging random reviewer assignment, we find that due diligence increases 2-year growth but lowers continuation rates among nonfunded applicants, reflecting a dynamic of accelerated scaling or exit. Evidence points to a learning mechanism: due diligence exposes founders to advanced website technologies, prompting c...
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作者：Duchin, Ran; Sosyura, Denis
作者单位：Boston College; Arizona State University; Arizona State University-Tempe
摘要：We study the efficacy of remote arrangements between CEOs and firms. Such arrangements attract executive talent and overcome labor market segmentation but introduce frictions. Remote arrangements are associated with lower operating performance, firm valuation, and insider reviews. Using the private costs from uprooting the CEO's spouse as an instrument for the CEO's decision to seek remote work, we find similar negative effects. The performance decline increases for CEOs who live further away ...
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作者：Hilscher, Jens; Raviv, Alon; Reis, Ricardo
作者单位：University of California System; University of California Davis; Bar Ilan University; University of London; London School Economics & Political Science
摘要：Long-dated inflation swap contracts provide widely used estimates of expected inflation. We develop methods to estimate complementary tail probabilities for persistently very high or low inflation using inflation options prices. We show that three new adjustments to conventional methods are crucial: inflation, horizon, and risk. We find that: (a) U.S. deflation risk in 2011-2014 has been overstated, (b) ECB unconventional policies lowered deflation disaster probabilities, (c) inflation expecta...
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作者：Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai
作者单位：Johns Hopkins University; Centre for Economic Policy Research - UK; National Bureau of Economic Research; New York University
摘要：We measure the nature and severity of a variety of belief distortions in market reactions to hundreds of economic news events by synthesizing structural estimation with algorithmic machine learning to quantify bias. We find that investors systematically overreact to perceptions about multiple fundamental shocks, a phenomenon we show often dampens rather than amplifies market volatility via a shock composition effect. Such effects imply that the stock market can underreact to news, even when in...
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作者：Duarte, Jefferson; Jones, Christopher S.; Khorram, Mehdi; Mo, Haitao; Wang, Junbo L.
作者单位：Rice University; University of Southern California; Iowa State University; University of Kansas; Louisiana State University System; Louisiana State University
摘要：Numerous trading strategies examined in options research exhibit remarkably high mean returns and Sharpe ratios. We show some of these seemingly good deals are due to look-ahead biases. These biases stem from using information unavailable at the portfolio formation time to filter out observations suspected of being noisy or erroneous. Our results suggest that elevated Sharpe ratios may serve as potential indicators of such look-ahead biases. Furthermore, deviating from previous literature find...
