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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...
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作者：Siani, Kerry Y.
摘要：The difference between corporate bond yields at issuance and in secondary markets, the issuance premium, spikes in bad times, raising firms' capital costs. Using new bond-level data and high-frequency variation in bond supply and demand, I estimate a model of primary markets with imperfectly elastic investors, endogenous bond supply, and underwriter frictions that quantifies drivers of issuance premiums. I find underwriters' favoritism toward investors increases issuance premiums' levels and c...
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作者：O'Hara, Maureen; Rapp, Andreas C.; Zhou, Xing (Alex)
作者单位：Cornell University; Federal Reserve System - USA; Southern Methodist University
摘要：We examine the role of insurance companies in supporting resiliency in the corporate bond market. We show that during the COVID-19 liquidity crisis, insurers increased their corporate bond positions, particularly in bonds facing fire sales by mutual funds. Insurers with more stable funding were more likely to buy, and they bought more from dealers with whom they had prior trading relationships. Dealers improved their bond liquidity provision when they had trading relationships with insurers wi...
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作者：Wang, Jiang
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：Government intervention in the financial market through its own trading fundamentally changes the market's structure, function, and outcome. I develop a general equilibrium framework to study the impact of government trading on investor welfare. I show that with incompleteness and information asymmetry, the market equilibrium is in general suboptimal, and government intervention can potentially improve investor welfare even with no additional information. However, the actual welfare impact of ...
