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作者：Feng, Felix; Nohel, Tom; Tian, Xuan; Wang, Wenyu; Wu, Yufeng
作者单位：University System of Georgia; University of Georgia; Loyola University Chicago; Peking University; Indiana University System; IU Kelley School of Business; Indiana University Bloomington; University System of Ohio; Ohio State University
摘要：Special Purpose Acquisition Companies (SPACs) took Wall Street by storm in 2020/2021 and continue to play a significant role in today's capital markets. Estimating a structural model using a hand-collected comprehensive dataset, we find that SPACs add value by identifying and bringing high-potential firms to public markets, though contractual frictions skew the distribution of spoils away from SPAC shareholders and towards sponsors and target owners. Nonetheless, shareholder excess returns are...
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作者：Sammon, Marco; Shim, John J.
作者单位：Harvard University; University of Notre Dame
摘要：Value-weighted indexes must rebalance in response to stock market composition changes, e.g., issuance, buybacks, and IPOs. In doing so, existing index funds implicitly engage in market timing. Index funds' long-short rebalancing portfolios have an annualized return of 4.61% and load negatively on value and profitability factors. We estimate these trades impose a 46-69 bps annual index-level performance drag. We explore alternative value-weighted indexes that rebalance less and delay responding...
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作者：Barahona, Ricardo; Cassella, Stefano; Jansen, Kristy A. E.; Pezone, Vincenzo
作者单位：Banco de Espana; Tilburg University; University of Southern California; Centre for Economic Policy Research - UK; European Central Bank; De Nederlandsche Bank NV; Luiss Guido Carli University
摘要：We investigate whether teams exhibit increased or reduced overreaction in expectation formation relative to individuals. Using preregistered randomized experiments that directly elicit expectations about future returns, we find that teams display lower belief overreaction to recent investment performance. A quantitative decomposition shows that this team effect stems primarily from a self-selection'' mechanism, whereby the most biased team member chooses to influence the team decision less. An...
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作者：Chen, Yuchen; Li, Xuelin; Thakor, Richard T.; Ward, Colin
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Columbia University; University of Minnesota System; University of Minnesota Twin Cities; University of Alberta
摘要：We assess how labor mobility affects intangible investment in a dynamic agency model featuring both knowledge appropriation and moral hazard. We argue that restricting worker mobility, while reducing employees' appropriation of firm intangible capital, can hurt their incentives to exert effort. Our calibration to U.S. data targets responses of employee turnover and firms' intangible investment to variations in workers' outside option values, identified through exogenous shocks to non-compete e...
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作者：Axelson, Ulf; Makarov, Igor
作者单位：University of London; London School Economics & Political Science
摘要：Entrepreneurs typically seek financing in decentralized markets, where they approach investors sequentially. We develop a model of sequential capital markets with privately informed investors. The sequential market creates a dynamic adverse selection externality that leads to overinvestment and excessive rents to intermediaries, even as the number of competing investors becomes arbitrary large. The resulting rents lead to excessive entry of investors and insufficient entry of entrepreneurs. Mo...
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作者：Liu, Haoyang; Palmer, Christopher
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Dallas; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We document implicit extrapolation in investment decision-making that exceeds the extrapolation inferable from stated expectations. Locally experienced returns predict individual real-estate investment decisions even conditional on an investor's forecasted home-price growth and risk aversion. Moreover, estimates of this experience effect on investment are larger than implied by the combined effect of past returns on stated expectations and stated expectations on investment. We demonstrate that...
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作者：Fisman, Raymond; Ghosh, Pulak; Sarkar, Arkodipta; Zhang, Jian
作者单位：Boston University; Indian Institute of Management (IIM System); Indian Institute of Management Bangalore; National University of Singapore; University of Hong Kong
摘要：We study whether access to local pollution information causes investors to make greener portfolio allocations, exploiting the rollout of air quality monitoring stations in India. Using a triple-differences framework on the trading records of 19 million investors, we show that retail investors' holdings in brown stocks become more negatively related to local pollution after a nearby station appears. This effect is more pronounced on alert dates when air quality is reported to be harmful. The ef...
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作者：Lopez-Lira, Alejandro; Tang, Yuehua
作者单位：State University System of Florida; University of Florida
摘要：We document the capability of large language models (LLMs) like ChatGPT to predict stock market reactions from news headlines without direct financial training. Using post-knowledge-cutoff headlines, GPT-4 captures initial market responses, achieving approximately 90% portfolio-day hit rates for the non-tradable initial reaction. GPT-4 scores also significantly predict the subsequent drift, especially for small stocks and negative news. Forecasting ability generally increases with model size, ...
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作者：Fardeau, Vincent
作者单位：HSE University (National Research University Higher School of Economics)
摘要：Using a new equilibrium representation, I characterize dynamic, nonstationary risk sharing in a complete-information setting among strategic traders submitting demand schedules and heterogeneous in risk aversion. In equilibrium, more risk-averse (smaller) traders diversify more aggressively due to endogenously lower price impact. This creates term structure effects, where smaller traders dynamically hedge the persistent order flow of larger, slower traders and become the marginal pricers at sh...
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作者：Dickerson, Alexander; Julliard, Christian; Mueller, Philippe
作者单位：University of New South Wales Sydney; University of London; London School Economics & Political Science; University of Warwick; Centre for Economic Policy Research - UK
摘要：We analyze 18 quadrillion models for the joint pricing of corporate bond and stock returns. Strikingly, we find that equity and nontradable factors alone suffice to explain corporate bond risk premia once their Treasury term structure risk is accounted for, rendering the extensive bond factor literature largely redundant for this purpose. While only a handful of factors, behavioral and nontradable, are likely robust sources of priced risk, the true latent stochastic discount factor is dense in...
