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作者：Stein, Jeremy C.; Wallen, Jonathan
作者单位：Harvard University; National Bureau of Economic Research; Harvard University
摘要：We study supply-and-demand effects in the U.S. Treasury bill market by comparing the returns on T-bills to the policy rate on the Federal Reserve's reverse repurchase (RRP) facility. We develop and test a simple model where the RRP-bill spread is policed both by heterogeneously elastic money funds and by corporate treasurers who derive collateral benefits from holding T-bills. In response to shifts in T-bill supply, money funds act as front-line arbitrageurs. However, when T-bills become extre...
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作者：Borgschulte, Mark; Guenzel, Marius; Liu, Canyao; Malmendier, Ulrike
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; IZA Institute Labor Economics; University of Pennsylvania; University of California System; University of California Berkeley; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
摘要：We assess the long-term effects of managerial stress on aging and mortality. Using a difference-in-differences design, we apply neural network-based machine-learning techniques to CEOs' facial images and show that exposure to industry distress shocks during the Great Recession produces visible signs of aging. We estimate a one-year increase in apparent age. Moreover, using data on CEOs since the mid-1970s, we estimate a 1.1-year decrease in life expectancy after an industry distress shock, but...
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作者：Barkai, Simcha; Panageas, Stavros
作者单位：Boston College; University of California System; University of California Los Angeles
摘要：Young firms' contribution to aggregate employment has been underwhelming. We show that a similar trend is not apparent, however, in their contribution to aggregate sales or stock market capitalization, implying that these firms have exhibited a high average-to-marginal revenue product of labor. We study the implications of a gradual shift in the average-to-marginal revenue product of labor within a model of dynamic firm heterogeneity. We show that this shift provides (i) a unified explanation ...
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作者：Falato, Antonio; Scharfstein, David
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Harvard University; National Bureau of Economic Research
摘要：Using confidential supervisory risk ratings, we document that banks increase risk after going public compared to a control group of banks that filed to go public but withdrew their filings for plausibly exogenous reasons. The increase in risk improves short-term performance at the expense of long-term performance. We argue that the increase in risk stems from pressure to maximize short-term stock prices and earnings once the bank is publicly traded. After going public, banks owned by investors...
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作者：Muravyev, Dmitriy; Pearson, Neil D.; Pollet, Joshua M.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：Short-sale costs eliminate the abnormal returns on asset pricing anomaly portfolios. While many anomalies persist out-of-sample before accounting for short-sale costs, they cannot be exploited with long-short strategies due to stock borrow fees. Using a comprehensive sample of 162 anomalies, the average long-short portfolio return is a significant 0.14% per month before short-sale costs, and the returns are due to the short leg. However, the average is -0.01% once returns are adjusted for borr...
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作者：Hirshleifer, David; Mai, Dat; Pukthuanthong, Kuntara
作者单位：University of Southern California; University of Missouri System; University of Missouri Columbia
摘要：A war-related factor model derived from textual analysis of media news reports explains the cross section of expected stock returns. Using a semisupervised topic model to extract discourse topics from 7,000,000 New York Times stories spanning 160 years, the war factor predicts the cross section of returns across test assets derived from both traditional and machine learning construction techniques, and spanning 138 anomalies. Our findings are consistent with assets that are good hedges for war...
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作者：Cakici, Nusret; Fieberg, Christian; Neumaier, Tobias; Poddig, Thorsten; Zaremba, Adam
作者单位：Fordham University; Bremen University of Applied Sciences; University of Luxembourg; Concordia University - Canada; University of Bremen; Poznan University of Economics & Business; Monash University
摘要：Farmer, Schmidt, and Timmermann (FST) document time-variation in market return predictability, identifying pockets of significant predictability through kernel regressions. However, our analysis reveals a critical discrepancy between the method outlined by FST and the code actually implemented. Instead of using a one-sided kernel, which guarantees out-of-sample forecasts, they perform in-sample estimation with a two-sided kernel. As a result, future information leaks into the forecasting model...
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作者：Kotidis, Antonis; Schreft, Stacey L.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University System of Maryland; University of Maryland College Park
摘要：This article quantifies the effects of a multiday cyberattack that forced offline a technology service provider (TSP) to the banking sector. The attack impaired customers' ability to send payments through the TSP, but the business continuity plans of banks and the TSP reduced the effect by more than half. Large banks performed better. Through contagion, banks not directly exposed to the attack experienced a liquidity shortfall, causing them to borrow funds or tap reserves. The ability to send ...
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作者：Faccio, Mara; McConnell, John J.
作者单位：Purdue University System; Purdue University; National Bureau of Economic Research; Purdue University System; Purdue University
摘要：We use newly assembled data overall encompassing up to 75 countries and starting circa 1910, to study impediments to the Schumpeterian process of creative destruction as it proceeds by competitively destroying old businesses. Political connections appear to represent an obstacle to the destructive part of the Schumpeterian process in the replacement of large firms. When accompanied by regulations that restrict entry, political connections can play a role in allowing large firms to remain large...
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作者：Piazzesi, Monika
作者单位：Stanford University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
摘要：This paper documents new stylized facts about returns and cashflow growth rates on stocks and housing over decade-long holding periods. While cashflow growth rates on the two assets comove positively, their returns comove negatively until the Global Financial Crisis and positively thereafter. These facts present a puzzle for representative-agent models that imply positive return comovement for assets with similar cashflows. I consider a heterogeneous-agent model with segmented stock and housin...
