-
作者：Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas
作者单位：Athens University of Economics & Business; University of Geneva; University of Geneva
摘要：We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and linear programming. In an application, we use the prospect spanning framework to evaluate whether wellknown anomalies are spanned by standard factors. We find that of the strategies considered, a few o...
-
作者：Mccoy, John; Prelec, Drazen
作者单位：University of Pennsylvania; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：In many domains, it is necessary to combine opinions or forecasts from multiple individuals. However, the average or modal judgment is often incorrect, shared information across respondents can result in correlated errors, and weighting judgments by confidence does not guarantee accuracy. We develop a Bayesian hierarchical model of crowd wisdom that incorporates predictions about others to address these aggregation challenges. The proposed model can be applied to single questions, and it can a...
-
作者：Huang, Shiyang; Liu, Xin; Lou, Dong; Polk, Christopher
作者单位：University of Hong Kong; Renmin University of China; University of London; London School Economics & Political Science; Center for Economic & Policy Research (CEPR)
摘要：Low-beta stocks deliver high average returns and low risk relative to high-beta stocks, an opportunity for professional investors to arbitrage away. We argue that beta arbitrage activity generates booms and busts in the strategy's abnormal trading profits. In times of low arbitrage activity, the beta-arbitrage strategy exhibits delayed correction, taking up to three years for abnormal returns to be realized. In contrast, when arbitrage activity is high, prices overshoot and then revert in the ...
-
作者：Coffman, Katherine B.; Collis, Manuela R.; Kulkarni, Leena
作者单位：Harvard University; University of Toronto
摘要：Labor market outcomes depend, in part, upon an individual's willingness to put him-or herself forward for different opportunities. We use a series of experiments to explore gender differences in willingness to apply for higher-return, more challenging work. We find that, in male-typed domains, qualified women are significantly less likely to apply than similarly well-qualified men. We provide evidence both in a controlled setting and in the field that reducing ambiguity surrounding required qu...
-
作者：Danis, Andrea; Gamba, Andrea
作者单位：University System of Georgia; Georgia Institute of Technology; University of Warwick
摘要：There have been several cases in recent years where credit default swap (CDS) buyers and sellers intervene in the restructuring of a distressed firm. We show theoretically that this can increase firm value. Intervention by CDS buyers solves the commitment problem between equity and debt holders but increases the probability of inefficient liquidation. Intervention by CDS sellers reduces the issue of excessive liquidation while keeping the benefits of CDS buyer intervention. Having both types o...
-
作者：Yoganarasimhan, Hema; Iakovetskaia, Irina
作者单位：University of Washington; University of Washington Seattle; Stanford University
摘要：This study explores the polarization of news content shared on Facebook compared with email using data from the New York Times' ' Most Emailed and Most Shared lists over 2.5 years. Employing latent Dirichlet allocation and large language models (LLMs), we find that highly polarized articles are more likely to be shared on Facebook (versus email), even after accounting for factors like topics, emotion, and article age. Additionally, distinct topic preferences emerge, with social issues dominati...
-
作者：Sun, Peng; Piaw, Teo Chung
作者单位：Duke University; National University of Singapore
-
作者：Liao, Zhipeng; Liu, Yan; Xie, Zhenzhen
作者单位：University of California System; University of California Los Angeles; Tsinghua University
摘要：Errors -in -variables (EIV) biases plague asset pricing tests. We offer a new perspective on addressing the EIV issue: instead of viewing EIV biases as estimation errors that potentially contaminate next stage risk premium estimates, we consider them to be return innovations that follow a particular correlation structure. We factor this structure into our test design, yielding a new regression model that generates the most accurate risk premium estimates. We demonstrate the theoretical appeal ...
-
作者：Benndorf, Volker; Mueller, Stephan; Rau, Holger A.
作者单位：Goethe University Frankfurt
摘要：This paper studies the impact of betrayal aversion on employees' effort provision in exchange for a bonus payment that is at the employers' expense and discretion. In our first study, using a laboratory experiment, we find that the performance of an employee with average betrayal aversion is lower by more than 15% relative to betrayalneutral employees. Inspired by the findings, we theoretically identify a tradeoff for the effort provision of betrayal-averse employees. That is, higher effort no...
-
作者：Bradley, Daniel; Finer, David Andrew; Gustafson, Matthew; Williams, Jared
作者单位：State University System of Florida; University of South Florida; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We introduce taxi ridership between the Federal Reserve (Fed) Bank of New York and large financial institutions headquartered in New York City as a novel proxy for Fed-bank face-to-face interactions. We document a negative relation between past Fed-bank interactions and future stock market returns, particularly on days around the Fed's public announcements. We also find significantly elevated Fed-bank interactions immediately following the lifting of the Federal Open Market Committee blackout....
