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#1Valentin Haddad (UCLA: University of California, Los Angeles)H-Index: 3
#2David Sraer (Princeton University)H-Index: 14
Banks’ exposure to fluctuations in interest rates strongly forecasts excess Treasury bond returns. This result is consistent with a bank-centric view of the market for interest rate risk. Banks’ activities — accepting deposits and making loans — naturally exposes their balance sheets to changes in interest rates. In equilibrium, the bond risk premium compensates banks for bearing these fluctuations: for instance, when consumers demand for fixed rate mortgages increases, banks have to sca...
1 CitationsSource
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#1R HarveyCampbell (Duke University)H-Index: 72
#2Yan Liu (Purdue University)H-Index: 5
The multiple testing problem plagues many important issues in finance such as fund and factor selection. Many look good purely by luck. There are a number of statistical techniques to control for multiplicity that reduce Type I errors - but it is unknown by how much. We propose a new way to calibrate both Type I and Type II errors. We start with the researcher's prior belief on the proportion of managers that are skilled. Using a double bootstrap method, we then establish a t-statistic hurdle th...
5 CitationsSource
#1Yang Song (UW: University of Washington)H-Index: 2
I demonstrate that skill and scale are mismatched among actively managed equity mutual funds. Many mutual fund investors confuse the effects of fund exposures to common systematic factors with managerial skill when allocating capital among funds. Active mutual funds with positive factor-related past returns thus accumulate assets to the point that they significantly underperform. I also show that the negative aggregate benchmark-adjusted performance of active equity mutual funds is mainly caused...
2 CitationsSource
#1Jean-Noel Barrot (HEC Paris)H-Index: 6
#2Ramana Nanda (Harvard University)H-Index: 16
We study the impact of Quickpay, a federal reform that indefinitely accelerated payments to small business contractors of the U.S. government. We find a strong direct effect of the reform on employment growth at the firm-level. Importantly, how-ever, we also document substantial crowding out of non-treated firms' employment within local labor markets. While the overall net employment effect was positive, it was close to zero in tight labor markets - where crowding out was stronger. Our results h...
1 CitationsSource
#1David A. Hirshleifer (UCI: University of California, Irvine)H-Index: 53
I discuss a new intellectual paradigm, social economics and finance: the study of the social processes that shape economic thinking and behavior. This emerging field recognizes that people observe and talk to each other. A key, under-exploited building block of social economics and finance is social transmission bias: a systematic directional shift in signals or ideas induced by social transactions. I use five "fables'' (models) to illustrate the novelty and scope of the transmission bias approa...
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#1Mikhail ChernovH-Index: 19
#2Lukas SchmidH-Index: 11
Last. Andres SchneiderH-Index: 1
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1 CitationsSource
#1Markus Pelger (Stanford University)H-Index: 6
Under a large dimensional approximate factor model for asset returns, I use high-frequency data for the S&P 500 firms to estimate the latent continuous and jump factors. I estimate four very persistent continuous systematic factors for 2007 to 2012 and three from 2003 to 2006. These four continuous factors can be approximated very well by a market, an oil, a finance and an electricity portfolio. The value, size and momentum factors play no significant role in explaining these factors. For the ti...
7 CitationsSource
#1Simcha Barkai (LBS: London Business School)H-Index: 1
This paper presents direct measures of capital costs, equal to the product of the required rate of return on capital and the value of the capital stock. The capital share, equal to the ratio of capital costs and gross value added, does not offset the decline in the labor share. Instead, a large increase in the share of pure profits offsets declines in the shares of both labor and capital. Industry data show that increases in concentration are associated with declines in the labor share.
19 CitationsSource
#1Vicente Cuñat (LSE: London School of Economics and Political Science)H-Index: 15
#2Mireia Gine (UPenn: University of Pennsylvania)H-Index: 6
Last. Maria Guadalupe (Ad: INSEAD)H-Index: 15
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We study the causal effects of anti-takeover provisions on takeovers. We decompose their effect on prices, takeover likelihood and target selection and explore the channels through which they change shareholders' value. We provide causal estimates based on shareholder proposals and deal with the endogenous selection of targets through bounding techniques. Voting to remove an anti-takeover provision increases the annual takeover probability by 0.9% and increases premiums by 2.8%. The premium effe...
6 CitationsSource
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