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配股融资能否降低美国《破产法》第11章重组的谈判复杂性？AI 解读

This paper investigates the role of rights offerings in U.S. Chapter 11 reorganizations as a new market-based mechanism for mitigating bargaining frictions. Using novel hand-collected data, I document three facts: (i) over the past two decades, rights offerings financed 35% of large bankruptcies, (ii) they are predominantly proposed and underwritten by hedge funds, and (iii) their occurrence is highly correlated with stock market performance. In an instrumental variable…

大衰退中诞生的企业：创立时宏观环境如何塑造初创企业AI 解读

We propose a novel identification strategy to estimate the long-term imprinting effects of being born in the Great Recession on innovative startups. After purging ubiquitous selection biases and sorting effects, we find that recession startups experience substantially better long-term outcomes in terms of survival and growth in employment and sales, despite being born when funding is scarce and demand is declining. In contrast to prior work, we find that the recession does…

ChatGPT 能否预测股价走势？收益可预测性与大语言模型AI 解读

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…

赌掉稳定：体育博彩对脆弱家庭的影响AI 解读

We estimate the causal effect of online sports betting on households’ investment, spending, and debt management decisions using household transaction data and a staggered difference-in-differences framework. Following legalization, sports betting spreads quickly, with both the number of participants and frequency of bets increasing over time. This increase does not displace other gambling or consumption but significantly reduces savings, as risky bets crowd out positive…

债券与股票共同定价的因子动物园AI 解读

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…

金融素养与金融犯罪：回归不连续设计AI 解读

This study investigates how financial literacy shapes the propensity of individuals to commit financial crime. Using state-level administrative data on criminal charges linked to comprehensive public records , we exploit a policy-based discontinuity in grade level assignment based on individual birth dates that exogenously requires certain high school cohorts to attend a financial literacy course. Our estimates suggest that exposure to the course reduces the propensity to…

玻璃盒机器学习与公司债券收益AI 解读

Machine learning methods in asset pricing are often criticized for their black box nature. We study this issue by predicting corporate bond returns using interpretable machine learning on a high-dimensional bond characteristics data set. We achieve state-of-the-art performance while maintaining an interpretable model structure, overcoming the accuracy–interpretability trade-off. The estimation uncovers nonlinear relationships and economically meaningful interactions in bond…

以史为鉴：事件前后收益横截面的统计推断AI 解读

Confounding events can cause false positives when testing the relationship between short-term returns around a quasi-experimental event and firm characteristics. We show that this risk is severe in practice — return-characteristic relationships are often statistically significant at the 1% level on over 30% of all trading days. Benchmarking a relationship against the distribution of the same relationship on pre-event days is effective at addressing the problem. We introduce…

融资约束与种族住房差距AI 解读

We show that financial constraints lead to spatial misallocation and contribute to racial disparities in housing and wealth accumulation. Using bunching and difference-in-differences designs, we document that down payment constraints disproportionately limit the ability of Black households to access housing in high-opportunity areas. We build a dynamic life-cycle model to examine the long-term wealth effects of these leverage distortions on group differences in wealth…

CRISK：衡量金融体系的气候风险暴露AI 解读

We develop a market-based methodology to assess banks’ resilience to climate-related risks and study the climate-related risk exposure of large global banks. We introduce a new measure, CRISK, which is the expected capital shortfall of a bank in a climate stress scenario. To estimate CRISK, we construct climate risk factors and dynamically measure banks’ stock return sensitivity (that is, climate beta) to the climate risk factor. We validate the climate risk factor…

价格对分析师现金流预期的影响：主观信念数据与理性贴现率变动的协调AI 解读

I show that prices impact analyst cash flow expectations and argue this impact can partially reconcile subjective beliefs data with asset pricing models in which investors have rational expectations and discount rate variation drives prices. Previous work argues that correlations of biased analyst cash flow expectations with prices and future returns contradict rational models and imply biased investor expectations distort prices. However, using two instrumental variables…

存在期限结构时的稳健双重差分分析AI 解读

For variables with a term structure, the standard difference-in-differences (DiD) model is predisposed toward misspecification, even under random assignment, because of heterogeneity over the maturity spectrum and imperfect matching between treated and control units. Estimated treatment effects that are false, biased, or hard to interpret become a concern. Neither unit fixed effects nor standard term-structure controls resolve the problem. Solutions that overcome imperfect…

污染资产再配置：环境……的影响（原题截断）AI 解读

This paper investigates how firms’ pollution incentives are influenced by their ability to divest polluted assets. My empirical setting is a major reform that exempts purchasers from liability for past contamination. Using a difference-in-differences framework, I find that the reform reduces toxic emissions, lowers bankruptcy risk, and increases firm value. Cross-sectional tests show that the decline in emissions is driven by firms with weaker financial health and fewer…

信任作为进入壁垒：金融科技采用的证据AI 解读

This paper studies the role of trust in incumbent lenders (banks) as an entry barrier to emerging FinTech lenders in credit markets. The empirical setting exploits the outbreak of the Wells Fargo scandal as a negative shock to borrowers’ trust in banks. Using a difference-in-differences framework, I find that increased exposure to the Wells Fargo scandal leads to an increase in the probability of borrowers using FinTech as mortgage originators. Utilizing political…

信贷供给与房价：来自抵押贷款市场分割的证据AI 解读

This paper develops a difference-in-differences estimator that uses annual changes in the conforming loan limit and the 80% loan-to-value (LTV) threshold to isolate the impact of easier access to credit on house prices. Houses that become eligible for financing with an 80% LTV conforming loan increase in value by about $1.17 per square foot, controlling for a rich set of characteristics. Our estimates imply a local elasticity of house prices to interest rates below 6, which…

投资型资产定价模型的估计与检验AI 解读

Investment-based asset pricing models typically predict a close link between a firm’s stock return and its characteristics at any point in time. Yet, previous studies have primarily focused on the weaker prediction that this link holds on average, finding substantial empirical support. We show how to incorporate the time-series predictions in the estimation and testing of investment-based models using the generalized method of moments. We find that standard specifications of…

个人税收是否影响投资决策与股票收益？AI 解读

This paper studies the causal effects of personal investment taxes on stock returns and the financial decisions of companies. I exploit a change in legislation in 2013 which allowed stocks listed on the Alternative Investment Market, a sub-market of the London Stock Exchange, to be held in capital gains and dividend tax-exempt investment accounts for the first time. Using a difference-in-differences approach, I find that excess stock returns decreased by their…

动态期限结构模型中的波动率建模AI 解读

We propose no-arbitrage term structure models with volatility factors that follow GARCH processes. The models’ tractability is similar to canonical affine term structure models, but they fit yield volatility much better, especially for long-maturity yields. This improvement does not come at the expense of a deterioration in yield fit. Because of the improved volatility fit, the model performs substantially better in pricing Treasury futures options. We conclude that the…

利用开盘、最高、最低与收盘价格高效估计买卖价差AI 解读

Popular bid–ask spread estimators are downward biased when trading is infrequent. Moreover, they consider only a subset of open, high, low, and close prices and neglect potentially useful information to improve the spread estimate. By accounting for discretely observed prices, this paper derives asymptotically unbiased estimators of the effective bid–ask spread. Moreover, we combine them optimally to minimize the estimation variance and obtain an efficient estimator. Through…

非常规货币政策的准备金供给渠道AI 解读

We find that central bank reserves injected by QE crowd out bank lending. We estimate a structural model with cross-sectional instrumental variables for deposit and loan demand. Our results are determined by the elasticity of loan demand and the impact of reserve holdings on the cost of supplying loans. The reserves injected by QE raise loan rates by 7.4 basis points, and each dollar of reserves reduces bank lending by 7.7 cents. Our results imply that a large injection of…

监管套利还是随机误差？种族预测算法对公平信贷分析的影响AI 解读

When race is not directly observed, regulators and analysts commonly predict it using algorithms based on last name and address. In small business lending—where regulators assess fair lending law compliance using the Bayesian Improved Surname Geocoding (BISG) algorithm—we document large prediction errors among Black Americans. The errors bias measured racial disparities in loan approval rates downward by 43%, with greater bias for traditional vs. fintech lenders. Regulation…

多因子资产定价模型的样本内与样本外夏普比率AI 解读

Using available return data, many multi-factor asset pricing models present impressive in-sample Sharpe ratios, significantly surpassing that of the market portfolio. Such a performance, however, contradicts the conventional wisdom in finance. Investors cannot realistically attain the in-sample Sharpe ratios. They obtain the out-of-sample Sharpe ratios, which are significantly lower. Estimation risk is one reason for this performance deterioration. We theoretically study the…

女性领导者对政府采购分配的影响AI 解读

This paper provides novel evidence that female politicians increase the proportion of US government procurement contracts allocated to women-owned firms. For identification, we use a regression discontinuity design on a sample of mixed-gender elections in the US House of Representatives. The effect grows over a female representative's tenure and concentrates in female representatives who are on powerful congressional committees. Changes in the pool of and behavior by…

金融市场对细节的有限关注：约化式与结构估计证据AI 解读

We show that firm valuations fell after a key expense became more visible in financial statements. FAS 123-R required firms to deduct option compensation costs from earnings, instead of disclosing them in footnotes. Firms that granted high option pay experienced earnings reductions, while fundamentals remained unchanged. These firms were more likely to miss earnings forecasts, and they experienced recommendation downgrades and valuation declines. Our findings suggest that…