Julian Atanassov and Vikram Nanda ♦ We hypothesize that increases in federal spending financed by government borrowing crowd out innovative firms from financial markets. We find that unexpected defense spending shocks are followed by lower R&D investment and subsequent declines…
Jozef Barunik and Matej Nevrla ♦ We investigate whether the tails of firm-level idiosyncratic return distributions are driven by common shocks. We use quantile factor analysis to extract such common idiosyncratic quantile factors with asymmetric pricing effects, and we find…
Yu-Jane Liu, Juanjuan Meng, Dalin Sheng, Guangxin Yang, and Yu Zhang ♦ We investigate “spiritual insurance” — a mental strategy for coping with risk, where individuals engage in good deeds, including donations, in exchange for perceived blessings and protection. Using…
Jung Hoon Lee, Saurin Patel, and Shyam Sunder Venkatesan ♦ Mutual fund families increasingly outsource the portfolio management task to external advisors. The high-powered incentive contract offered to external advisors, presumably an optimal outcome, implicitly creates convexity in their payoff.…
Roel Beetsma, Svend Erik Hougaard Jensen, David Pinkus, and Dario Pozzoli ♦ This paper examines how domestic pension fund equity investment relates to productivity in unlisted firms, using detailed ownership data linked to Danish administrative registers. Pension fund entry is…
Charles W. Calomiris, Harry Mamaysky, and Ruoke Yang ♦ We derive a measure of firm-level regulatory exposure from corporate earnings calls text and study its effects on growth, leverage, profitability, and equity returns. Higher regulatory exposure results in slower sales…
