We test the hypothesis that, when thinking about allocating money to a stock, investors mentally represent the stock by the distribution of its past returns and then evaluate this distribution in the ...way described by prospect theory. In a simple model of asset prices in which some investors think in this way, a stock whose past return distribution has a high (low) prospect theory value earns a low (high) subsequent return, on average. We find empirical support for this prediction in the cross-section of stock returns in the U.S. market, and also in a majority of forty-six other national stock markets.
We exploit staggered changes in state-level corporate tax rates to show that an increase in taxes reduces future innovation. A variety of tests, including those based on policy discontinuity at ...contiguous counties straddling borders of politically similar states, show that local economic conditions do not drive our results. The effect we document is consistent across the innovation spectrum: taxes affect not only patenting and R&D investment but also new product introductions, which we measure using textual analysis. Our empirical results are consistent with models that highlight the role of higher corporate taxes in reducing innovator incentives and discouraging risk-taking.
We develop an approach to identify whether recent technological advancements—such as the rise of commercial satellite-based macro estimates—can provide an alternative to government data. We measure ...the extent to which satellite estimates affect the value of a government macro announcement using its asset price impact. Our identification relies on cloud cover, which prevents satellites from observing economic activity at a few key hubs. Applying our approach, we find that some satellite estimates are now so effective that markets are no longer surprised by government announcements. Our results point to a future in which the resolution of macro uncertainty is smoother and governments have less control over macro information.
Using the staggered introduction of fast-track debt recovery courts in India, we estimate the causal effect of a reduction in debt contract enforcement costs on financing and asset maturity. A ...reduction in enforcement costs is associated with an increase in long-term debt and a decrease in short-term debt and trade credit. The increase in debt maturity is confined to firms that borrow from multiple lenders, have abnormally short debt maturity structures before the reform, and to smaller firms. Firms also reduce the number of banking relationships, and increase the proportion of long-term assets after the reform.
Learning about Mutual Fund Managers CHOI, DARWIN; KAHRAMAN, BIGE; MUKHERJEE, ABHIROOP
The Journal of finance (New York),
December 2016, Letnik:
71, Številka:
6
Journal Article
Recenzirano
We study capital allocations to managers with two mutual funds, and show that investors learn about managers from their performance records. Flows into a fund are predicted by the manager's ...performance in his other fund, especially when he outperforms and when signals from the other fund are more useful. In equilibrium, capital should be allocated such that there is no cross-fund predictability. However, we find positive predictability, particularly among underperforming funds. Our results are consistent with incomplete learning: while investors move capital in the right direction, they do not withdraw enough capital when the manager underperforms in his other fund.
Roads and Loans Agarwal, Sumit; Mukherjee, Abhiroop; Naaraayanan, S Lakshmi
Review of financial studies/The Review of financial studies,
03/2023, Letnik:
36, Številka:
4
Journal Article
Recenzirano
Odprti dostop
Abstract
Does financing respond to changes in productive opportunities, even for the world’s poor? We answer this question by examining the response of private bank financing to an infrastructure ...program that brought road access to unconnected Indian villages. This program prioritized roads for villages above specific population thresholds, allowing us to exploit the resultant discontinuities for identification. Using detailed data from a large bank, we find that 75$\%$ more villagers get loans, and the average amount lent to them is 30$\%$–35$\%$ higher, in villages just above these thresholds. District-level analyses further suggest that roads and loans are complements in the growth process.
Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.
Inside brokers Li, Frank Weikai; Mukherjee, Abhiroop; Sen, Rik
Journal of financial economics,
09/2021, Letnik:
141, Številka:
3
Journal Article
Recenzirano
Odprti dostop
We identify the broker each corporate insider trades through, and find that analysts and mutual fund managers affiliated with such “inside brokers” have a substantial information advantage on the ...insider’s firm. Affiliated analysts issue more accurate earnings forecasts, and affiliated mutual funds trade the insider’s stock more profitably than their peers, following insider trades through their brokerage. Notably, this advantage persists well after these insider trades are publicly disclosed. Our results challenge the prevalent perception that information asymmetry arising from insider trading is acute only before trade disclosure, and suggest that brokers facilitating these trades are in a position to exploit this asymmetry.
Despite an urgent need, authorities in many countries are struggling to track COVID vaccine effectiveness (VE) because standard VE measures cannot be calculated from their public health data. Here, ...we use regression discontinuity design (RDD) to estimate VE, motivated by such limitations in public health records from West Bengal, India. These data cover 8,755,414 COVID vaccinations (90% ChAdOx1 NCov-19, almost all first doses, until May 2021), 8,179,635 tests, and 141,800 hospitalizations. The standard RDD exploits age-based vaccine eligibility; we also introduce a new RDD-based VE measure that improves on the standard one when better data are available. Applying these measures, we find a VE of 55.2% (95% confidence interval: 44.5 to 65.0%) against symptomatic disease, 80.1% (63.3 to 88.8%) against hospitalizations, and 85.5% (24.8 to 99.2%) against intensive care/critical care/high dependency admissions or deaths. Other data-deficient countries with age-based eligibility for any vaccine-and not just COVID vaccines-can also use these easy-to-implement measures to inform their own immunization policies.
Autoimmunity has been reported in patients with severe coronavirus disease 2019 (COVID-19). We investigated whether anti-nuclear/extractable-nuclear antibodies (ANAs/ENAs) were present up to a year ...after infection, and if they were associated with the development of clinically relevant post-acute sequalae of COVID-19 (PASC) symptoms.
A rapid-assessment line immunoassay was used to measure circulating levels of ANAs/ENAs in 106 convalescent COVID-19 patients with varying acute phase severities at 3, 6 and 12 months post-recovery. Patient-reported fatigue, cough and dyspnoea were recorded at each time point. Multivariable logistic regression model and receiver operating curves were used to test the association of autoantibodies with patient-reported outcomes and pro-inflammatory cytokines.
Compared to age- and sex-matched healthy controls (n=22) and those who had other respiratory infections (n=34), patients with COVID-19 had higher detectable ANAs at 3 months post-recovery (p<0.001). The mean number of ANA autoreactivities per individual decreased between 3 and 12 months (from 3.99 to 1.55) with persistent positive titres associated with fatigue, dyspnoea and cough severity. Antibodies to U1-snRNP and anti-SS-B/La were both positively associated with persistent symptoms of fatigue (p<0.028, area under the curve (AUC) 0.86) and dyspnoea (p<0.003, AUC=0.81). Pro-inflammatory cytokines such as tumour necrosis factor (TNF)-α and C-reactive protein predicted the elevated ANAs at 12 months. TNF-α, D-dimer and interleukin-1β had the strongest association with symptoms at 12 months. Regression analysis showed that TNF-α predicted fatigue (β=4.65, p=0.004) and general symptomaticity (β=2.40, p=0.03) at 12 months.
Persistently positive ANAs at 12 months post-COVID are associated with persisting symptoms and inflammation (TNF-α) in a subset of COVID-19 survivors. This finding indicates the need for further investigation into the role of autoimmunity in PASC.
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