學術論文

我們建立一個數據銷售模型來研究另类數據對金融市場的影響。投資者需要特别的技术以準確分析購買的原始數據，但建立這項技術成本高同時存在相當大的不確定性。數據供應商透過控制數據樣本數量去影響投資者從購買的數據中提取信息的準確性。我們的模型分析發現數據分析技術的成本對資本成本以及資產收益波動率的影響均呈U型關係，但是對市場信息量則呈駝峰型關係。同時，數據分析的技術平均水平和不確定性亦出現類似影響。我們的分析同時發現使用另類數據的基金和數據行業存在著相互促進的關係。

This paper studies how globalization affects the corporate tax policies of U.S. manufacturing firms. Using U.S.-granting China Permanent Normal Trade Relations as a quasi-natural experiment, we find a significant increase in tax reduction activities for firms facing higher exposure to Chinese imports. The effect is more pronounced for firms with higher managerial slack. We also find that the effect is stronger for firms in less diversified products market and faster changing industries. We also show that U.S. firms facing higher Chinese import competition are more likely to engage in other tax-motivated activities: acquisition of subsidiaries in low-tax regions and suspected transfer pricing. Furthermore, we explore the 2017 tax cut and the recent U.S.-China trade dispute and find that firms engage less in tax reduction activities after the 2017 tax cut and after the tariff increase for Chinese imports.

對於使命取向 (calling orientation) 的人而言，工作意味著個人成就以及為更美好的世界作出貢獻。工作取向 (job orientation) 的人則將工作視為達到財務目標的一種方法。對於使命取向的人是否能比工作取向的人獲得更有利的客觀職業成就，例如更高的收入和晉升機會，學術界有不同的意見。我們認為意見不同，部份是由於過往的研究只專注於這些工作價值取向如何影響個人付出努力和其後的工作表現。借鑒信號理論、認知偏差和互惠理論，我們認為比起工作取向的員工，使命取向的員工能通過外部途徑獲得更好的客觀職業成就：因為管理者誤解使命取向代表績效更高和組織使命感更强。研究一（威斯康星州的縱向研究分析）能夠印證此主要效應，而透過研究二（網上實驗），我們亦得出相同的結論，並找到證據支持我們預測的解釋機制。此外，管理者觀察使命取向的員工時，會促使他們對該員工其他領域的表現產生良好印象，產生光環效應。我們的研究揭示了個人對工作意義的主觀看法如何影響他們的客觀職業成就，從而帶出工作場所信號和管理觀念屬兩個重要的機制。

We re-examine the puzzling pattern of lead-lag returns among economically-linked firms. Our results show that investors consistently underreact to information from lead firms that arrives continuously, while information with the same cumulative returns arriving in discrete amounts is quickly absorbed into price. This finding holds across many different types of economic linkages, including shared-analyst-coverage. We conclude that the ǣfrog in the panǥ (FIP) momentum effect is pervasive in co-momentum settings, suggesting that information discreteness (ID) serves as a cognitive trigger that reduces investor inattention and improves inter-firm news transmission.

神經科學和社會心理學的大量文獻指出，人類天生對別人如何看待自己很在意。在本文中，我們提出投資者的印象管理策略最終亦可以主導他們以口碑相傳方式所傳遞的內容，並可能不經意間造成噪聲的傳播。我們分析來自美國最大的投資相關網站之一的伺服器日誌檔數據，發現結果與我們的見解一致，即投資者會更積極地分享適用於印象管理的文章，即使這些文章不太準確地預測回報。其他分析亦指出，高層次的此類分享會導致定價過高。

We examine takeover auctions when an informed bidder has better information about the target value than a rival and target shareholders. The informed bidder’s information is either hard or soft, and only hard information can be credibly disclosed. We show that withholding information creates a winner’s curse, thereby serving as a preemption device that deters the rival’s participation. In turn, an endogenous dis- closure cost arises that induces the informed bidder to optimally withhold favorable information to minimize the acquisition price—breaking down the standard unraveling result, even if his information is always hard. Perhaps surprisingly, stronger competition from the uninformed bidder can reduce the target shareholders’ payoff and increase the payoff of the informed bidder while unambiguously improving social welfare. Moreover, “hardened” information can reduce the gains to trade, decreasing welfare but increasing shareholders’ payoff. Our results provide a cautionary note to promoting more competition and more disclosure.

We examine how investor demand for leverage shapes asset management fees. We show that in the sample of U.S. equity mutual funds: (1) fees increase in fund market beta precisely for beta larger than one; (2) this relation becomes stronger and high-beta funds experience larger inflows when leverage constraints tighten; and (3) low net alphas are especially common among high-beta funds. These results are consistent with a model in which asset managers compete for leverage-constrained investors with heterogeneous risk aversion. The asymmetric relation between betas and fees also extends to the HML and SMB factors.

We investigate the real effects of foreign exchange (FX) volatility on technological innovation. Using a 32-market, three-decade sample, we show that heightened FX volatility associates with significantly lower firm-level R&D expenditures, patents granted, and forward citations. The negative FX volatility-innovation relation can be attributed to precautionary savings needs and trade slowdown. The relationship is stronger for firms with financial constraints, with the use of foreign debt, and in more open economies; it is weaker for firms with derivatives hedging, with higher sales, and in countries with better financial development.

積極進行研發的企業，會在國際股票市場上獲得更高的股票收益，這凸顯了無形投資在國際資產定價中的作用。此研發效應在增長期權風險更有可能作定價的國家較強，但與市場情緒和套利限制所代表的國家特徵無關。此外，我們發現研發強度與未來經營表現較佳、回報波動性和違約可能性息息相關。我們的證據顯示，研發強度與股票收益之間的橫向關係更可能歸因於風險溢價，而非錯誤定價。