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117 records from EconBiz based on author Name
1. Bonds versus equities : information for investment
Chang, Huifeng; Avernas, Adrien d'; Eisfeldt, Andrea L.;2024
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
2. Interdealer Price Dispersion and Intermediary Capacity
abstractIntermediation capacity varies across dealers, and as a result, misallocation of credit risk reduces the risk-bearing capacity of the dealer sector and increases effective market-level risk aversion. When the efficient reallocation of credit risk within the dealer sector is impaired, interdealer price dispersion increases. Empirically, when interdealer price dispersion increases, bond prices decrease. Interdealer price dispersion explains a substantial portion of bond yield spread changes, the cross-section of bond returns, and the changes in the basis between bond spread and fair-value spreads. We conclude interdealer frictions reduce the risk-bearing capacity of intermediaries and are crucial for intermediary bond pricing
Eisfeldt, Andrea L.; Herskovic, Bernard; Liu, Shuo;2024
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link Link
3. AI and Finance
abstractWe provide evidence that the development and adoption of Generative AI is driving a significant technological shift for firms and for financial research. We review the literature on the impact of ChatGPT on firm value and provide directions for future research investigating the impact of this major technology shock. Finally, we review and describe innovations in research methods linked to improvements in AI tools, along with their applications. We offer a practical introduction to available tools and advice for researchers interested in using these tools
Eisfeldt, Andrea L.; Schubert, Gregor;2024
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link Link
4. Human Capitalists
abstractThe widespread and growing use of equity-based compensation has transformed high-skilled labor from a pure labor input to a class of "human capitalists." We show that high-skilled labor earns substantial income in the form of equity claims to firms' future dividends and capital gains. Equity-based compensation has dramatically increased since the 1980s, representing forty percent of total compensation to high-skilled labor in recent years. Ignoring equity income causes incorrect measurement of the returns to high-skilled labor, with substantial effects on macroeconomic trends. In our sample, including equity-based compensation in high-skilled labor income reduces the total decline in labor's wage-only income share relative to total value added since the 1980s by over 30%. The inclusion of equity-based compensation also eliminates the majority of the decline in the high-skilled labor share. Only by including equity pay does our structural estimation support complementarity between high-skilled labor and physical capital greater than that of Cobb and Douglas (1928). We also provide additional regression evidence of such complementarity
Eisfeldt, Andrea L.; Falato, Antonio; Xiaolan, Mindy Zhang;2021
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link Link
Citations: 14 (based on OpenCitations)
5. Generative AI and Firm Values
abstractWhat are the effects of recent advances in Generative AI on the value of firms? Our study offers a quantitative answer to this question for U.S. publicly traded companies based on the exposures of their workforce to Generative AI. Our novel firm-level measure of workforce exposure to Generative AI is validated by data from earnings calls, and has intuitive relationships with firm and industry-level characteristics. Using Artificial Minus Human portfolios that are long firms with higher exposures and short firms with lower exposures, we show that higher-exposure firms earned excess returns that are 0.4% higher on a daily basis than returns of firms with lower exposures following the release of ChatGPT. Although this release was generally received by investors as good news for more exposed firms, there is wide variation across and within industries, consistent with the substantive disruptive potential of Generative AI technologies
Eisfeldt, Andrea L.; Schubert, Gregor; Zhang, Miao Ben;2023
Availability: Link Link
6. OTC intermediaries
Eisfeldt, Andrea L.; Herskovic, Bernard; Rajan, Sriram; Siriwardane, Emil N.;2023
Type: Aufsatz in Zeitschrift; Article in journal;
Availability:
Link Link Citations: 3 (based on OpenCitations)
7. Complex asset markets
Eisfeldt, Andrea L.; Lustig, Hanno; Zhang, Lei;2023
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
8. The Deposit Business at Large vs. Small Banks
abstractThe deposit business differs at large versus small banks. We provide a parsimonious model and extensive empirical evidence supporting the idea that much of the variation in deposit-pricing behavior between large and small banks reflects differences in "preferences and technologies." Large banks offer superior liquidity services but lower deposit rates, and locate where customers value their services. In addition to receiving a lower level of deposit rates on average, customers of large banks exhibit lower demand elasticities with respect to deposit rate spreads. As a result, despite the fact that the locations of large-bank branches have demographics typically associated with greater financial sophistication, large-bank customers earn lower average deposit rates. Our explanation for deposit pricing behavior challenges the idea that deposit pricing is mainly driven by pricing power derived from the large observed degree of concentration in the banking industry
Avernas, Adrien d'; Eisfeldt, Andrea L.; Huang, Can; Stanton, Richard; Wallace, Nancy E.;2023
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link Link
9. Human Capitalists
Eisfeldt, Andrea L.; Falato, Antonio; Xiaolan, Mindy Zhang;2023
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
10. Generative AI and Firm Values
abstractWhat are the effects of recent advances in Generative AI on the value of firms? Our study offers a quantitative answer to this question for U.S. publicly traded companies based on the exposures of their workforce to Generative AI. Our novel firm-level measure of workforce exposure to Generative AI is validated by data from earnings calls, and has intuitive relationships with firm and industry-level characteristics. Using Artificial Minus Human portfolios that are long firms with higher exposures and short firms with lower exposures, we show that higher-exposure firms earned excess returns that are 0.4% higher on a daily basis than returns of firms with lower exposures following the release of ChatGPT. Although this release was generally received by investors as good news for more exposed firms, there is wide variation across and within industries, consistent with the substantive disruptive potential of Generative AI technologies
Eisfeldt, Andrea L.; Schubert, Gregor; Zhang, Miao Ben;2023
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link Link
Citations: 6 (based on OpenCitations)