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Abstracts

Dell, M. (2022). A Comment on: “Goals and Gaps: Educational Careers of Immigrant Children” by Michela Carlana, Eliana La Ferrara, Paolo Pinotti. Econometrica, 90, 31–33.

FT50 A*

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DellaVigna, S., & Linos, E. (2022). RCTs to Scale: Comprehensive Evidence From Two Nudge Units. Econometrica, 90, 81–116.

FT50 A*

Nudge interventions have quickly expanded from academic studies to larger implementation in so-called Nudge Units in governments. This provides an opportunity to compare interventions in research studies, versus at scale. We assemble a unique data set of 126 RCTs covering 23 million individuals, including all trials run by two of the largest Nudge Units in the United States. We compare these trials to a sample of nudge trials in academic journals from two recent meta-analyses. In the Academic Journals papers, the average impact of a nudge is very large?an 8.7 percentage point take-up effect, which is a 33.4% increase over the average control. In the Nudge Units sample, the average impact is still sizable and highly statistically significant, but smaller at 1.4 percentage points, an 8.0% increase. We document three dimensions which can account for the difference between these two estimates: (i) statistical power of the trials; (ii) characteristics of the interventions, such as topic area and behavioral channel; and (iii) selective publication. A meta-analysis model incorporating these dimensions indicates that selective publication in the Academic Journals sample, exacerbated by low statistical power, explains about 70 percent of the difference in effect sizes between the two samples. Different nudge characteristics account for most of the residual difference.

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Diamond, R. (2022). A Comment on: “Goals and Gaps: Educational Careers of Immigrant Children” by Michela Carlana, Eliana La Ferrara, Paolo Pinotti. Econometrica, 90, 35–37.

FT50 A*

View on doi.org

Du, Q., Liang, D., Chen, Z., & Tu, J. (2022). Concept links and return momentum. Journal of Banking & Finance, 134, 106329.

Unlike traditional asset categories (e.g., industry classifications) that are generally defined clearly, some groups of stocks are tied to certain loosely defined “concepts” (e.g., e-commerce). When investors find it difficult to analyze ambiguous concept-oriented information, information diffuses slowly, creating “concept momentum”. Based on unique concept data in the Chinese stock market, this study constructs a concept-momentum strategy that involves buying stocks from past winning concepts and selling stocks from past losing concepts, which can generate pronounced abnormal returns. Neither risk factors, firm-level momentum, nor industry-level momentum can explain concept momentum. Furthermore, we find that both the underreaction and cross-stock lead-lag effect channels can cause slow information diffusion and drive concept momentum. Moreover, the concept momentum effect is stronger for relatively ambiguous concepts, for concepts that attract less investor attention, and following high-sentiment periods.

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Ewens, M., Gorbenko, A., & Korteweg, A. (2022). Venture capital contracts. Journal of Financial Economics, 143, 131–158.

FT50 UTD24 A*

We estimate the impact of venture capital (VC) contract terms on startup outcomes and the split of value between the entrepreneur and investor, accounting for endogenous selection via a novel dynamic search-and-matching model. The estimation uses a new, large data set of first financing rounds of startup companies. Consistent with efficient contracting theories, there is an optimal equity split between agents, which maximizes the probability of success. However, venture capitalists (VCs) use their bargaining power to receive more investor-friendly terms compared to the contract that maximizes startup values. Better VCs still benefit the startup and the entrepreneur due to their positive value creation. Counterfactuals show that reducing search frictions shifts the bargaining power to VCs and benefits them at the expense of entrepreneurs. The results show that the selection of agents into deals is a first-order factor to take into account in studies of contracting.

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Fan, Z., Londono, J. M., & Xiao, X. (2022). Equity tail risk and currency risk premiums. Journal of Financial Economics, 143, 484–503.

FT50 UTD24 A*

We find that an option-based equity tail risk factor is priced in the cross section of currency returns; more exposed currencies offer a low risk premium because they hedge against equity tail risk. A portfolio that buys currencies with high equity tail beta and shorts those with low beta extracts the global component in the tail factor. The estimated price of risk of this novel global factor is consistently negative in currency carry and momentum portfolios, and in portfolios of other asset classes, suggesting that excess returns of these strategies can be partially understood as compensations for global tail risk.

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Fonseca, J., & Doornik, B. V. (2022). Financial development and labor market outcomes: Evidence from Brazil. Journal of Financial Economics, 143, 550–568.

FT50 UTD24 A*

We estimate the effect of increased access to bank credit on the employment and wages of high- and low-skilled workers. To do so, we consider a bankruptcy reform that led to an expansion of bank credit to Brazilian firms. We use administrative data and exploit cross-sectional variation in the enforcement of the new legislation arising from differences in the congestion of civil courts. We find that the credit expansion led to an increase in the skill intensity of firms and in within-firm returns to skill and to a reallocation of skilled labor from financially unconstrained firms to constrained firms. To rationalize these findings, we design a model in which heterogeneous producers face constraints in their ability to borrow and have production functions featuring capital-skill complementarity. We use this framework to generate an industry-level measure of capital-skill complementarity, which we use to provide direct evidence that the effect of access to credit on skill utilization and the skill premium is driven by a relative complementarity between capital and skilled labor.

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