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Senior Fellows/Fellows

The FIN and PEAD Factors: Motivation, Construction, and Availability

David HIRSHLEIFER, Kent DANIEL, Lin SUN
This document provides an overview of the FIN and PEAD factors of Daniel, Hirshleifer, and Sun (2020) and describes their motivations, constructions, and availability. Based on investor psychology, Daniel, Hirshleifer, and Sun (2020) propose a theoretically motivated factor model that augments the m...
Keywords: Factor Models, Behavioral Factors
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The Falling Roe and Relocation of Skilled Women: Empirical Evidence from a Large Sample of Auditors

Yupeng LIN, Michael SHEN, Rui SHI, Jean (Jieyin) ZENG
Our study examines the impact of women’s abortion rights protection on female auditors’ mobility. Exploiting the state-level adoption of Targeted Regulation of Abortion Providers (TRAP) laws that restrict women’s access to abortion, we find that female auditors’ propensity to relocate to sta...
Keywords: TRAP Laws, Abortion Policy, Skilled Women, Labor Mobility, Political Ideology, auditors
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The External Financing of Investment

Patrick VERWIJMEREN, Bruce GRUNDY
Controlling for a firm’s existing assets, capital structure and valuation, we document a strong link between an investment’s characteristics and the type of security issued if the investment is externally financed. Investments with more volatile and distant payoffs tend to be equity-financed. In...
Keywords: Investment characteristics, financing, debt-equity choice, convertible securities
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The Evolution of Work from Home

Steven J. DAVIS, Nicholas A. BLOOM, Jose Maria BARRERO
Full days worked at home account for 28 percent of paid workdays among Americans 20-64 years old, as of mid 2023, according to the Survey of Working Arrangements and Attitudes. That’s about four times the 2019 rate and ten times the rate in the mid-1990s that we estimate in time-use data. We first...
Keywords: Work from home, productivity, labor costs, job amenities, pandemic
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The Endowment Model and Modern Portfolio Theory

Stephen G. DIMMOCK, Neng WANG, Jinqiang YANG
We develop a dynamic portfolio-choice model with illiquid alternative assets to analyze conditions under which the “Endowment Model,” used by some large institutional investors such as university endowments, does or does not work. The alternative asset has a lock-up, but can be voluntarily liqui...
Keywords: endowment model, portfolio choice, liquidity, modern portfolio theory, asset allocation, alternative assets
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