Seminar
Robin Greenwood – HBS
Darden, FOB 194The Impact of Pensions and Insurance on Global Yield Curves Abstract: We document a strong effect of pension and insurance company (P&I) assets on the long end of the yield curve. Using data for 26 countries, the yield spread between 30-year and 10-year government bond yields is negatively related to Read more…
Gill Segal – UNC
McIntire, RRH 260Production Networks and Stock Returns: The Role of Vertical Creative Destruction We study the relation between firms' risk and their upstreamness in a production network. Empirically, firms' average stock returns and productivity exposures increase monotonically with their upstreamness. We quantitatively explain these novel facts using a multi-layer general equilibrium model. Read more…
Markus Baldauf – UBC
McIntire, RRH 260Contracting for Financial Execution Financial contracts often specify reference prices whose values are undetermined at the time of contracting, which makes them prone to manipulation. To study such situations, we introduce a stylized model of financial contracting between a client, who wishes to trade a large position, and her broker. Read more…
Shai Bernstein – Stanford GSB
Darden, FOB 294Yufeng Wu – UIUC
McIntire, RRH 260Managerial Control Benefits and Takeover Market Efficiency How and to what extent do managerial control benefits shape the efficiency of the takeover market? We revisit this question by estimating both the dark and bright sides of managerial control benefits in an industry equilibrium model. On the dark side, managers’ private Read more…
Sheisha Kulkarni – UC Berkeley / UVA Economics
McIntire, RRH 305Removing the Fine Print: Standardization, Disclosure, and Consumer Outcomes Consumers face a choice when evaluating financial contracts: study the fine print and incur a cognitive cost or ignore it and risk costly surprises in future. We use a pair of policy changes in Chile to contrast two measures to protect Read more…
Paul Tetlock – Columbia
McIntire, RRH 305What Drives Anomaly Returns? We decompose the returns of five well-known anomalies into cash flow and discount rate news. Common patterns emerge across all factor portfolios and their mean-variance efficient combination. The main source of anomaly return variation is news about cash flows. Anomaly cash ow and discount rate components Read more…
David Denis – Pittsburgh
Darden, FOB 194Joey Engelberg – UC San Diego
McIntire, RRH 305Sunil Wahal – Arizona State University, W.P. Carey School of Business
Darden, FOB 194The Anatomy of Trading Algorithms Abstract We study the anatomy of four non-bespoke institutional trading algorithms. Proprietary data show parent orders and the sequences of child submissions, fills, and cancellations that they generate. The sample consists of 2.3 million parent orders between 2012 and 2016 that represent $675 billion in Read more…
Hendrik Bessembinder – Arizona State University
Darden, FOB 194Federico Gavazzoni – INSEAD
McIntire, RRH 260International R&D Spillovers and Asset Prices We study the international propagation of long-run risk in the context of a general equilibrium model with endogenous growth. Innovation and international diffusion of technologies are the channels at the core of our mechanism. A calibrated version of the model matches several asset pricing Read more…
Slava Fos – Boston College
McIntire, RRH 260Do Short-Term Incentives Affect Long-Term Productivity? Previous research shows that stock repurchases that are caused by earnings management lead to reductions in firm-level investment and employment. It is natural to expect firms to cut less productive investment and employment first, which could lead to a positive effect on firm-level productivity. Read more…
Peter Simasek – Georgia Tech
McIntire, RRH 260Pension Overhang and Corporate Investment We exploit an exogenous, universal increase (decrease) in discount rates (pension liability) mandated by the Moving Ahead for Progress in the 21st Century Act (MAP-21) to identify the impact of pension overhang on investment. We find that firms with large unfunded pension liabilities increase investment Read more…
Jordan Nickerson – Boston College
Darden, FOB 194Gig-Labor: Trading Safety Nets for Steering Wheels Vyacheslav Fos, Naser Hamdi, Ankit Kalda, and Jordan Nickerson July 2019 This paper shows that the introduction of the “gig-economy” changes the way employees respond to job loss. Using a comprehensive set of Uber product launch dates and employee-level data on job separations, Read more…