Seminar
Shaun Williams Davies – University of Colorado Boulder
DardenSpeculation Sentiment I provide a novel and direct test that shows speculative trades push asset prices away from fundamentals. I form the Speculation Sentiment Index using observable arbitrage trades in levered exchange traded funds (ETFs). Arbitrage activity originates from demand shocks that create relative mispricing between an ETF and its Read more…
Stefan Lewellen – LBS
DardenPoliticizing Consumer Credit Using proprietary credit bureau data, we find that consumers’ access to credit decreases by 4.5% - 8% when the borrower’s home-state U.S. Senator becomes the chair of a powerful Senate committee. The reduction in credit access mostly affects historically credit-constrained consumers (low income, non-white, and borrowers with Read more…
Rui Albuquerque – Boston College
McIntire, RRH 260The Price Effects of Liquidity Shocks: A Study of SEC's Tick-Size Experiment This paper studies the SEC's pilot program that increased the tick size for approximately 1,200 randomly chosen stocks. We provide causal evidence of a negative impact of a larger tick size on stock prices equivalent to roughly $7 Read more…
Maureen O’Hara – Cornell – Cancelled
Darden, CLA 30Innovation and Informed Trading: Evidence from Industry ETFs We hypothesize that industry exchange traded funds (ETFs) encourage informed trading on underlying firms through facilitating the hedge of industry-specific risks. We find that the industry ETF membership increases hedge funds’ abnormal holdings before earnings announcements and reduces the market reaction to the firm’s earnings Read more…
Moto Yogo – Princeton
McIntireThe Fragility of Market Risk Insurance Insurers sell retail financial products called variable annuities that package mutual funds with minimum return guarantees over long horizons. Variable annuities accounted for $1.5 trillion or 34 percent of U.S. life insurer liabilities in 2015. Sales fell and fees increased after the 2008 financial Read more…
Steffen Hitzemann – Rutgers
McIntireMargin Requirements and Equity Option Returns. In equity option markets, traders face margin requirements both for the options themselves and for hedging-related positions in the underlying stock market. We show that these requirements carry a significant margin premium in the cross-section of equity option returns. The sign of the margin Read more…
Jongsub Lee – Warrington, U. of Florida
DardenCredit default swaps around the world: Investment and financing effects We analyze the impact of credit default swaps (CDS) introduction on real decision-making within the firm, taking into account differences in the local economic and legal environment of firms. We extend the model of Bolton and Oehmke (2011) in order to consider Read more…
Nadya Malenko – Boston College
McIntireDeadlock on the Board We develop a dynamic model of board decision making. We show that directors may knowingly retain the policy they all think is the worst just because they fear they may disagree about what policy is best in the future --- the fear of deadlock begets deadlock. Read more…
Lukas Schmid – Duke
McIntire, RRH 260Risk-Adjusted Capital Allocation and Misallocation We develop a theory linking “misallocation,” i.e., dispersion in static marginal products of capital (MPK), to systematic investment risks. In our setup, firms differ in their exposure to these risks, which we show leads naturally to heterogeneity in firm-level risk premia and, more importantly, MPK. Read more…
Ingrid Werner – OSU
Darden, Library Conference Room 208DU.S. Tick Size Pilot Barbara Rindi Bocconi University and IGIER and Baffi-Carefin Ingrid M. Werner The Ohio State University First Draft: May 30, 2017 This Draft: September 22, 2017 Abstract The U.S. equity markets are currently conducting a pilot study of the effects of a larger tick size on market Read more…
Laura Starks – UT Austin
McIntire, RRH 260Corporate ESG Profiles and Investor Horizons We consider motivations for institutional investors to prefer firms with higher Environmental, Social and Governance (ESG) profiles. We find that such preferences depend critically on investor horizons: Investors with longer horizons tend to prefer higher ESG firms significantly more than do short-term investors. Consistent Read more…
Margarita Tsoutsoura – Cornell
Darden, FOB 294“Disclosing the Gender Pay Gap” Morten Bennedsen, University of Copenhagen; Elena Simintzi, University of British Columbia; Margarita Tsoutsoura, Cornell University; Daniel Wolfenzon, Columbia Business School Abstract: We exploit a 2006 legislation change in Denmark that requires firms to provide gender dis-aggregated wage statistics to study the effect of transparency on Read more…
Gerard Hoberg – USC (Marshall)
McIntire, RRH 227Product Life Cycles in Corporate Finance We develop a novel 10-K text-based model of product life-cycles and examine firm investment policies. Conditioning on the life cycle substantially improves the explanatory power of investment-Q models. The improved models reveal that investment follows a pecking order through the life cycle. Firms initially Read more…
Jarrad Harford – Foster, U. of Washington
Darden, FOB 194International Trade and the Propagation of Merger Waves Abstract We map the yearly global trade network and compare it to cross-border and domestic merger activity. Trade-weighted merger activity in trading partner countries has significant explanatory power for the likelihood a country will be in a merger wave state, both at Read more…
Elisabeth Kempf – Chicago Booth
Darden, FOB 194"Partisan Professionals: Evidence from Credit Rating Analysts" ABSTRACT Partisan bias affects the decisions of financial analysts. Using a novel hand-collected dataset that links credit rating analysts to party affiliations from voter records, we show that analysts who do not support the President’s party are more likely to downgrade firms. Our Read more…