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April 2018
Andrew MacKinlay – Virginia Tech – Brown Bag Series
The Underwriter Relationship and Corporate Debt Maturity Supply-side frictions impact corporate debt maturity choices. Similar to bank loan markets, corporate debt markets exhibit repeated issuance relationships between underwriters and issuers. Using micro-data on investor-underwriter-issuer relationships, we uncover significant frictions in the U.S. public corporate debt markets, even though firms issuing…
Find out more »Aytek Malkhozov – Federal Reserve Board – Brown Bag Series
Can Cross-Border Funding Frictions Explain Financial Integration Reversals? We examine the role of funding frictions in international investments. Guided by an international CAPM with funding constraints, we use the differences in the betting-against-beta portfolio performance between countries to infer the magnitude and the implicit cost of barriers that impede the…
Find out more »Leland Farmer – UVa Econ – Brown Bag Series
Pockets of Predictability Return predictability in the U.S. stock market is local in time as short periods with significant predictability ('pockets') are interspersed with long periods with little or no evidence of return predictability. We document this empirically using a flexible non-parametric approach and explore possible explanations of this finding,…
Find out more »September 2018
Mike Young – Darden – Brown Bag Series
Terrorist Attacks and Household Trading Using two sources of household data, we show that an increase in terrorist attacks leads individual investors to reduce stock market participation and overall trading activities. The effects of attacks are evident both in households located in the state of the attack, as well as…
Find out more »Lukas Schmid – Duke
Risk-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.…
Find out more »Giorgio Ottonello – Vienna Graduate School of Finance – Brown Bag Series
"Distortive Effects of Benchmarking by Fixed-Income Funds" I show that benchmarking concerns of fixed income funds lead to distortions in corporate bond prices, due to portfolio re-balancing in response to changes in the benchmark index. Risk-averse fund managers trade off hedging demand for illiquid assets in the benchmark against cash…
Find out more »Ingrid Werner – OSU
U.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…
Find out more »Laura Starks – UT Austin
Corporate 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…
Find out more »October 2018
Robert S. Harris – Darden – Brown Bag Series
How Do Financial Expertise and Networks Affect Investing? Evidence from the Governance of University Endowments Abstract Using the unique laboratory of university endowments, we study the effects of expertise and networks on investment performance. Using detailed information on more than 11,000 unique board members for 579 university endowments, we show…
Find out more »Margarita Tsoutsoura – Cornell
“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…
Find out more »Quinn Curtis – UVA Law – Brown Bag Series
COSTS, CROSS-SUBSIDIES, AND COLLEGE SAVINGS: EVALUATING SECTION 529 SAVINGS PLANS ABSTRACT: Americans collectively save hundreds of billions of dollars for their children’s education in Section 529 college savings plans. These plans are sponsored by states and largely exempt from regulations that typically apply to money management. This is the first…
Find out more »Gerard Hoberg – USC (Marshall)
Product 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…
Find out more »Jan Bena – UBC – Brown Bag Series
Teamwork, Technology Combinations, and Value of Innovation ABSTRACT: We examine the role of teamwork in the inventive process. We show that a better ability of an invention team to combine interdependent technologies results in innovations with both higher scientific and private economic value, leads to more breakthroughs in innovations, helps…
Find out more »Jarrad Harford – Foster, U. of Washington
International 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…
Find out more »Anton Korinek – Darden/UVa – Brown Bag Series
The Rise of Artificially Intelligent Agents Rapid advances in AI imply that machines increasingly behave like artificially intelligent agents (AIAs). This raises fundamental questions about what an economy with AIAs will look like – questions that stretch from the allocation of resources between humans and non-humans to the potential for…
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