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October 2017
Gustavo Manso – Berkeley
Shareholder Litigation and Corporate Innovation
Find out more »Yael Hochberg – Rice University
Accelerator programs and the Regional Supply of Venture Capital Investment We examine the impact of seed accelerator programs-fixed-term, cohort-based educational and mentorship programs for startups-on the seed and early stage financing ecosystem of the regions in which they locate. We use a difference-in-differences approach that utilizes the staggered introduction of…
Find out more »November 2017
Francois Gourio – Chicago Fed
Risk Premia at the ZLB: a Macroeconomic Interpretation
Find out more »UVIC 2017
The 10th annual University of Virginia Investing Conference (UVIC) will take place at UVA’s Darden School of Business, 9-10 November 2017. The conference provides the insights of financial analysts, portfolio managers, economists, and industry executives and attracts professional investment managers, financial officers, academics, students, private investors and industry executives as…
Find out more »Stephen Karolyi – Carnegie Mellon
Lender Forbearance We use a regression discontinuity design to study ex-post discretion in lender’s contractual enforcement of restrictive covenant violations. At pre-set thresholds, we find that lenders enforce contractual breaches at an 11% rate, varying between 5% and 18% and peaking when credit conditions are tightest, consistent with enforcement exacerbating…
Find out more »December 2017
Shaun Williams Davies – University of Colorado Boulder
Speculation 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…
Find out more »Stefan Lewellen – LBS
Politicizing 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…
Find out more »February 2018
Rui Albuquerque – Boston College
The 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…
Find out more »March 2018
Maureen O’Hara – Cornell – Cancelled
Innovation 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…
Find out more »Moto Yogo – Princeton
The 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…
Find out more »Steffen Hitzemann – Rutgers
Margin 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…
Find out more »Jongsub Lee – Warrington, U. of Florida
Credit 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…
Find out more »April 2018
Quan Wen – Georgetown – Brown Bag Series
Why Do Mutual Funds Hold Lottery Stocks? We document large cross-sectional differences in lottery stock holdings among actively managed U.S. equity funds. We examine the incentives and performance of mutual funds that hold more lottery stocks and find that such funds are smaller, younger, and poor recent performers – characteristics…
Find out more »Elena Loutskina – Darden – Brown Bag Series
Stress Tests and Small Business Lending Post-crisis stress tests have altered banks’ credit supply to small business. Banks affected by stress tests reduce credit supply and raise interest rates on small business loans. Banks price the implied increase in capital requirements from stress tests where they have local knowledge, and…
Find out more »Nadya Malenko – Boston College
Deadlock 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.…
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