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…
Kristoph Kleiner – Indiana – Brown Bag Series
Darden, FOB 194Friends with Bankruptcy Protection Benefits We evaluate whether social networks limit the effectiveness of targeted debt relief programs. In our setting, individuals learn about the likelihood of debt relief from the recent experiences of workplace peers who file for Chapter 13 bankruptcy. While peers granted bankruptcy are able to discharge Read more…
David Denis – Pittsburgh
Darden, FOB 194Jiasun Li – George Mason – Brown Bag Series
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…
Pedro Matos – Darden – Brown Bag Series
Darden, FOB 294“Responsible Institutional Investing Around the World” Rajna Gibson (U Geneva), Philipp Krueger (U Geneva), Pedro Matos, and Tom Steffen (U Geneva) ABSTRACT We explore a novel survey on responsible investing by institutional investors around the world and match it to archival data on equity portfolio holdings. We study what factors Read more…
Hendrik Bessembinder – Arizona State University
Darden, FOB 194Felipe Schwartzman – Richmond Fed – Brown Bag Series
DardenThe Persistent Employment Effects of the 2006-09 U.S. Housing Wealth Collapse We show that the housing wealth collapse of 2006-09 had a persistent impact on employment across counties in the US. In particular, localities that had a larger loss in housing net-worth during that period had more depressed employment as Read more…
Federico 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…
Simon Gloßner – Darden – Brown Bag Series
Darden, FOB 194Elena Loutskina – Darden – Brown Bag Series
Darden, FOB 245Slava 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…