Michael Weisbach – Fisher College of Business (OSU)
Darden, FOB 194Risk-Adjusting the Returns to Private Debt Funds Isil Erel, Thomas Flanagan, Michael Weisbach March 2024 Abstract Private debt funds are the fastest growing segment of the private capital market. We evaluate their risk-adjusted returns, applying a cash-flow based method to form a replicating portfolio that mimics their risk profiles. Using Read more…
Michael Goldstein – Babson College
Darden, FOB 194Brownbag Seminar: Marco Ceccarelli – Vrije Universiteit (VU) Amsterdam
Darden, FOB 194Climate Transition Beliefs Abstract We study expectations about the trajectory of the energy transition (climate transition beliefs) as drivers of “green” investment decisions and return expectations. In a survey of U.S. retail investors (N=1,007), we document considerable heterogeneity in climate transition beliefs at different horizons. Climate transition optimism positively correlates Read more…
Mayo / Four Corners 2024 Academic Meeting
UVA Darden Sands Family Grounds 1100 Wilson Boulevard, Arlington, VA, United Stateshttps://www.fourcornersresearch.org/events The meeting is organized by the Four Corners Center for Research on Index Investments (https://www.fourcornersresearch.org/) and the Mayo Center for Asset Management at the University of Virginia Darden School of Business (https://www.darden.virginia.edu/mayo-center).The conference will begin at noon on Thursday, May 23rd and conclude in the early afternoon on Friday, Read more…
James Vickery (Philadelphia Fed)
McIntireBrownbag: Francis Won – Darden School of Business
Darden, FOB 294Brownbag: Christoph Herpfer – Darden School of Business
Darden, FOB 194Human Capital, Intrinsic Motivation, and Productivity: Evidence from the Hidden Costs of Government Shutdowns We study how intrinsic motivation affects human capital retention and productivity using millions of employee records for the U.S. federal government. Exploiting heterogenous exposure to government shutdowns as shocks to intrinsic motivation, we show that affected Read more…
Margarita Tsoutsoura (WashU)
McIntireDaniel Green – Harvard Business School
Darden, FOB 294Scott Baker – Kellogg School of Management (Northwestern University)
Darden, FOB 194The Effects of Cryptocurrency Wealth on Household Consumption and Investment Abstract This paper uses transaction-level bank and credit card data to identify cryptocurrency investors and assess the impact of crypto wealth fluctuations on household consumption, as well as on investments in other assets. We find an $0.09 MPC from crypto Read more…
Gordon Phillips – Tuck School of Business (Dartmouth)
DardenNew Technology Sectoral Disruptions Abstract We construct a novel measure of technology sectoral disruptions (TSDs) using a dynamic text-based spatial model of patents based on the extent to which innovation is suddenly highly correlated across multiple industries. We identify multiple TSDs occurring over a 70-year period of time. Abnormal stock Read more…
Brownbag Seminar: Sangeun Ha (Copenhagen Business School)
Darden, FOB 294Outsourcing Workplace Safety Abstract I study if firms deliberately sacrifice workplace safety for profits by using contract workers, for whom they are not legally liable. I exploit a regression discontinuity design around the amendment to the Occupational Health and Safety Act in Korea,2017, which expanded the legal accountability of firms Read more…
Pekka Honkanen – University of Georgia, Terry College of Business
Darden, FOB 274Intermediation, Pricing, and Hedging in OTC Markets: Equity Total Return Swaps Abstract I present a simple theoretical framework for pricing and hedging equity total return swaps and test the model’s predictions using novel, transaction level data. I find that swap spreads are based on a dealer’s financing cost when the Read more…