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作者：Parlatore, Cecilia; Philippon, Thomas
作者单位：New York University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
摘要：We study the optimal design of stress scenarios. A principal manages the unknown risk exposures of agents by asking them to report losses under hypothetical scenarios before taking remedial actions. We apply a Kalman filter to solve the learning problem, and we relate the optimal design to the risk environment, the principal's preferences, and available interventions. In a banking context, optimal capital requirements cover losses under an adverse scenario, while targeted interventions depend ...
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作者：Cakici, Nusret; Fieberg, Christian; Neumaier, Tobias; Poddig, Thorsten; Zaremba, Adam
作者单位：Fordham University; Bremen University of Applied Sciences; University of Luxembourg; Concordia University - Canada; University of Bremen; Poznan University of Economics & Business; Monash University
摘要：Farmer, Schmidt, and Timmermann (FST) document time-variation in market return predictability, identifying pockets of significant predictability through kernel regressions. However, our analysis reveals a critical discrepancy between the method outlined by FST and the code actually implemented. Instead of using a one-sided kernel, which guarantees out-of-sample forecasts, they perform in-sample estimation with a two-sided kernel. As a result, future information leaks into the forecasting model...
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作者：Wang, Olivier
作者单位：New York University
摘要：I study how the secular decline in interest rates affects banks' intermediation spreads and credit supply. Following a permanent decrease in rates, bank lending may rise initially but contracts in the long run. As lower rates compress deposit spreads even well above the zero lower bound, banks' retained earnings, equity, and lending fall until loan spreads have risen enough to offset the reduction in deposit spreads. A higher inflation target can support bank lending at the cost of higher liqu...
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作者：Ben-rephael, Azi; Carlin, Bruce i.; Da, Zhi; Israelsen, Ryan d.
作者单位：Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; Rice University; University of Notre Dame; Michigan State University; Michigan State University's Broad College of Business
摘要：We analyze minute-by-minute Bloomberg online status and study how the effort provision of executives in public corporations affects firm value. While executives spend most of their time doing other activities, patterns of Bloomberg usage allow us to characterize their work habits as measures of effort provision. We document a positive effect of effort on unexpected earnings and cumulative abnormal returns following earnings announcements, and a reduction in credit default swap spreads. This is...
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作者：Bias, Daniel; Lochner, Benjamin; Obernberger, Stefan; Sevilir, Merih
作者单位：Vanderbilt University; University of Erlangen Nuremberg; IZA Institute Labor Economics; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Leibniz Association; European School of Management & Technology; Leibniz Institut fur Wirtschaftsforschung Halle (IWH); European Corporate Governance Institute
摘要：This paper examines how initial public offerings (IPOs) affect firms' internal organization. We find that IPO firms become more hierarchical and standardized organizations, characterized by additional layers, more managers, smaller control spans, and larger administrative functions. These changes occur mostly in preparation for the IPO and can be only partially explained by growth. IPO firms with greater human capital risk experience larger hierarchical changes. Hierarchical changes help firms...
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作者：Luo, Dan
作者单位：Chinese University of Hong Kong
摘要：An entrepreneur makes offers to multiple investors to fund a project that requires a minimum investment. Concerned about other investors' decisions, each investor strategically communicates information about the project to others. When investors have conflicts of interest, those with contractually stronger incentives to invest attempt to persuade others to invest. Depending on the project's ex ante quality, the entrepreneur may promise investors different returns to create conflicts of interes...
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作者：Lin, Chen; Schmid, Thomas; Weisbach, Michael s.
作者单位：University of Hong Kong; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：How does demand uncertainty affect firms' investment decisions? We examine this question in the context of electricity-producing firms' planned investments in new power plants. We measure uncertainty about future electricity demand using plausibly exogenous variation in temperature projections across scientific climate models. The results show that uncertainty increases investment in power plants with flexible production technologies, while reducing investment in less flexible technologies. Ov...
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作者：Cetemen, Doruk; Cisternas, Gonzalo; Kolb, Aaron; Viswanathan, S.
作者单位：Luiss Guido Carli University; Federal Reserve System - USA; Federal Reserve Bank - New York; Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Duke University
摘要：We propose a theory of coordination and influence among blockholders. Privately informed activists time their trades in sequence to lower acquisition costs, prompting a strategic use of order flows: leader activists create trading gains for their followers, ultimately influencing their willingness to bear greater value-enhancing intervention costs. Through this channel, informed trades can exhibit predictability, in sharp contrast with Kyle (1985, Econometrica 53, 1315-1335). We explain how th...
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作者：Caramp, Nicolas; Silva, Dejanir H.
作者单位：University of California System; University of California Davis; Purdue University System; Purdue University
摘要：We study the role of asset revaluation in the monetary transmission mechanism. We build an analytical heterogeneous-agents model with two main ingredients: (i) rare disasters and (ii) heterogeneous beliefs. The model captures time-varying risk premia and precautionary savings in a setting that nests the textbook New Keynesian model. The model generates large movements in asset prices after a monetary shock but these movements can be neutral on real variables. Real effects depend on the redistr...
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作者：Heitz, Amanda Rae; Martin, Christopher; Ufier, Alexander
作者单位：Tulane University
摘要：Using proprietary transaction-level data on nonsyndicated construction loans, we provide some of the first empirical evidence on the drivers and consequences of bank monitoring through on-site inspections. Banks trade off monitoring intensity with favorable origination terms. Monitoring intensity escalates in response to local economic downturns or the bank's financial instability. Borrowers with negative inspection reports have more draw requests denied, suggesting that monitoring outcomes im...
