-
作者：Ready, Robert; Roussanov, Nikolai; Ward, Colin
作者单位：University of Oregon; University of Pennsylvania; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities
摘要：Persistent interest rate differentials account for much of the currency carry trade profitability. Commodity currencies offer high interest rates on average, while countries that export finished goods tend to have low interest rates. We develop a general equilibrium model of international trade and currency pricing where countries have an advantage in producing either basic inputs or final goods. In the model, domestic production insulates commodity-producing countries from global productivity...
-
作者：Adelino, Manuel; Ma, Song; Robinson, David
作者单位：Duke University; Yale University; National Bureau of Economic Research
摘要：New firms are an important source of job creation, but the underlying economic mechanisms for why this is so are not well understood. Using an identification strategy that links shocks to local income to job creation in the nontradable sector, we ask whether job creation arises more through new firm creation or through the expansion of existing firms. We find that new firms account for the bulk of net employment creation in response to local investment opportunities. We also find significant g...
-
作者：Bernile, Gennaro; Bhagwat, Vineet; Rau, P. Raghavendra
作者单位：Singapore Management University; University of Oregon; University of Cambridge
摘要：The literature on managerial style posits a linear relation between a chief executive officer's (CEOs) past experiences and firm risk. We show that there is a nonmonotonic relation between the intensity of CEOs' early-life exposure to fatal disasters and corporate risk-taking. CEOs who experience fatal disasters without extremely negative consequences lead firms that behave more aggressively, whereas CEOs who witness the extreme downside of disasters behave more conservatively. These patterns ...
-
作者：Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor
作者单位：Northwestern University; Johns Hopkins University
摘要：We study short-maturity (weekly) S&P 500 index options, which provide a direct way to analyze volatility and jump risks. Unlike longer-dated options, they are largely insensitive to the risk of intertemporal shifts in the economic environment. Adopting a novel seminonparametric approach, we uncover variation in the negative jump tail risk, which is not spanned by market volatility and helps predict future equity returns. As such, our approach allows for easy identification of periods of height...
-
作者：Black, Sandra E.; Devereux, Paul J.; Lundborg, Petter; Majlesi, Kaveh
作者单位：University of Texas System; University of Texas Austin; Norwegian School of Economics (NHH); IZA Institute Labor Economics; National Bureau of Economic Research; University College Dublin; Center for Economic & Policy Research (CEPR); Lund University
摘要：Financial investment behavior is highly correlated between parents and their children. Using Swedish data, we find that the decision of adoptees to hold equities is associated with the behavior of both biological and adoptive parents, implying a role for both genetic and environmental influences. However, we find that nurture has a stronger influence on the share of financial assets invested in equities and on portfolio volatility, suggesting that financial risk-taking is substantially environ...
-
作者：Favara, Giovanni; Giannetti, Mariassunta
作者单位：Stockholm School of Economics
摘要：We provide evidence that lenders differ in their ex post incentives to internalize price-default externalities associated with the liquidation of collateralized debt. Using the mortgage market as a laboratory, we conjecture that lenders with a large share of outstanding mortgages on their balance sheets internalize the negative spillovers associated with the liquidation of defaulting mortgages and thus are less inclined to foreclose. We provide evidence consistent with our conjecture. Arguably...
-
作者：Breza, Emily; Liberman, Andres
作者单位：Columbia University; New York University
摘要：We present evidence that restrictions to the set of feasible financial contracts affect buyer-supplier relationships and the organizational form of the firm. We exploit a regulation that restricted the maturity of the trade credit contracts that a large retailer could sign with some of its small suppliers. Using a within-product difference-indifferences identification strategy, we find that the restriction reduces the likelihood of trade by 11%. The retailer also responds by internalizing proc...
-
作者：Shue, Kelly; Townsend, Richard R.
作者单位：Yale University; National Bureau of Economic Research; University of California System; University of California San Diego
摘要：We examine how an increase in stock option grants affects CEO risk-taking. The overall net effect of option grants is theoretically ambiguous for risk-averse CEOs. To overcome the endogeneity of option grants, we exploit institutional features of multiyear compensation plans, which generate two distinct types of variation in the timing of when large increases in new at-the-money options are granted. We find that, given average grant levels during our sample period, a 10% increase in new option...
-
作者：Schwert, Michael
作者单位：University System of Ohio; Ohio State University
摘要：This paper examines the pricing of municipal bonds. I use three distinct, complementary approaches to decompose municipal bond spreads into default and liquidity components, and find that default risk accounts for 74% to 84% of the average spread after adjusting for tax-exempt status. The first approach estimates the liquidity component using transaction data, the second measures the default component with credit default swap data, and the third is a quasi-natural experiment that estimates cha...
-
作者：Faccio, Mara; Hsu, Hung-Chia
作者单位：Purdue University System; Purdue University; University of Arkansas System; University of Arkansas Fayetteville
摘要：We investigate the employment consequences of private equity buyouts. We find evidence of higher job creation, on average, at the establishments operated by targets of politically connected private equity firms than at those operated by targets of nonconnected private equity firms. Consistent with an exchange of favors story, establishments operated by targets of politically connected private equity firms increase employment more during election years and in states with high levels of corrupti...
