Risk Managers in Banks

tba

tba

tba

tba

Ambiguity and private investors’ behavior after forced fund liquidations

Hedge Fund Activists' Skill

Payment for Order Flow and Market Quality: A Field Experiment

Discretionary Administrative Power and Conflicts of Interest in China’s IPO Approvals

News, noise, hype? Media sentiment and price run-ups

tba
 

Listen Closely:
Using Vocal Cues to Predict Future Earnings

In this study, we aim to advance the prediction of firm earnings – an important task for many business applications. While existing earnings prediction models only rely on numerical financial data, we hypothesize and find that vocal cues from manager speech yield substantial predictive power. Our vocal cue models significantly outperform models based on detailed financial data and textual inputs. We further analyze the models' economic value to investment practitioners. We find that investors can use the models' earnings forecasts to implement trading strategies that beat the market by 8.8% on average per year. Moreover, financial analysts can use vocal cues to improve their earnings forecast accuracy by more than 40%. Collectively, our results imply that managers' vocal cues are important information signals for future earnings that investment practitioners currently overhear.

The Lending Channel of Bank Climate Stress Tests

The Impact of Institutional Investors on Equity Prices: Evidence From A Reform of U.S. Trust Law

We study the equity market implications of a reform in the laws that govern trust investments, implemented in a staggered fashion across U.S. states from 1986 to 2007. The introduction of the prudent investor rule systematically alters the relative attractiveness of stocks within the cross-section of U.S. equities for trust funds. As trust funds account for a substantial fraction of institutional equity holdings in our sample period, our empirical setting provides a rare opportunity to study the impact of a regulatory change on institutional investor holdings and relative prices in the U.S. equity market. We show that in response to the law change, trusts rebalance their portfolios away from “prudent” stocks, which were implicitly advantaged under the old regulatory regime. Stocks bought by trusts after the law change substantially outperform stocks sold by those funds. The return effects are long-lasting and do not revert over the next 12 months. The results in our paper suggest that shocks to institutional investor demand can have a profound and sustained influence on stock prices and that regulatory changes can have large indirect, and potentially unintended, consequences for market prices.

Credit Market Equivalents and the Valuation of Private Firms

We propose to value leveraged buyout investments by credit market equivalents (CME). Our method relies on the observation that portfolio companies held by private equity funds have loans traded in secondary markets. We exploit their market valuations by constructing a stochastic discount factor that prices loan returns of private equity portfolios from deal-level data. We identify a credit factor model to price buyout cash flows to derive their CME valuation. We find no evidence for buyout outperformance after controlling for credit market factors. Our method works whenever credit and private equity markets are sufficiently integrated, for which we provide evidence. 

Shadow Inflation​

We use cell phone tracking data to document an increase in wait times at U.S.establishments in 2021. The results are consistent with a sudden increase in demand, coupled with severe labor constraints. The results are particularly pronounced in the restaurant industry, and the increase is particularly large at restaurants in non-white neighborhoods. We estimate that the increase in wait time creates an aggregate opportunity cost of up to $5 billion per month for American consumers. If wait time were added as an expense in the CPI consumption basket, inflation would have been up to 2 percentage points higher in the food away from home category. Finally, we show that an increase in wait time can predict future inflation. Our results suggest that wait times in the U.S. have started to increase already in 2020 in some industries,well before the supply chain disruptions of 2021. 

Asset Pricing with Disagreement about Climate Risks

This paper presents an asset-pricing model with heterogeneous beliefs regarding the impacts of climate change. Investors disagree on the likelihood of climate-induced disaster risks that could destroy a large fraction of consumption. The model jointly explains several findings that have been established in the empirical literature on climate finance. That is, (i) news about climate change can be hedged in financial markets, (ii) the share of green investors has significantly increased over the past decade, (iii) investors require a positive, although small, climate-risk premium for holding “brown" assets, and (iv) “green" stocks have outperformed brown stocks during the past decade. Furthermore, the model may explain why investments to mitigate climate change have been small in the past. Finally, the model predicts that the marginal gain from carbon reducing investments as well as the carbon premium should increase significantly if the rise in global temperature continues.  

Is there an Equity Duration Premium?​

Equity duration is a measure of discount-rate sensitivity that is driven by both, stock-specific cash-flow timing and stock-specific discount-rate levels. Established measures of equity duration using market-price information derive their predictive power for returns from using market-implied discount rates. We introduce new measures of pure cash-flow timing which disentangle discount-rate level from cash-flow timing information. Our results indicate an unconditionally flat relationship between timing and average returns. However, it turns out that in recessions (expansion episodes), there is a negative (positive) relation between cash-flow timing and average stock returns. 

Auf den Herbst 2023 verschieben!

Contracts, Collateral and Culture: Gender Effects in Retail Loans​

We analyze gender differences in interest rates using unusually rich data on retail loans from a bank in Vietnam—a country where women traditionally make financial decisions. After ruling out gender differences in information, credit risk, and default rates, women pay marginally lower interest rates. The gender gaps differ between loans with and without an exogenous collateralization requirement suggesting that the micro context of loan negotiations matters. In support of the pivotal role of the contracting environment,we exploit historical differences between South and North Vietnam and show that women pay comparably lower rates in the more matriarchal cultural context.

How Are Banks Special? – Let Me Count the Ways

Die Veranstaltung wird digital als Zoom-Meeting stattfinden.

Persistent Crises and Levered Asset Prices

Die Veranstaltung wird digital als Zoom-Meeting stattfinden.

Household Finance 0.5 or 2.0? Eliciting Individuals’ Financial Decision-Making Approaches

Tax avoidance through securitization

Modeling VXX under jump diffusion with stochastic long-term mean

Achtung!

Die Veranstaltung findet bereits um 12:15 Uhr im J 253 statt.