Browsing LIF-SAFE Working Papers by Title
Now showing items 115-134 of 334
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Heterogeneity in the Internationalization of R&D: Implications for Anomalies in Finance and Macroeconomics
(2017-10-17)Empirical evidence suggests that investments in research and development (R&D) by older and larger firms are more spread out internationally than R&D investments by younger and smaller firms. In this paper, I explore the ... -
Hidden Gems and Borrowers with Dirty Little Secrets: Investment in Soft Information, Borrower Self-selection and Competition
(2013-05-01)This paper empirically examines the role of soft information in the competitive interaction between relationship and transaction banks. Soft information can be interpreted as a valuable signal about the quality of a firm ... -
High-Dimensional Sparse Financial Networks through a Regularised Regression Model
(2019-02-12)"We propose a shrinkage and selection methodology specifically designed for network inference using high dimensional data through a regularised linear regression model with Spike-and-Slab prior on the parameters. The ... -
High-Frequency Trading and Price Informativeness
(2019-03-09)We study how stock price informativeness changes with the presence of high-frequency trading (HFT). Our estimate is based on the staggered start of HFT participation in a panel of international exchanges. With HFT presence ... -
High-Frequency Trading and Price Informativeness
(2019-03-01)We study how the informativeness of stock prices changes with the presence of high-frequency trading (HFT). Our estimate is based on the staggered start of HFT participation in a panel of international exchanges. With HFT ... -
High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?
(2020-03-01)We show that High Frequency Traders (HFTs) are not beneficial to the stock market during flash crashes. They actually consume liquidity when it is most needed, even when they are rewarded by the exchange to provide immediacy. ... -
Higher-Order Income Risk over the Business Cycle: A Parametric Approach
(2020-03-24)We extend the canonical income process with persistent and transitory risk to shock distributions with left-skewness and excess kurtosis, to which we refer as higher- order risk. We estimate our extended income process by ... -
Horizontal Industry Relationships and Return Predictability
(2019-08-09)It has been documented that vertical customer-supplier links between industries are the basis for strong cross-sectional stock return predictability (Menzly and Ozbas (2010)). We show that robust predictability also arises ... -
Household Debt and Social Interactions
(2013-12-06)Can concern with relative standing, which has been shown to influence consumption and labor supply, also increase borrowing and the likelihood of financial distress? We find that perceived peer income contributes to debt ... -
Housing Habits and Their Implications for Life-Cycle Consumption and Investment
(2017-01-26)We solve a rich life-cycle model of household decisions involving consumption of perishable goods and housing services, habit formation for housing consumption, stochastic labor income, stochastic house prices, home renting ... -
How did we do? The Impact of Relative Performance Feedback on Intergroup Hostilities
(2020-06-23)Using a novel experimental design, I test how the exposure to information about a group’s relative performance causally affects the members’ level of identification and thereby their propensity to harm affiliates of ... -
How Do Banks React to Catastrophic Events? Evidence from Hurricane Katrina
(2017-09-01)This paper explores how banks react to an exogenous shock caused by Hurricane Katrina in 2005, and how the structure of the banking system affects economic development following the shock. Independent banks based in the ... -
How do insured deposits affect bank risk? Evidence from the 2008 Emergency Economic Stabilization Act
(2014-10-01)This paper tests whether an increase in insured deposits causes banks to become more risky. We use variation introduced by the U.S. Emergency Economic Stabilization Act in October 2008, which increased the deposit insurance ... -
How Economics Got it Wrong: Formalism, Equilibrium Modelling and Pseudo-Optimization in Banking Regulatory Studies
(2016-05-30)Since the outbreak of the financial crisis, the macro-prudential policy paradigm has gained increasing prominence (Bank of England, 2009; Bernanke, 2011). The dynamics of this shift in the economic discourse, and the reasons ... -
How Has Sovereign Bond Market Liquidity Changed? - An Illiquidity Spillover Analysis
(2016-09-28)Amid increasing regulation, structural changes of the market and Quantitative Easing as well as extremely low yields, concerns about the market liquidity of the Eurozone sovereign debt markets have been raised. We aim to ... -
How Persistent Low Expected Returns Alter Optimal Life Cycle Saving, Investment, and Retirement Behavior
(2017-06-23)This Chapter explores how an environment of persistent low returns influences saving, investing, and retirement behaviors, as compared to what in the past had been thought of as more “normal” financial conditions. Our ... -
How Special Are They? – Targeting Systemic Risk by Regulating Shadow Banking
(2014-10-05)This essay argues that at least some of the financial stability concerns associated with shadow banking can be addressed by an approach to financial regulation that imports its functional foundations more vigorously into ... -
Idiosyncratic Risk, Aggregate Risk, and the Welfare Effects of Social Security
(2017-12-01)We ask whether a pay-as-you-go financed social security system is welfare improving in an economy with idiosyncratic productivity and aggregate business cycle risk. We show analytically that the whole welfare benefit from ... -
Idiosyncratic Volatility Puzzle: The Role of Assets' Interconnections
(2018-08-08)The paper investigates the determinants of the idiosyncratic volatility puzzle by allowing linkages across asset returns. The first contribution of the paper is to show that portfolios sorted by increasing indegree computed ... -
Impact of public news sentiment on stock market index return and volatility
(2021-10-11)Recent advances in natural language processing have contributed to the development of market sentiment measures through text content analysis in news providers and social media. The effectiveness of these sentiment variables ...