Browsing LIF-SAFE Working Papers by Title
Now showing items 155-174 of 334
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Leaning Against the Wind: Debt Financing in the Face of Adversity
(2016-12-29)We offer evidence of a new stylized feature of corporate financing decisions: the tendency of managers to rely more on debt financing when earnings prospects are poor. We term this 'leaning against the wind' and consider ... -
Level and Slope of Volatility Smiles in Long-Run Risk Models
(2017-10-16)We propose a long-run risk model with stochastic volatility, a time-varying mean reversion level of volatility, and jumps in the state variables. The special feature of our model is that the jump intensity is not affine ... -
Life Insurance and Demographic Change: An Empirical Analysis of Surrender Decisions Based on Panel Data
(2016-12-01)Households buy life insurance as part of their liquidity management. The option to surrender such a policy can serve as a buffer when a household faces a liquidity need. In this study, we investigate empirically which ... -
Life Insurance Demand under Health Shock Risk
(2015-06-03)This paper studies the life cycle consumption-investment-insurance problem of a family. The wage earner faces the risk of a health shock that significantly increases his probability of dying. The family can buy long-term ... -
Lighting up the Dark: Liquidity in the German Corporate Bond Market
(2018-09-17)"We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a corporate bond market without trade transparency (Germany), and comparing our findings to a market with ... -
Liquidity Coinsurance and Bank Capital
(2014-03-01)Banks can deal with their liquidity risk by holding liquid assets (self-insurance), by participating in interbank markets (coinsurance), or by using flexible financing instruments, such as bank capital (risk-sharing). We ... -
Liquidity Premia in CDS Markets
(2017-07-14)We develop a state-space model to decompose bid and ask quotes of CDS into two components, fair default premium and liquidity premium. This approach gives a better estimate of the default premium than mid quotes, and it ... -
Liquidity Provider Incentives in Fragmented Securities Markets
(2018-07-31)We study the introduction of single-market liquidity provider incentives in fragmented securities markets. Specifically, we analyze the introduction of the Xetra Liquidity Provider Program at Deutsche Boerse from two ... -
Liquidity provision: Normal times vs Crashes
(2019-10-29)We study the role of various trader types in providing liquidity in spot and futures markets based on data from the National Stock Exchange of India for a single large stock. During normal times, short-term traders who ... -
Local Peer Effects and Corporate Investment
(2018-07-07)We examine how a firms' investment behavior affects the investment of a neighboring firm. Economic theory yields ambiguous predictions regarding the direction of firm peer effects and consistent with earlier work, we find ... -
Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods
(2015-03-01)We study whether the presence of low-latency traders (including high-frequency traders (HFTs)) in the pre-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening ... -
Machine Learning Sentiment Analysis, Covid-19 News and Stock Market Reactions
(2020-09-15)The possibility to investigate the impact of news on stock prices has observed a strong evolution thanks to the recent use of natural language processing (NLP) in finance and economics. In this paper, we investigate COVID-19 ... -
Macroprudential Policy in the Lab
(2018-12-20)Higher capital ratios are believed to improve system-wide financial stability through three main channels: (i) higher loss-absorption capacity, (ii) lower moral hazard, (iii) stabilization of the financial cycle if capital ... -
Managing Excess Volatility: Design and Effectiveness of Circuit Breakers
(2017-02-02)We investigate different designs of circuit breakers implemented on European trading venues and examine their effectiveness to manage excess volatility and to preserve liquidity. Specifically, we empirically analyze ... -
Market impact of government communication: The case of presidential tweets
(2021-10-06)"We propose the ""President reacts to news"" channel of stock returns by studying the financial market impact of the Twitter account of the 45th president of the United States, Donald Trump. We use machine learning algorithms ... -
Measuring Ambiguity Aversion: A Systematic Experimental Approach
(2014-06-20)This paper provides a systematic analysis of individual attitudes towards ambiguity, based on laboratory experiments. The design of the analysis allows to capture individual behavior across various levels of ambiguity, ... -
Measuring Sovereign Contagion in Europe
(2015-04-01)This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms, using bond yield spreads for the major eurozone countries. By emphasizing the use of two econometric ... -
Mental Accounting in a Business Cycle Model
(2018-12-17)Motivated by the consumer behavior literature, this paper presents a new business cycle model in which consumers incur a pain of paying and neglect the opportunity costs of consumption. Although consumers maximize their ... -
Mirror, Mirror on the Wall: Machine Predictions and Self-Fulfilling Prophecies
(2021-04-20)We show that disclosing machine predictions to affected parties can trigger self-fulfilling prophecies. In an investment game, we experimentally vary investors’ and recipients’ access to a machine prediction about recipients’ ... -
Momentum-managed equity factors
(2019-07-22)Managed portfolios that exploit positive first-order autocorrelation in monthly excess returns of equity factor portfolios produce large alphas and gains in Sharpe ratios. We document this finding for factor portfolios ...