Browsing LIF-SAFE Working Papers by Title
Now showing items 242-261 of 334
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Signaling Cooperation
(2015-11-08)We examine what an applicant’s vita signals to potential employers about her willingness to cooperate in teams. Intensive social engagement may credibly reveal that an applicant cares about the well-being of others and ... -
Smart (Phone) Investing? A Within Investor-Time Analysis of New Technologies and Trading Behavior
(2021-02-02)Using transaction-level data from two German banks, we study the effects of smartphones on investor behavior. Comparing trades by the same investor in the same month across different platforms, we find that smartphones ... -
Smoking Hot Portfolios? Self-Control and Investor Decisions
(2019-09-01)Self-control failure is among the major pathologies (Baumeister et al. (1994)) affecting individual investment decisions which has hardly been measurable in empirical research. We use cigarette addiction identified from ... -
Smoking Hot Portfolios? Self-Control and Investor Decisions
(2019-03-01)Self-control failure is among the major pathologies (Baumeister et al. (1994)) affecting individual investment decisions which has hardly been measurable in empirical research. We use cigarette addiction identified from ... -
Social Centralization, Bank Integration and the Transmission of Lending Shocks
(2017-08-01)We introduce an innovative approach to measure bank integration, based on the corporate culture of multinational banking conglomerates. The new measure, the Power Index, assesses the prevalence of a language of power and ... -
Social Security in an Analytically Tractable Overlapping Generations Model with Aggregate and Idiosyncratic Risk
(2015-04-13)When markets are incomplete, social security can partially insure against idiosyncratic and aggregate risks. We incorporate both risks into an analytically tractable model with two overlapping generations. We derive the ... -
Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina?
(2016-11-18)We examine the dynamic relation between credit risk and liquidity in the Italian sovereign bond market during the Euro-zone crisis and the subsequent European Central Bank (ECB) interventions. Credit risk drives the liquidity ... -
Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach
(2012-09-01)In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the ... -
Spillovers of Funding Dry-ups
(2020-08-29)We uncover a new channel for spillovers of funding dry-ups. The 2016 US money market fund (MMF) reform exogenously reduced unsecured MMF funding for some banks. We use novel data to trace those banks to a platform for ... -
Spoilt for Choice: Order Routing Decisions in Fragmented Equity Markets
(2016-08-01)The equity trading landscape all over the world has changed dramatically in recent years. We have witnessed the advent of new trading venues and significant changes in the market shares of existing ones. We use an extensive ... -
Statistical Inferences for Price Staleness
(2018-11-06)Asset transaction prices sampled at high frequency are much staler than one might expect in the sense that they frequently lack new updates showing zero returns. In this paper, we propose a theoretical framework for ... -
Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility
(2013-05-10)We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus (1978), converges to stochastic differential utility, as introduced by Duffie and Epstein (1992), in the ... -
Stock Ownership and Political Behavior: Evidence from Demutualizations
(2013-12-12)A setting in which customer-owned mutual companies converted to publicly listed firms created a plausibly exogenous shock to salience of stock ownership. We use this shock to identify the effect of stock ownership on ... -
Stock Price Crashes: Role of Slow-Moving Capital
(2018-07-16)We study the role of various trader types in providing liquidity in spot and futures markets based on complete order-book and transactions data as well as cross-market trader identifiers from the National Stock Exchange ... -
Supranational Rules, National Discretion: Increasing Versus Inflating Regulatory Bank Capital?
(2021-02-16)We study how higher capital requirements introduced at the supranational and implemented at the national level affect the regulatory capital of banks across countries. Using the 2011 EBA capital exercise as a quasi-natural ... -
Systemic Co-Jumps
(2016-10-10)The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and ... -
Systemic Risk and Sovereign Debt in the Euro Area
(2013-12-13)We introduce a new measure of systemic risk, the change in the conditional joint probability of default, which assesses the effects of the interdependence in the financial system on the general default risk of sovereign ... -
Systemic risk for financial institutions of major petroleum-based economies: The role of oil
(2017-11-05)This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ?CoVaR for those institutions and thereby observe the presence ... -
Systemic Risk in an Interconnected Banking System with Endogenous Asset Markets
(2014-03-30)We analyze the emergence of systemic risk in a network model of interconnected bank balance sheets. The model incorporates multiple sources of systemic risk, including size of financial institutions, direct exposure from ... -
Systemic Risk in the Financial Sector: What Can We Learn from Option Markets?
(2014-12-14)We propose a novel approach on how to estimate systemic risk and identify its key determinants. For US financial companies with publicly traded equity options, we extract option-implied value-at-risks and measure the ...