March 10th, 2017

  David Yermack, NYU

 Where:  CSOM 2-213

  When: 1:00pm-2:30pm

  Title:

 Ambiguity and The Trade Off Theory of Capital Structure

  Abstract:

We examine the importance of ambiguity, or Knightian uncertainty, in the capital structure
decision. We develop a static tradeoff theory model in which agents are both risk averse and
ambiguity averse. The model confirms the usual idea that increased risk-the uncertainty over
known possible outcomes-leads rms to use less leverage. Conversely, greater ambiguity-the
uncertainty over the probabilities associated with the outcomes-leads firms to increase leverage.
Our empirical analysis provides results consistent with these predictions.

March, 31st, 2017

  Stijn Van Nieuwerburgh, NYU

 Where:  CSOM 2-233

  When: 10:30am-12:00pm

  Title:

 A Macroeconomic Model with Financially Constrained Producers and Intermediaries

  Abstract:

We evaluate the quantitative effects of macroprudential policy. To do so, we solve a general equilibrium model with three types of agents and a government. Borrower-entrepreneurs produce output financed with long-term debt issued by financial intermediaries, subject to a leverage constraint. Intermediaries fund these loans combining deposits and their own equity, and are subject to a regulatory capital constraint. Savers provide funding to banks and to the government. Both entrepreneurs and banks make optimal default decisions. The government issues debt to finance budget deficits and to pay for bank rescue operations. We solve for macroeconomic quantities, the price of capital, the yield on safe bonds, and the credit spread. We study how financial and non-financial recessions differ, show that high credit spreads forecasts future declines in economic activity, and study macro-prudential policies. Policies that limit corporate leverage and financial leverage reduce welfare. Their benefits for financial and macro-economic stability are outweighed by the costs from a smaller-sized economy. The two types of macroprudential policies have different implications for the wealth distribution.

April 7th. 2017

  Brent Neiman, Chicago

 Where:  CSOM 2-233

  When: 10:30am-12:00pm

  Title:

Unpacking Global Capital Flows: A Micro-Data Approach to Macro Facts

 

April 14th, 2017

  Manuel Adelino, Duke

 Where:  CSOM 2-233

  When: 10:30am-12:00pm

Title: 

Are Lemons Sold First? Dynamic Signaling in the Mortgage Market

Abstract:

A central result in the theory of adverse selection in asset markets is that informed sellers can signal quality and obtain higher prices by delaying trade. This paper provides some of the first evidence of a signaling mechanism through trade delays using the residential mortgage market as a laboratory. We find a strong relation between mortgage performance and time to sale for privately securitized mortgages. Additionally, deals made up of more seasoned mortgages are sold at lower yields. These effects are strongest in the “Alt-A” segment of the market, where mortgages are often sold with incomplete hard information. 

April 28th, 2017

  Stefano Giglio, Chicago

May 5th, 2017

  Lorenzo Garlappi, UBC