Browse the archives below to find information and working papers from past guest seminars hosted by the department of finance.

Fall 2016 Seminar Schedule

FALL 2016

Friday, September 16th, 2016

  Xiaoyun Yu, Indiana

  Where:  CSOM 2-215

  When: 10:30am-12:00pm


  Transporting Transparency: Director Foreign Experience and Corporate Information Environment


This paper examines how board directors’ foreign experience affects a firm’s informationenvironment in emerging markets. Using the staggered introduction of a policy in China to attract overseas returnees as a natural experiment, we document a positive, causal effect of directors’ foreign experience on the informativeness of the firm’s stock price. We examine potential channels, and find that after individuals with foreign experience join the board, earnings transparency increases, and firms are more likely to hire high-quality auditors and to engage in voluntary disclosure. Furthermore, the information benefit brought by directors with foreign experience spills over to peer firms. These findings provide direct evidence on how board directors help shape corporate transparency in emerging markets.

October 7th, 2016

  Nobu Kiyotaki, Princeton

  Where:  CSOM L-110

  When: 10:30am-12:00pm


  The Great Escape?  A Quantitative Evaluation of the Fed's Liquidity Facilities


We introduce liquidity frictions into an otherwise standard DSGE model with nominal and real rigidities and ask: Can a shock to the liquidity of private paper lead to a collapse in short-term nominal interest rates and a recession like the one associated with the 2008 U.S. financial crisis? Once the nominal interest rate reaches the zero bound, what are the effects of interventions in which the government provides liquidity in exchange for illiquid private paper? We find that the effects of the liquidity shock can be large, and show some numerical examples in which the liquidity facilities prevented a repeat of the Great Depression in 2008-2009.

November 11th, 2016

  Ohad Kadan, Washington

  Where: CSOM 2-219

  When: 10:30am-12:00pm


  Estimating the Value of Information


We derive a general expression for the value of information to a small price-taking investor in a dynamic environment and provide a framework for its estimation from index options. We apply this framework and estimate that a consumer-investor with commonly-used preference parameters would pay 1 to 4 percent of her wealth to preview and act on key macroeconomic in-
dicators (GDP, unemployment, etc.). The value of information increases with the time discount factor, decreases with risk aversion, and increases with the elasticity of intertemporal substitution. Rational expectations (or lack thereof) play an important role in the value of information.

November 18th, 2016

  Nicolas Crouzet, Northwestern

  Where: CSOM L-114

  When: 10:30am-12:00pm


  Default, Debt Maturity and Investment Dynamics


This paper studies the optimal maturity structure of debt in a dynamic investment model with financial frictions. External financing is costly because firms have limited liability, and default entails deadweight output losses. Firms operate long-term assets, and may thus want to issue long-term debt in order to reduce short-term refinancing risk. However, lack of commitment on the firms’ part makes long-term debt issuance costly, relative to short-term debt. In theory, the optimal maturity structure of debt should trade off these two forces. In numerical calibrations of the model, however, short-term financing strongly dominates. Optimal borrowing policies in fact often involve active maturity shortening, in particular via debt repurchases. The optimality of short-term financing suggests that none of the benefits traditionally associated with long-term financing — such as adressing maturity mismatch — are quantitatively significant in “neo-classical” models of the firm.

December 9th, 2016

  David Sraer, Berkeley

Where:  CSOM 2-213

  When: 10:00am-12:30pm


Aggregating Well-Identified Estimates of Capital Constraints


This paper develops a framework to compute the aggregate effect of financing fric-
tions by aggregating well-identified estimates of the effect of these frictions on firm-leveloutcomes. We consider a general equilibrium model with imperfect competition and heterogeneous firms facing frictions in the capital market. We derive a set of statisticssufficient to compute the aggregate effect of these frictions. These sufficient statistics can all be consistently estimated from the same valid experiment. We apply these formulas in two contexts – a simulated dataset where firms invest dynamically subject to a collateral constraint; an actual empirical setting where the effect of collateral values is identified through variations in local real estate prices – and offer in both cases a decomposition of how firm-level estimates translate into aggregate effects. This framework can be applied to other frictions affecting firms’ input choices, such as taxes, regulation or imperfect competition.

Spring 2016 Seminar Schedule



Friday, March 25th, 2016

  Itay Goldstein, University of Pennsylvania

  Where: CSOM 2-215

  When: 10:30am - 12:00pm

  Title: Commodity Financialization: Risk Sharing and Price Discovery in commodity Futures Markests

  Abstract: We study how commodity financialization affects trading behavior, prices, and welfare through affecting risk sharing and price discovery in futures markets. Our analysis highlights a supply channel through which the futures price feeds back into the later spot price. This feedback effect tends to reduce price efficiency but improve welfare. Consistent with recent evidence, we show that financial traders either provide or demand liquidity in the futures market, depending on the information environment, and that commodity financialization reduces the futures price bias through broadening risk sharing and injecting information into

Friday, April 1st, 2016

  Paige Ouimet, University of North Carolina

  Where: CSOM L-126

  When: 12:30pm - 2:00pm

  Title: Going Entrepreneurial? IPOs and New Firm Creation

  Abstract: Using matched employee-employer data from the US Census, we examine the impact of a successful initial public offering (IPO) on a firm’s existing employees and their future career choices. Using an instrumental variables strategy, we find strong evidence that going public induces employees to depart for start-ups. Moreover, this result is specific to start-ups. We find no change in the rate of employee departures for established firms. We suggest and find evidence consistent with two non-mutually exclusive mechanisms that can explain this pattern. First, following an IPO, many employees who received large stock grants in the past are able to cash out. This shock to employee wealth may allow employees to better tolerate the risks associated with joining a start-up. Alternatively, employees may leave in response to an undesirable cultural change following the IPO. Our results suggest that the recent declines in IPO activity and new firm creation in the U.S. may be causally linked. The recent decline in IPOs means fewer workers move to startups, decreasing overall new firm creation in the economy.

Friday, April 1st, 2016

  Dimitri Vayanos, London School of Economics and Political Science

  Where: CSOM 2-215

  When: 10:30am - 12:00pm

  Title: Going Entrepreneurial? IPOs and New Firm Creation

  Abstract: We study the joint determintaion of fund managers' contracts and equilibium asset prices. Because of agency frictions, investors make managers' fees more sensitive to performance and benchmark performance against a market index. This makes managers unwilling to deviate from the index and exacerbates price distortions. Because trading against overvaluation exposes managers to greater risk of deviating from the index than trading against undervaluation, agency frictions bias the aggregate market upwards. They can also generate a negative relationship between risk and return because they raise the volatility of overvalued assets. Socially optimal contracts provide steeper performance incentives and cause larger pricing distortions than privately optimal contracts.

Friday, April 22nd, 2016

  Philipp Schnabl, New York University

  Where: CSOM 2-215

Friday, April 29th, 2016

  Sam Hanson, Harvard

  Where: CSOM 1-135

  When: 12:00pm - 1:30pm

  Title: Asset Price Dynamics in Partially Segmented Markets

 Abstract: How do supply shocks in one financial market affect prices in other markets? We develop a model in which capital moves quickly within each asset class, but slowly between asset classes. While most investors specialize in a single market, a handful of generalists can gradually reallocate capital across markets. When a supply shock arrives, prices of risk in the impacted market become disconnected from those in others. Over the long-run, capital flows between markets and prices of risk become more closely aligned. While prices in the impacted market initially overreact to shocks, under plausible conditions, prices in related markets underreact.

Friday, May 6th, 2016

  Hanno Lustig, Stanford

  Where: CSOM 2-215

  When: 10:30am - 12:00pm

  Title: National Income Accounting When Firms Insure Workers

 Abstract:We analyze national income accounting in an equilibrium model of industry dynamics with long-term contracts between risk-averse workers and heterogeneous firms. In our model, firms insure workers against firm-specific productivity shocks. We use this model as a laboratory for analyzing the impact of firm-level risk on the stationary distribution of rents. An increase in firm-level risk always increases the aggregate capital share in the economy, but may lower the average firm's capital share. Because of selection, the aggregate capital share reported in national income accounts produces a biased estimate of ex ante profitability of firms which determines compensation. Workers effectively pay a larger insurance premium to the owners of capital.







Fall 2015 Seminar Schedule

FALL 2015


Friday, September 18th, 2015


 Edward PrescottArizona State University


  Where: CSOM 2-215

  When: 10:30am - 12:00pm

  Title: Equilibrium with Mutual Organizations in Adverse Selection Economies

  Abstract: We develop and equilibrium concept in the Debreu (1954) theory of value tradition for a class of adverse selection economies which includes the Spence (1973) signaling and Rothschild-Stiglitz (1976) insurance environments. The equilibrium exists and is optimal. Further, all equilibria have the same individual type utility vector. The economies are large with a finite number of types that maximize expected utility on an underlying commodity space. An implication of the analysis is that the invisible hand works for this class of adverse selection economies.

Friday, October 2nd, 2015

  Christopher PolkLondon School of Economics 

  Where: COSM 2-215

  When: 10:30am-12:00pm

  TitleChristine Sovereign

  Abstract: We decompose the abnormal profits associated with well-known patterns in the cross-section of expected returns into their overnight and intraday components. We show that, on  average, all of the abnormal returns on momentum strategies remarkably occur overnight while the abnormal profits on the other trading strategies we consider occur intraday. These patterns are extremely robust across subsamples and indeed are stronger for large-cap and high-price stocks. Furthermore, we find that all of the variables that are anomalous with respect to the Fama-French-Carhart model have risk premiums overnight that partially offset their much larger intraday average returns. Indeed, a closer look reveals that in every case a positive risk premium is earned overnight for the side of the trade that might naturally be deemed as riskier. In fact, we show that an overnight CAPM explains much of the cross-sectional variation in average overnight returns we document. Finally, we argue that investor heterogeneity may explain why momentum profits tend to accrue overnight. We first provide evidence that, relative to individuals, institutions prefer to trade during the day and against the momentum characteristic. We then highlight conditional patterns that reveal a striking tug of war. Either in the time series, when the amount of momentum activity is particularly low, or in the cross-section, when the typical institution holding a stock has a particularly strong need to rebalance, we find that momentum returns are even larger overnight and more strongly reverse during the day. Both cases generate variation in the spread between overnight and intraday returns on the order of 2 percent per month.

Friday, October 9th, 2015

  Seth Pruitt, Arizona State University 

  Where: CSOM 2-215

  When: 10:30am-12:00pm

 Title: Estimating Market Risk Factors Incorporating Stock Characteristics

 Abstract: We estimate market risk factors using data on stocks' returns and characteristics. The new framework combines the insight of characteristic-based portfolio-spread estimators (eg Fama-French, Carhart, etc.) with the statistical precision of APT-based principal-component (PC) estimators. Using monthly returns over 1927-2013 for about 10,000 stocks, our estimated factors reduce average absolute pricing errors by 1/2 and 1/3 relative to Carhart-factors and PC-factors, respectively. This suggests that stock characteristics can be viewed as altering assets' systematic risk exposure, instead of giving rise to anomalous average returns. Simulation evidence suggests that our estimator more accurately estimates the true factor space in finite sample. Importantly, our estimator is calculated virtually instantaneously.



Friday, October 16th, 2015

  Joan Farre-Mensa, Harvard Business School

  Where: CSOM 2-215

  When: 10:30am-12:00pm

 Title: The Bright Side of Patents

Abstract: Motivated by concerns that the patent system is harming entrepreneurs and small inventors, this study investigates the bright side of patents. We examine whether patents help innovative start-ups grow, create jobs, and succeed using detailed micro data on all approved and rejected patent applications filed by U.S. start-ups at the U.S. Patent and Trademark Office (USPTO) between 2001 and 2009. We exploit the fact that patent applications are assigned quasi-randomly to USPTO examiners and instrument the probability that an application is approved with individual examiners’ approval rates. We find that start-ups whose first patent application is exogenously approved grow faster, create more jobs, and innovate more than otherwise similar firms whose first application is rejected. We also show that exogenous delays in the patent review process significantly reduce growth, job creation, and innovation, even when patent applications are eventually approved. Our results suggest that patent approval acts as a catalyst that sets a start-up on a growth path by facilitating its access to venture capital—particularly for those surrounded by high uncertainty and information asymmetry.



Friday, November 20th, 2015

  Sriya AnbilFederal Reserve 

  Where: CSOM 2-215

  When: 10:30am-12:00pm

  Title: Managing Stigma During a Financial Crisis

  Abstract: How should regulators design effective emergency lending facilities to mitigate stigma during a financial crisis? I explore this question using data from an unexpected disclosure of a partial list of banks that secretly borrowed from the lender of last resort during the Great Depression. I find evidence of stigma in that depositors withdrew more deposits-to-assets from banks included on the list in comparison to banks left off the list. However, when all banks were simultaneously revealed to have borrowed, there was no stigma. Overall, the results suggest that an emergency lending facility that reveals bank identities simultaneously will mitigate stigma. (JEL Codes: G01, G21, G28)



Friday, December 11th, 2015,  


  Marcus Opp, University of California Berkeley


  Where: CSOM 2-215

  When: 10:30am-12:00pm

  Title: Macroprudential Bank Capital Regulation in a Competitive Financial System

  Abstract: We propose a general equilibrium model to examine the systemwide effects of bank capital requirements when firms can substitute between financing from public markets and banks. In our model banks can serve a socially beneficial role of monitoring firms that are credit rationed by public markets, but banks' access to deposit insurance creates socially undesirable risk-shifting incentives. Capital ratio requirements reduce banks’ risk taking incentives, but can also constrain banks’ balance sheets. Our framework allows full flexibility on the specification of the cross-sectional distribution of firm types, banks’ monitoring advantages vis-a-vis public markets, and the distribution of signals available to regulators. Absent balance sheet effects, increases in equity-ratio requirements unambiguously improve welfare and the stability of the banking system. However, when bank capital is scarce, increased equity-ratio requirements may cause banks to substitute from socially valuable projects to high-risk investments. Our model provides conceptual guidance on how the effects of regulatory policies depend on the development of public markets, the cross-sectional distribution of firms, and the risk signals available to regulators..

Friday, December 18th, 2015

  Gian Luca Clementi, New York University, Stern School of Business

  Where: TBD

  When: 10:30am-12:00pm

Spring 2015 Seminar Schedule

Andrew Ang, Columbia University

"Esitmating Private Equity Returns from Limited Partner Cash Flows (433.61 KB)

We introduce a methodology to estimate the historical time series of returns to investment in private equity. The approach requires only an unbalanced panel of cash contributions and distributions accruing to limited partners, and is robust to sparse data. We decompose private equity returns into a component due to traded factors and a time-varying private equity premium. We find strong cyclicality in the premium component that differs according to fund type. The time-series estimates allow us to directly test theories about private equity cyclicality, and we find evidence in favor of the Kaplan and Strömberg (2009) hypothesis that capital market segmentation helps to determine the private equity premium.


Adriano Rampini, Duke University

"Household Risk Management (505.3 KB)"

Households' insurance against adverse shocks to income, expenditures for health and other spending needs, and the value of assets (that is, household risk management) is limited and at times completely absent, in particular for poor households. We explain this basic pattern in household insurance in an infinite horizon model in which households have access to complete markets subject to collateral constraints resulting in a trade-off between risk management concerns and the financing needs for consumption and durable goods purchases. Insurance, which is typically thought of as trade across states, is linked to intertemporal trade, that is, consumption smoothing and financing, when households' promises to pay are restricted by limited enforcement. Household risk management is increasing in household net worth and income, under quite general conditions, in economies with income risk and durable goods price risk. Household risk management is precautionary in the sense that an increase in uncertainty increases risk management; remarkably, risk aversion is sufficient for this result and no assumptions on prudence are required.


Guillermo Ordonez, Univeristy of Pennsylvania

"Debt Crises: For Whome the Bells Tolls (641.55 KB)"

What a country has done in the past, and what other countries are doing in the present can feedback for good or for ill. We develop a simple model that can address hysteresis and contagion in sovereign debt markets. When a country’s fundamentals change, those changes affect information acquisition about that country but also affect the allocation of investment funds worldwide, inducing changes in the dynamics of sovereign spreads in seemingly unrelated countries.


Lukas Schmid, Duke University

"Competition, Markups, and Predictable Returns (511.79 KB)"

Imperfect competition is an important channel for time-varying risk premia in asset markets. We build a general equilibrium model with monopolistic competition and endogenous firm entry and exit. Endogenous variation in industry concentration generates countercyclical markups, which amplifies macroeconomic risk. The nonlinear relation between the measure of firms and markups endogenously generates countercyclical macroeconomic volatility. With recursive preferences, the volatility dynamics lead to countercyclical risk premia forecastable with measures of competition. Also, the model produces a U-shaped term structure of equity returns.


Fall 2014 Seminar Schedule



Annette Vissing-Jorgensesn, University of California, Berkeley

Stock Returns over the FOMC Cycle (653.93 KB)


We document that since 1994 the US equity premium follows an alternating weekly pattern measured in FOMC cycle time, i.e. in time since the last Federal Open Market Committee meeting. The equity premium is earned entirely in weeks 0, 2, 4 and 6 in FOMC cycle time (with week 0 starting the day before a scheduled FOMC announcement day). We show that this pattern is likely to reflect a risk premium for news (about monetary policy or the macro economy) coming from the Federal Reserve: (1) The FOMC calendar is quite irregular and changes across sub-periods over which our finding is robust. (2) Even weeks in FOMC cycle time do not line up with other macro releases. (3) Volatility in the fed funds futures market and the federal funds market (but not to the same extent in other markets) peaks during even weeks in FOMC cycle time. (4) Information processing/decision making within the Fed tends to happen bi-weekly in FOMC cycle time: Before 1994, when changes to the Fed funds target in between meetings were common, they disproportionately took place during
even weeks in FOMC cycle time. In addition, after 2001 Board of Governors discount rate meetings (at which the board aggregates policy requests from regional federal reserve banks and receives staff briefings) tend to take place bi-weekly in FOMC cycle time. As for how the information gets from the Federal Reserve to the market, we rule out the Federal Reserve signaling policy via open market operations post-1994. Furthermore, the high return weeks do not systematically line up with official information releases from the Federal Reserve or with the frequency of speeches by Fed officials. We end with a discussion of quiet policy communications and unintended information flows.


Geoffrey Tate, Univeristy of North Carolina – Chapel Hill

Do Credit Analysts Matter? The Effect of Analysts on Ratings, Prices, and Corporate Decisions (492.23 KB)

We find evidence of systematic optimism and pessimism among credit analysts, comparing contemporaneous ratings of the same firm across rating agencies. These biases carry through to debt prices and negatively predict future changes in credit spreads, consistent with mispricing. Moreover, they affect corporate policies: firms covered by more pessimistic analysts issue less debt, use more equity financing, and experience slower revenue growth. We find that MBAs provide higher quality ratings; however, optimism increases and accuracy decreases with tenure covering the firm. Our analysis uncovers a novel mechanism through which debt prices become distorted and demonstrates its effect on corporate decisions.


Lucian Taylor, Wharton, Univeristy of Pennsylvania

Intangible Capital and the Investment-q Relation (352.62 KB)

Including intangible capital in measures of investment and Tobin’s q produces a stronger investment-q relation. Specifically, regressions of investment on q produce higher R2 values and larger slope coefficients, both in firm-level and macroeconomic data. Including intangible capital also produces a stronger investment-cash flow relation. These results hold across a variety of firms and periods, but some results are even stronger where intangible capital is more important. These findings change our assessment of the classic q theory of investment, and they call for the inclusion of intangible capital in proxies for firms’ investment opportunities.


Howard Kung, London Business School

Government Maturity Structure Shocks (414.34 KB)

This paper examines the impact of government debt maturity restructuring on inflation and the real economy using a New Keynesian model that features a stochastic maturity structure of nominal debt and allows for changes in the monetary/fiscal policy mix. The irrelevance of open market operations changing the duration of government liabilities (holding the market value constant) is violated when the slope of the yield curve is nonzero in a fiscally-led policy regime. When the yield curve is downward-sloping, shortening the maturity structure increases the government discount rate, which generates fiscal inflation and an expansion in output. The opposite results obtain when the yield curve is upward-sloping. Conditional maturity restructuring policies depending on the slope of the yield curve can smooth macroeconomic fluctuations and over substantial welfare benefits. In a liquidity trap, lengthening the maturity structure can be effective in attenuating deflationary pressure and output losses. In short, this paper highlights the importance of bond risk premia, in conjunction with the government debt valuation equation, as a transmission channel for open market operations.


Tyler Muir, Yale

Financial Crises and Risk Premia (606.92 KB)

I analyze the behavior of risk premia in financial crises, wars, and recessions in an international panel spanning over 140 years and over 14 countries. I document that risk premia increase substantially in financial crises, but not in the other episodes. However, drops in consumption and consumption volatility are fairly similar across financial crises and recessions and are largest during wars, so standard macro asset pricing models will have trouble matching this variation. Comparing crises to “deep” recessions strengthens these findings further. I also find the equity of the financial sector forecasts returns. Taken together, the results suggest that the health of the financial sector is important for understanding why aggregate risk premia vary. I calibrate an intermediary asset pricing model and show it can match the data.


Jonathan Karpoff, University of Washington

"The Value of Foreign Bribery to Bribe Paying Firms (333.23 KB)

We examine foreign bribery and its enforcement using data from enforcement actions initiated under the U.S. Foreign Corrupt Practices Act (FCPA) from 1978 through May 2013.  We estimate that 22.9% of Compustat-listed firms with foreign sales engaged in a program of prosecutable bribery at least once during our sample period, and that the probability a bribe-paying firm will face bribery charges is 6.4%.  Bribes tend to be paid for important contracts, as the average ex ante NPV of a bribe-related contract is 2.6% of the firm’s market capitalization.  The costs for firms that are prosecuted for bribery depend on whether the bribery is comingled with charges of financial fraud.  Firms with comingled fraud charges face large fines, investigation costs, and reputational losses, such that the ex post NPV is negative.  Bribe-paying firms without comingled fraud charges face significant fines and investigation costs, but do not, on average, lose reputation in a way that impedes future operations or profitability.



Liyan Yang, Rotman School of Management, University of Toronto

Good Disclosure, Bad Disclosure (452.97 KB)

We study the implications of public information in a model where market prices convey information to relevant decision makers and the fluctuation of market prices is driven by multiple factors. Disclosure has a positive direct effect of providing new information and an indirect effect of changing the price informativeness. If disclosure is about a variable of which real decision makers are well informed, then the indirect effect is also positive, so that the direct effect is amplified, leading to a positive overall effect on real efficiency. If disclosure is about a variable that real decision markers care to learn much, then the indirect effect is negative and the direct effect is attenuated. Moreover, in markets which aggregate private information effectively, the negative indirect effect can dominate, so that disclosure can harm real efficiency.


Shmuel Baruch,  The University of Utah

"Fleeting Orders (350.84 KB)

We study a dynamic limit order market with a finite number of strategic liquidity suppliers who post limit orders. Their limit orders are hit by either news (i.e. informed) traders or noise traders. We show that repeatedly playing a mixed strategy equilibrium of a certain static game is a subgame perfect equilibrium with fleeting orders and flickering quotes. Furthermore, regardless of the distributions of the liquidation value and noise trade quantity, we always find a sequence of equilibria in mixed strategies such that the resulting random supply schedule converges in mean square, as the number of liquidity suppliers increases to infinity, to the deterministic competitive supply function.


Barney Hartman-Glaser, University of California, Los Angeles

"Dynamic Agency and Real Options (437.06 KB)"

We analyze how dynamic moral hazard affects corporate investment. In our model, the owners of a firm hold a real option to increase capital. They also employ a manager who controls the firm's productivity, but is subject to moral hazard. Although this conflict reduces capital productivity, both over- and under-investment can occur. When moral hazard is severe, the firm invests at a lower threshold in productivity than in the first-best because investment is a substitute for effort. When the growth option is large, the investment threshold is higher than in the first-best. We also discuss how investment affects pay-performance sensitivity.


Bill Wilhelm, University of Virginia

Investment-Banking Relationships: 1933-2007 (1.51 MB)

We study the evolution of investment bank relationships with issuers from 1933–2007. The degree to which issuers conditioned upon prior relationship strength when selecting an investment bank declined steadily after the 1960s. The issuer’s probability of selecting a bank with strong relationships with its competitors also declined after the 1970s. In contrast, issuers have placed an increasing emphasis upon the quantity and the quality of their investment bank’s connections with other banks. We relate the structural changes in bank-client relationships beginning in the 1970s to technological changes that altered the institutional constraints under which security issuance occurs.


Spring 2014 Seminar Schedule

Michael Roberts, Wharton School of Business, University of Pennsylvania

"How Does Government Debt Affect Corporate Financial and Investment Policies?"

Co-authored by John R. Graham, Fuqua School of Business, and Mark T. Leary, Olin School of Business

Using a novel dataset of accounting and market information that spans most publicly traded nonfinancial firms over the last century, we find an economically large and robust negative relation between government debt and corporate debt and investment. A one standard deviation increase in treasury debt is associated with a one third standard deviation reduction in corporate debt issuances, a one third standard deviation increase in liquid assets, no significant change in corporate equity issuances, and a one third standard deviation reduction in corporate investment. These relations are more pronounced in larger, less risky firms whose debt is a closer substitute for treasuries. The channel through which this effect operates is financial intermediaries, whose balance sheets reveal a substitution between lending to the federal government and lending to the corporate sector. The relations between government debt and corporate policies, as well as the substitution between government and corporate lending by intermediaries, are stronger after 1970 when foreign demand increased competition for treasury securities. In concert, our results suggest that large, financially healthy corporations act as liquidity providers by supplying relatively safe securities to investors when alternatives are in short supply, and that this financial strategy influences marginal investments.


Mark Leary, Olin Business School, Washington University in St. Louis

"Do Investors Value Dividend Smoothing Stocks Differently?" (763.94 KB)

Co-authored with Yelena Larkin (Penn State) and Roni Michaely (Cornell)

It is almost an article of faith that managers have a preference for smooth dividends. Yet, it is not clear if this reflects investors' preferences. In this paper, we study whether investors indeed value dividend smoothing stocks differently by exploring the implications of dividend smoothing for firms' stock prices and cost of capital. Using over 80 years of data, we find no robust relationship between the smoothness of a firm's dividends and the expected return or market value of its stock. Similarly, we find no association between the path of dividend changes and firms' value. The asymmetric reaction to dividend increases and decreases is largely attributable to the first time the firm cuts its dividend. Finally, we find that retail investors are less likely to hold dividend smoothing stocks, while institutional investors, and especially mutual funds, are more likely. This evidence for a smoothing clientele offers a potential reconciliation of our findings with the prevalent use of dividend smoothing.


Robert Novy-Marx, Simon Business School, University of Rochester



Neng Wang, Columbia Business School

"Investment, Liquidity, and Financing under Uncertainty" (760.13 KB)

Co-authored with Patrick Bolton (Columbia) and Jinqiang Yang (Shanghai University of Finance and Economics)


Igor Makarov, London Business School

"Arbitrage Trading with Marking-to-market and Price Impact"

The paper studies trading decisions of money managers whose profit is marked- to-market and who trade in markets with price impact. I show that in their chase after good performance record managers may accumulate excessively large arbitrage positions and therefore, push prices above their fundamental levels. This may result in very large losses for investors.


Harrison Hong, Princeton

"Count Models of Social Networks in Finance" (1.33 MB)

Co-authored with Jiangmin Xu (Princeton)


Fall 2013 Seminar Schedule

Yuri Tserlukevich, Arizona State University

"Idiosyncratic Cash Flows and Systematic Risk" (534.7 KB)


Utpal Bhattacharya, Kelley School of Business, Indiana University

"The Dark Side of ETFs and Index Funds" (325.4 KB)


Dean Corbae, Wisconsin School of Business, University of Wisconsin

"Capital Requirements in a Quantitative Model of Banking Industry Dynamics" (496.56 KB)


Bryan Kelly, Booth School of Business, University of Chicago

"Firm Volatility in Granular Networks" (503.59 KB)

10/10/13 (Thu)Matteo Maggiori, Stern School of Business, NYU

Vito Gala, London School of Business

"Measuring Marginal q"


Alexander Gorbenko, London School of Business

"Means of Payment and Timing of Mergers and Acquisitions in a Dynamic Economy" (445.33 KB)

12/4/13 (Wed)

RM L-114

Peter DeMarzo, Stanford Business School

"Risking Other People's Money: Gambling, Limited Liability, and Optimal Incentives"


Adair Morse, Booth School of Business, University of Chicago

"Lawyers in the Executive Suite: The Value of Gatekeepers as Internal Governance"


Spring 2013 Guest Seminars
1/11/13Michael Gofman, University of Wisconsin-Madison
"Efficiency and Stability of a Financial Architecture with Too Interconnected To Fail Institutions" (951.65 KB)
3/08/13Konstantin Milbradt, Massachusetts Institute of Technology
3/29/13Vincenzo Quadrini, University of Southern California
4/10/13Kai Li, University of British Columbia
4/12/13Ian Martin, Stanford
4/19/13Charlie Hadlock, Michigan State
4/26/13Kent Daniel, Columbia University
5/3/13Jeff Brown, University of Illinois


Fall 2012 Guest Seminars
9/14/12Avri Ravid, Yeshiva University
"Intellectual Property Contracts: Theory and Evidence from Screenplay Sales" (469.94 KB)
9/21/12Mike Weisbach, Ohio State
"Financing-Motivated Acquisitions" (576.32 KB)
10/05/12Hamid Mohtadi, University of Wisconsin
10/12/12Rui Albuquerque, Boston University
"Understanding the Equity-premium and Correlation Puzzles"
10/19/12David Frankel, Iowa State
"Securitization and Banking Competition" (987.22 KB)
11/16/12Paolo Pasquariello, University of Michigan 
"Financial Market Dislocations" (464.87 KB)
11/30/12Carola Frydman, Boston University 
"Economic Effects of Runs on Early 'Shadow Banks': Trust Companies and the Impact of the Panic of 1907" (463.2 KB)


Spring 2012 Guest Seminars

Andrey Malenko, MIT

"Optimal Design of Internal Capital Markets" (423.79 KB)


Lars Lochstoer, Columbia

"Parameter Learning in General Equilibrium: The Asset Pricing Implications" (403.26 KB)


Simon Gervais, Duke University

"The Industrial Organization of Money Management" (194.53 KB)


Annamaria Lusardi, Dartmouth University

"Financial Literacy Around the World" (56.96 KB)


Radha Gopalan, Washington University

"The Optimal Duration of Executive Compensation: Theory and Evidence" (553.84 KB)


Stefan Nagel, Stanford University

"Sizing Up Repo" (584.34 KB)


Ross Levine, Brown University

"Does Entrepreneurship Pay?"


Fall 2011 Guest Seminars
9/9/11Paola Sapienza, Northwestern University
"Time Varying Risk Aversion" (417.42 KB)

Andrew Hertzberg, Columbia University

"Exponentia Individuals, Hyperbolic Households" (484.86 KB)


David Backus, NYU

"Sources of Entropy in Representative Agent Models" (285.93 KB)


Raman Uppal, London Business School

"Asset Prices in General Equilibrium with Transactions Costs and Recursive Utility" (392.52 KB)


Arthur Korteweg, Stanford University

"Structural Models of Capital Structure: A Framework for Model Evaluation and Testing"


Sergei Davidenko, Rotman

"A Market-Based Study of the Cost of Default" (463.41 KB)


Spring 2011 Guest Seminars
Fall 2010 Guest Seminars

Ivo Welch

"Why I do not Understand Capital Structure Research"


Jeffrey Wurgler

"The Effect of Reference Point Prices on Mergers and Acquisitions" (646.7 KB)


Richmond Mathews

"Doing Battle with Short Sellers: The Role of Blockholders in Bear Raids" (648.21 KB)


Scott Joslin

"Rare Disasters and Risk Sharing with Heterogeneous Beliefs" (566.04 KB)


Daniel Paravisini

"Dissecting the Eect of Credit Supply on Trade: Evidence from Matched Credit-Export Data" (400.12 KB)


Viral Acharya, NYU

"A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk" (451.79 KB)