I demonstrate an important tension between acquiring information and incorporating it into asset prices. As a salient case, I analyze algorithmic trading (AT), which is typically associated with ...improved price efficiency. Using a new measure of the information content of prices and a comprehensive panel of 54,879 stock-quarters of Securities and Exchange Commission (SEC) market data, I establish instead that the amount of information in prices decreases by 9% to 13% per standard deviation of AT activity and up to a month before scheduled disclosures. AT thus may reduce price informativeness despite its importance for translating available information into prices.
Lower Oil Prices and the U.S. Economy BAUMEISTER, CHRISTIANE; KILIAN, LUTZ
Brookings papers on economic activity,
10/2016, Letnik:
2016, Številka:
2
Journal Article
Recenzirano
Odprti dostop
We explore the effect of the sharp and sustained decline after June 2014 in the global price of crude oil (and hence in the U.S. price of gasoline) on U.S. real GDP growth. Our analysis suggests that ...this decline produced a cumulative stimulus of about 0.9 percent of real GDP by raising private real consumption and non-oil-related business investment, and an additional stimulus of 0.04 percent, reflecting a shrinking petroleum trade deficit. This stimulative effect, however, has been largely offset by a large reduction in real investment by the oil sector. Hence, the net stimulus since June 2014 has been close to zero. We show that the U.S. economy’s response was not fundamentally different from that observed after the oil price decline of 1986. Then as now, the U.S. economy’s response is consistent with standard economic models of the transmission of oil price shocks. We find no evidence that frictions in reallocating capital and labor across sectors or increased uncertainty about the price of gasoline explain the sluggish response of U.S. real GDP growth. Nor do we find evidence of financial contagion, of spillovers from oil-related investment to non-oil-related investment, of an increase in household savings, or of households deleveraging.
Abstract
“Founder-friendly” venture financings and nontraditional venture investors have both flourished over the past decade. Using detailed contract data, we study open-end mutual funds investing ...in private venture-backed firms. We posit that conflicts between early-stage venture investors and liquidity-constrained later-stage ones influence the classic agency problems affecting entrepreneurs and investors. We find that mutual funds with more stable funding are more likely to invest in private firms and that financing rounds with mutual fund participation have stronger redemption, stronger IPO-related rights, and less board representation. These findings are consistent with our conceptual framework.
We examine the hypothesis that flexible work organization involves greater skill requirements and, hence, an increased likelihood of receiving employer provided training. The analysis is based on ...unique linked employer‐employee data from Germany for the years 2012, 2014 and 2016 (12,924 pooled observations from 9,440 employees in 1,903 establishments). Our results confirm that employees are more likely to receive training when their jobs are characterized by greater decision‐making autonomy and task variety, two essential elements of flexibility. Critically, the training associated with workplace flexibility does not simply reflect technology. Skill‐biased organizational change plays its own role. Moreover, we show that the training associated with workplace flexibility is disproportionately oriented toward employees with a greater formal education. We find little evidence of an age or a gender bias of workplace flexibility.
We study the causal effects of downward nominal wage rigidity after a deflationary monetary policy shock using Swiss data on employee‐level contractual wages matched with income and employment from ...social security register data. We exploit the discontinuity around the origin of the wage growth distribution to compare the outcomes of individuals with wage freezes (treatment group) and small wage cuts (control group) before and after an unexpected decision by the Swiss National Bank leading to a 1% decline of the price level. Locally (that is, near the origin of the wage growth distribution), downward nominal wage rigidities cause a 4.4% decline in income and a 0.7 percentage point increase in the probability of unemployment. In the aggregate, income declines by 0.3% and the probability of unemployment increases by 0.05 percentage points.
This study analyses the linkage between the recent rural road development and household welfare, resilience, and economic conditions in Ethiopia. The empirical approach relies on a ...difference-in-differences matching method, taking advantage of a nationally representative household survey and an original road database, both of which are panel data spanning the period 2012-2016. The results of the econometric analysis suggest that Ethiopia's rural road development was associated with a significant increase in household welfare or significant smaller losses in household consumption during the severe droughts. In addition, rural roads in very remote areas were associated with farmers' sales of a larger share of their harvests and higher chance of fertiliser use. Rural road development was also associated with a higher likelihood of earning income from wage employment, particularly for women and youth. Taken together, the results suggest that, by connecting remote communities to markets and the main road network, rural roads have substantially supported the welfare and resilience of rural households in shock-prone Ethiopia.
This study relies on a unique precrisis baseline and five-year follow-up to investigate the effects of emergency school feeding and generalised food distribution (GFD) on children's schooling during ...conflict in Mali. It estimates programme impact on child enrolment, absenteeism, and attainment by using a difference in differences weighted estimator. School feeding led to increases in enrolment by 10 percentage points and to around an additional half-year of completed schooling. Attendance among boys in households receiving GFD, however, declined by about 20 per cent relative to the comparison group. Disaggregating by conflict intensity showed that receipt of any food assistance led to a rise in enrolment mostly in high-intensity conflict areas and that the negative effects of GFD on attendance were also concentrated in the most affected areas. School feeding mostly raised attainment among children in areas not in the immediate vicinity of conflict. Programme receipt triggered adjustments in child labour. School feeding led to lower participation and time spent in work among girls, while GFD raised children's labour, particularly among boys. The educational implications of food assistance should be considered in planning humanitarian responses to bridge the gap between emergency assistance and development by promoting children's education.
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