Arbitrage Trading Chen, Yong; Da, Zhi; Huang, Dayong
The Review of financial studies,
04/2019, Letnik:
32, Številka:
4
Journal Article
Recenzirano
We examine net arbitrage trading (NAT) measured by the difference between quarterly abnormal hedge fund holdings and abnormal short interest. NAT strongly predicts stock returns in the cross-section. ...Across ten well-known stock anomalies, abnormal returns are realized only among stocks experiencing large NAT. Exploiting Regulation SHO, which facilitated short selling for a random group of stocks, we present causal evidence that NAT has stronger return predictability among stocks facing greater limits to arbitrage. We also find large returns for anomalies that arbitrageurs chose to exploit despite capital constraints during the 2007–09 financial crisis. We confirm our findings using daily data.
Several recent theories emphasize the negative effects of an aging population on economic growth, either because of the lower labor force participation and productivity of older workers or because ...aging will create an excess of savings over desired investment, leading to secular stagnation. We show that there is no such negative relationship in the data. If anything, countries experiencing more rapid aging have grown more in recent decades. We suggest that this counterintuitive finding might reflect the more rapid adoption of automation technologies in countries undergoing more pronounced demographic changes and provide evidence and theoretical underpinnings for this argument.
Temperature Shocks and Establishment Sales Addoum, Jawad M.; Ng, David T.; Ortiz-Bobea, Ariel
The Review of financial studies,
03/2020, Letnik:
33, Številka:
3
Journal Article
Recenzirano
Combining granular daily data on temperatures across the continental United States with detailed establishment data from 1990 to 2015, we study the causal impact of temperature shocks on ...establishment sales and productivity. Using a large sample yielding precise estimates, we do not find evidence that temperature exposures significantly affect establishment-level sales or productivity, including among industries traditionally classified as “heat sensitive.” At the firm level, we find that temperature exposures aggregated across firm establishments are generally unrelated to sales, productivity, and profitability. Our results support existing findings of a tenuous relation between temperature and aggregate economic growth in rich countries.
Abstract
This paper documents a link between bank concentration and markups in nonfinancial sectors. We exploit concentration-increasing bank mergers and variation in banks’ market shares across ...industries and show that higher credit concentration is associated with higher markups and that high-market-share lenders charge lower loan rates. We argue that this is due to the greater incidence of competing firms sharing common lenders that induce less aggressive product market behavior among their borrowers, thereby internalizing potential adverse effects of higher rates. Consistent with our conjecture, the effect is stronger in industries with competition in strategic substitutes where negative product market externalities are greatest.
We use the introduction of direct flights as an exogenous shock to the travel time between mutual funds and firms to estimate the causal effects of proximity on fund investment decisions and ...performance. We find that a fund invests significantly more in firms that become more proximate following the introduction of direct flights and that these more proximate investments exhibit superior performance. Our findings are robust to including a variety of fixed effects and potential confounders such as firm-level shocks, fund-level shocks, and time trends. Collectively, our results indicate that proximity enhances investors’ ability to acquire value-relevant information about firms.
Monetary Policy and Corporate Debt Structure Lhuissier, Stéphane; Szczerbowicz, Urszula
Oxford bulletin of economics and statistics,
June 2022, Letnik:
84, Številka:
3
Journal Article
Recenzirano
This paper evaluates and compares the effects of conventional and unconventional monetary policies on the corporate debt structure in the United States. It does so by using a vector autoregression in ...which policy shocks are identified through high‐frequency external instruments. Our results show that both monetary policies shift the firms’ composition of external financing, though in a different way. An expansionary conventional (unconventional) monetary policy leads to a rise (decline) in loans and a decline (rise) in debt securities issuance. Our results suggest that unconventional monetary policy operated primarily through a portfolio rebalancing channel, rather than through a bank lending channel.
Entre 1990 et 2015, la plupart des pays en développement ont connu des progrès notables de leur espérance de vie, mais d’ampleur très diverse. Cet article fait le point sur l’évolution de la ...mortalité des enfants (à moins de 5 ans) et de la mortalité adulte (de 15 à 60 ans) dans les 109 pays à bas et moyen revenu de plus d’un million d’habitants. Il met l’accent sur l’évolution des disparités géographiques et de sexe entre pays, et sur les inégalités internes (instruction, niveaux de vie, milieux d’habitat) dans dix pays retenus aux caractéristiques très différentes sur les plans socioéconomique, politique et démographique (Afghanistan, Afrique du Sud, Bolivie, Brésil, Burkina Faso, Chine, Égypte, Inde, Indonésie, Nigeria). Il revisite également la question de la transition épidémiologique et examine plus particulièrement la mortalité par sida et la mortalité maternelle. Les progrès ont bénéficié principalement aux enfants, et souvent (mais pas toujours) aux femmes et aux pays et groupes sociaux les plus défavorisés. Parler de convergence vers une faible mortalité paraît néanmoins prématuré, car en dépit des progrès réalisés, les inégalités entre pays et internes aux pays demeurent conséquentes, et méritent une attention particulière tant des acteurs de la santé publique que des chercheurs.
Le recours à l’évitement fiscal est un phénomène largement documenté dans la littérature économique et comptable, quoique peu d’études traitent de l’évitement fiscal des multinationales canadiennes. ...Cet article dresse un portrait de l’évolution de l’imposition des entreprises canadiennes et de leur recours aux paradis fiscaux. Une évaluation des pertes associées au recours aux paradis fiscaux est proposée.
Les multinationales utilisent différentes méthodes pour réduire, voire se soustraire à la fiscalité. Elles peuvent, entre autres, déplacer leur endettement vers des pays à taux d’imposition élevés.
Elles peuvent aussi ajuster les prix de transferts, qui sont les prix imputés dans les transactions avec leurs filiales étrangères, de manière à transférer des profits vers des pays où le système de taxation est plus avantageux. Enfin, les multinationales ont également la possibilité de délocaliser leurs activités en faveur des juridictions à faible imposition.
La littérature suggère que les entreprises canadiennes entretiennent des relations étroites avec les juridictions à faible imposition. Collins et Shackelford (1995) ont calculé que les entreprises canadiennes ont un taux d’imposition effectif inférieur à celui des États-Unis, du Japon et du Royaume-Uni. Arnold et Wilson (2014) montrent que les autorités du Canada sont réticentes à l’idée d’adopter des mesures restrictives afin de ne pas désavantager les entreprises canadiennes vis-à-vis de ses concurrents internationaux. Hejazi (2007) met en évidence l’importance croissante des paradis fiscaux dans les investissements directs canadiens à l’étranger. Mintz et Smart (2004) montrent que les entreprises canadiennes procèdent à l’évitement fiscal entre les provinces en transférant leurs bénéfices vers des provinces ou des territoires à faible fiscalité.
Différentes sources de données microéconomiques et macroéconomiques sont mobilisées. Il ressort de cette étude que le taux d’imposition effectif des entreprises canadiennes se situe largement en deçà du taux d’imposition statutaire et qu’il n’a cessé de décroître au cours des 35 dernières années. La tendance baissière du taux d’imposition s’observe pour les petites et pour les grandes entreprises. Cependant, les niveaux et l’évolution des taux d’imposition effectifs sont assez hétérogènes entre secteurs d’activité. Les données montrent ensuite que la part des bénéfices générés à l’étranger par les entreprises canadiennes a plus que doublé au cours des 30 dernières années. Par ailleurs, les paradis fiscaux abritent environ 25 % des investissements canadiens à l’étranger.
Although many studies point to the significant influence of collective bargaining (CB) institutions on earnings inequalities, evidence on how these institutions shape poverty rates across developed ...economies remains surprisingly scarce. This paper explicitly addresses the relationship between CB systems and working‐age poverty rates before and after taxes and transfers in 24 developed countries over the period 1990–2015. Our results show that countries with a more centralized CB system, a more extended bargaining coverage rate and/or a higher trade union density display significantly lower poverty rates. However, these results only hold in a post‐tax benefit scenario. Controlling for country and time fixed effects and a wide range of covariates, our estimates indeed suggest that the poverty‐reducing effect of CB institutions stems from the political strength of trade unions in promoting public social spending rather than from any direct effect on earnings inequalities. Sensitivity tests for endogeneity and overlapping samples support this conclusion.
Abstract
This paper analyses the importance of fiscal mechanisms for regional stabilization and redistribution in Switzerland. Switzerland is particularly interesting in this context because it ...features both a high level of fiscal autonomy for Swiss cantons, and explicit fiscal transfers between the federal government and the cantons. Based on a panel data analysis, we study the redistributive and stabilizing properties of fiscal equalization transfers, federal government transfers in general, direct federal taxation, the unemployment insurance scheme, and the first pillar pension scheme. We find a combined redistributive effect of these mechanisms of about 20%. This means that long-run income differentials of 1 Swiss franc between cantons translate into differences of long-run disposable income after taxes and transfers of about 80 cents. The combined contemporary stabilization effect with respect to short-term income fluctuations amounts, at best, to 10%, which is a small effect compared to previous findings for other countries.
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