We propose a new measure of financial intermediary constraints based on how intermediaries manage their tail risk exposures. Using data for the trading activities in the market of deep ...out-of-the-money index put options, we identify periods when the variations in the net amount of trading between financial intermediaries and public investors are likely to be mainly driven by shocks to intermediary constraints. We then infer tightness of intermediary constraints from the quantities of option trading. A tightening of intermediary constraints according to our measure is associated with increasing option expensiveness, higher risk premia, deteriorating funding liquidity, and broker-dealer deleveraging.
Understanding FX Liquidity Karnaukh, Nina; Ranaldo, Angelo; Söderlind, Paul
The Review of financial studies,
11/2015, Letnik:
28, Številka:
11
Journal Article
Recenzirano
Odprti dostop
We provide a comprehensive study of the liquidity of spot foreign exchange (FX) rates over more than two decades and a large cross-section of currencies. First, we show that FX liquidity can be ...accurately measured with daily and readily available data. Second, we demonstrate that FX liquidity declines with funding constraints and global risk, supporting theoretical models relating funding and market liquidity. In these distressed circumstances, liquidity tends to evaporate more for developed and riskier currencies. Finally, we show stronger comovements of FX liquidities in distressed markets, especially when funding is constrained, volatility is high, and FX speculators incur losses.
We document that individuals who grow up in high firm density areas are more likely to become entrepreneurs, given firm density in their current location, and to run businesses in the sector with the ...highest density when young. Firm density at an entrepreneur’s young age drives current firm profitability and is more important than current density for business performance. Results hold in a sample of movers, which allows addressing endogeneity concerns. These results are consistent with entrepreneurial skills being partly learnable through social contacts. Accordingly, entrepreneurs who grow up in high firm density areas adopt better managerial practices.
This paper considers an alternate dimension of government institutions associated with the separation of powers between government and its central bank. A more independent central bank is consistent ...with greater institutional quality and constraints on government. We propose that central bank independence influences the prevalence of the shadow, or underground, economy. Using cross‐country panel data for over 100 nations over the period 1991 to 2012, the results from instrumental variables techniques show that central bank independence curbs underground economic activity. Furthermore, considering different dimensions of independence, we find that independence related to central bank CEO, policy formation, and central bank lending are effective at checking the shadow sector. Overall, these findings are robust to a different measure of the underground economy, correcting for the potential influence of outliers, controlling for the impact of additional factors, accounting for heterogeneity related to the level of development, and considering the heterogeneity related to the prevalence of the shadow sector. The main implication of the results is that nations seeking to reduce the prevalence of the underground economy would benefit from policies that promote central bank independence.
Abstract
We randomly assigned 115 primary schools in Bangladesh to one of two settings: children studying in groups with friends and children studying in groups with peers. The groups consisted of ...four people with similar average cognitive abilities and household characteristics. While the achievement of male students was not affected by the group assignment, low-ability females with friends outperformed low-ability females working with peers by roughly 0.4 standard deviations of the test score distribution. This is not due to the fact that friends tend to be of the same gender or to a higher frequency of interactions among friends.
Granularity of Corporate Debt Choi, Jaewon; Hackbarth, Dirk; Zechner, Josef
Journal of financial and quantitative analysis,
06/2021, Letnik:
56, Številka:
4
Journal Article
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We study whether firms spread out debt-maturity dates, which we call granularity of corporate debt. In our model, firms that are unable to roll over expiring debt need to liquidate assets. If ...multiple small asset sales are less inefficient than a single large one, it can be optimal to diversify debt rollovers across time. Using a large sample of corporate bond issuers during the 1991–2012 period, we establish novel stylized facts and evidence consistent with our model’s predictions. There is substantial heterogeneity (i.e., firms have both concentrated and dispersed debt structures). Debt maturities are more dispersed for larger and more mature firms and for firms with better investment opportunities, higher leverage, and lower profitability. During the recent financial crisis, firms with valuable investment opportunities implemented more dispersed maturity structures. Finally, firms manage granularity actively and adjust toward target levels.
Abstract
We study the effect of parenting daughters on attitudes towards gender norms in the UK; specifically, attitudes towards the traditional male breadwinner norm in which it is the husband’s ...role to work and the wife’s to stay at home. We find robust evidence that rearing daughters decreases fathers’ likelihood to hold traditional attitudes. This result is driven by fathers of school-aged daughters, for whom the effects are robust to the inclusion of individual fixed effects. Our estimates suggest that fathers’ probability to support traditional gender norms declines by approximately 3%age points (8%) when parenting primary school-aged daughters and by 4%age points (11%) when parenting secondary school-aged daughters. The effect on mothers’ attitudes is generally not statistically significant. These findings are consistent with exposure and identity theories. We conclude that gender norm attitudes are not stable throughout the life-course and can significantly be shaped by adulthood experiences.
We characterize linkages between average returns calculated at different horizons. Theoretically, when stocks incorporate information slowly, average short-horizon returns are downward biased. ...Buy-and-hold strategies can amplify the effect. In contrast, existing theories analyze price noises that are independent of fundamentals, and buy-and-hold portfolio returns are unaffected. We document horizon effects as large as 10% annualized in daily and monthly style portfolios and international indices. Slow reaction to market information, identified by gradually declining lagged betas, is an important cause. These findings have natural consequences for performance evaluation.
In addition to multilateral trade agreements under the World Trade Organization (WTO), the world has seen a remarkable proliferation of regional trade agreements (RTAs) in the last two decades. This ...study investigates whether these multilateral and regional trade institutions increase food trade and bring the world into a freer flow of food. The gravity model of international trade is used for the empirical analysis. The model is developed in a large panel data setting and attempted to address some potential problems in the estimations including multilateral trade resistances, zero trade values and endogeneity. The results suggest that both the WTO and RTAs have delivered significant positive effects on trade among the participant countries, but not food. Only RTAs are found to have increased food trade among the participant countries. However, although on average the WTO is found to have negative implications on food trade, it facilitates the developing countries more than the developed countries.
This paper provides two indicators that measure: (i) offshoring potentials (cross‐country geographical relocation) and (ii) outsourcing potentials (organisational relocation) separately at the level ...of jobs, occupations, tasks and industries. We use four waves of the BIBB/BAuA Labour Force Survey in Germany and apply principal component analysis based on a large set of potential determinants of offshoring and outsourcing derived from the literature. Our results show significant variation across these levels in the determinants of both dimensions. We provide a comprehensive empirical classification of the determinants of how easily jobs can be offshored and outsourced. This can serve as a basis for further research to investigate the economic effects of job offshoreability.
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