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Starting with the aim of an actual contract implementation, this thesis contributes to the supply chain contracting literature at various levels in vertically differentiated settings.
This paper examines the economic consequences of SFAS 158 which requires firms to recognize the full funded status of defined benefit pension plans in the balance sheet by investigating: (1) market reactions to relevant rulemaking events; (2) managers' changes in making estimates for pension accounting and managing plan assets; and (3) firms' lobbying behavior against the regulatory change in anticipation of the consequences.
Intensive government regulation over the banking industry did not begin in the United States until the founding of the Federal Reserve in 1914. Before that, commercial banks run a set of community-based self-governance, called the clearing house, throughout the country. The clearing house organized collective action and facilitated mutual assistance during financial crises; it imposed self-discipline and urged prudential operations during regular time.
The buyout wave of the years 2004-2007, unprecedented in both number and value of transactions, motivates this study of the pricing of LBO risk in credit spreads. This work studies the effect of LBOs on the cross-sectional variation in corporate spreads, and, subsequently, discusses and proposes incorporation of this risk in credit pricing models.
This collection of papers analyzes the versatility and predictive power of survey expectations data in asset pricing and macroeconomic forecasting. The first paper, Using Sentiment Surveys to Predict GDP Growth and Stock Returns sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data.
Warmth and competence have been recognized as the two fundamental dimensions of social perception. Therefore, it seems likely that evaluations of an authority figure's fairness would also rely on information about warmth and competence. Yet the role these two traits play in assessing the fairness of others has thus far been neglected. This research uses the framework of gender stereotypes to connect the person perception and justice literatures, exploring how warmth and competence impart information about interactional and procedural fairness, respectively.
This dissertation is organized in three chapters. In the first chapter, which is a joint work with Charles W. Calomiris and Raymond Fisman (Forthcoming at the Journal of Financial Economics), we document the market response to an unexpected announcement of proposed sales of government-owned shares in China. In contrast to the "privatization premium" found in earlier work, we find a negative effect of government ownership on returns at the announcement date and a symmetric positive effect in response to the announced cancellation of the government sell-off.
Chapter 1 proposes a two-country general equilibrium model with external habits and home-biased preferences that addresses a number of international finance puzzles. Specifically, the model reconciles the high degree of international risk sharing implied by relatively smooth exchange rates with the modest cross-country consumption growth correlations seen in the data, resolving the Brandt, Cochrane and Santa-Clara (2006) puzzle. Furthermore, the model matches the empirically observed low correlation between exchange rate changes and international consumption growth rate differentials.
This dissertation examines the financing frictions that private and public firms face. There is little disagreement that market imperfections exist and there is extensive theoretical literature arguing that external financing is costly. This dissertation contributes to the empirical literature that examines the magnitude of financing frictions. The first and second chapters study the financial constraints of private firms by exploiting a tax reform in Greece that altered the tax for family successions.
This dissertation is comprised of three papers that discuss information and incentive issues in the securitization process. All three papers are in draft form and the final published versions may differ significantly from those included here. Two of the papers are coauthored, and any errors in analysis or interpretation of results are completely my own. Each paper relies to some extent on Lewtan Technologies ABSNet database covering asset-backed security (ABS) deals issued between 1995 and 2009.