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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 study investigates the effect of information asymmetry between managers and outsiders on the use of accounts receivable in financing the firm's operations. The information impounded in receivables pertains to the firm's customers rather than the firm and therefore differs from the information embedded in other assets. The unique information content of accounts receivable makes it a likely candidate to use as a financing tool for highly information asymmetric firms.
Bicultural individuals vary in the degree to which their two cultural identities are integrated--Bicultural Identity Integration (BII). Studies of social judgment find that BII affects how biculturals respond to cultural cues. Whereas biculturals with integrated cultural identities (high BIIs) assimilate to cued cultural norms, those with less integrated cultural identities (low BIIs) contrast against it. I investigated this pattern in decision making and behavior. I used different priming methods to elucidate the psychological process underlying the differential shifts to cultural cues.
This dissertation is concerned with empirical evidence on the pricing of risky assets. The first chapter asks whether the surge in risk spreads during the recent financial crisis owes to credit or liquidity problems. To address this question, I form new credit and liquidity risk measures and then use these to decompose interest rate spreads into credit and liquidity components.
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 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.
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.
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.
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.