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Conference Paper
The effect of a banking crisis on bank-dependent borrowers
How does the banking sector?s financial health affect bank-dependent borrowers? performance? We use the exogenous shock to U.S. banking system during the Russian crisis of Fall 1998 as a natural experiment to separate the effect of borrower?s demand of credit from the bank?s ability to supply credit and estimate the effect of U.S. bank?s financial health on the U.S. borrower?s stock-market performance. In an event window of 16 days starting with the Russian sovereign-debt default and ending with the flight of capital from Brazil, a period characterized with significant adverse shocks to the ...
Working Paper
Firm-Level Input Price Changes and Their Effects: A Deep Learning Approach
We develop firm-level measures of input and output price changes using textual analysis of earnings calls. We establish five facts: (1) Input prices increase (decrease) at the median firm once every seven (30) months. (2) Input price changes contain an equal blend of aggregate and firm-specific components. (3) A firm's stock price experiences a –1.15 percent return when our input price change measure is in the top tercile of price increases. (4) Our input price change measure predicts future changes in the cost of goods sold. (5) Firms pass through input price changes to output prices in ...