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Working Paper
Reputation and Investor Activism: A Structural Approach
Swem, Nathan; Johnson, Travis L. (2020-10-15)
We measure the impact of reputation for proxy fighting on investor activism by estimating a dynamic model in which activists engage a sequence of target firms. Our estimation produces an evolving reputation measure for each activist and quantifies its impact on campaign frequency and outcomes. We find that high reputation activists initiate 3.5 times as many campaigns and extract 85% more settlements from targets, and that reputation-building incentives explain 20% of campaign initiations and 19% of proxy fights. Our estimates indicate these reputation effects combine to nearly double the ...
Finance and Economics Discussion Series , Paper 2017-036r1

Working Paper
Sticky inflation and interest rate rules with auction prices
Von zur Muehlen, Peter (1990)
Finance and Economics Discussion Series , Paper 117

Working Paper
Exchange rates, optimal debt composition, and hedging in small open economies
Berrospide, Jose M. (2008)
This paper develops a model of the firm's choice between debt denominated in local currency and that denominated in foreign currency in a small open economy characterized by exchange rate risk and hedging possibilities. The model shows that the currency composition of debt and the level of hedging are endogenously determined as optimal firms' responses to a tradeoff between the lower cost of borrowing in foreign debt and the higher risk of such borrowing due to exchange rate uncertainty. Both the composition of debt and the level of hedging depend on common factors such as foreign exchange ...
Finance and Economics Discussion Series , Paper 2008-18

Working Paper
Conglomeration versus strategic focus: evidence from the insurance industry
Zi, Hongmin; Cummins, J. David; Berger, Allen N.; Weiss, Mary A. (1999)
We use data on U.S. insurance companies to examine the validity of the conglomeration hypothesis versus the strategic focus hypothesis for financial institutions. We distinguish between the hypotheses using profit scope economies, which measures the relative efficiency of joint versus specialized production, taking both costs and revenues into account. The results suggest that the conglomeration hypothesis dominates for some types of financial service providers and the strategic focus hypothesis dominates for other types. This may explain the empirical puzzle of why joint producers and ...
Finance and Economics Discussion Series , Paper 1999-40

Working Paper
The informational content of the embedded deflation option in TIPS
Grishchenko, Olesya V.; Vanden, Joel M.; Zhang, Jianing (2013)
In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The option value exhibits significant time variation that is correlated with periods of deflationary expectations. We use our estimated option values to construct an embedded option price index and an embedded option return index. We then use our embedded option indices as independent variables and examine their statistical and economic significance for explaining the future inflation rate. In almost all of our regressions, the embedded option return index is significant even in ...
Finance and Economics Discussion Series , Paper 2013-24

Working Paper
Happiness maintenance and asset prices
Falato, Antonio (2008)
This paper constructs a simple dynamic asset pricing model which incorporates recent evidence on the influence of immediate emotions on risk preferences. Investors derive direct utility from both consumption and financial wealth and, consistent with the happiness maintenance feature documented by Isen (1999) and others, become more cautious toward their wealth in good times. Mild pro-cyclical changes in risk aversion over wealth cause large pro-cyclical fluctuations in the current price-dividend ratio which, due to general equilibrium restrictions, translate into counter-cyclical variation in ...
Finance and Economics Discussion Series , Paper 2008-19

Working Paper
When is the Fiscal Multiplier High? A Comparison of Four Business Cycle Phases
Pfajfar, Damjan; http://fedora:8080/fcrepo/rest/objects/authors/; Berge, Travis J. (2020-03-27)
We synthesize the recent, at times conflicting, empirical literature regarding whether fiscal policy is more effective during certain points in the business cycle. Evidence of state dependence in the multiplier depends critically on how the business cycle is defined. Estimates of the fiscal multiplier do not change when the unemployment rate is above or below its trend. However, we find that the multiplier is higher when the unemployment rate is increasing relative to when it is decreasing. This result holds using both a long time-series at the U.S. national level and for a panel of U.S. ...
Finance and Economics Discussion Series , Paper 2020-026

Working Paper
Inventory dynamics and business cycles: what has changed?
Zakrajšek, Egon; McCarthy, Jonathan (2003)
Despite the recent patch of sluggish growth, the U.S. economy has experienced a period of remarkable stability since the mid-1980s. One popular explanation attributes the diminished variability of economic activity to information-technology-led improvements in inventory management. Our results, however, indicate that the changes in inventory dynamics since the mid-1980s played a reinforcing---rather than a leading---role in the volatility reduction. Movements in the volatility of manufacturing output over the past three decades almost entirely reflect changes in the variability of the growth ...
Finance and Economics Discussion Series , Paper 2003-26

Working Paper
Term premiums and inflation uncertainty: empirical evidence from an international panel dataset
Wright, Jonathan H. (2008)
This paper provides cross-country empirical evidence on term premia, inflation uncertainty, and their relationship. It has three components. First, I construct a panel of zero-coupon nominal government bond yields spanning ten countries and eighteen years. From these, I construct forward rates and decompose these into expected future short-term interest rates and term premiums, using both statistical methods (an affine term structure model) and using surveys. Second, I construct alternative measures of time-varying inflation uncertainty for these countries, using actual inflation data and ...
Finance and Economics Discussion Series , Paper 2008-25

Working Paper
What does financial volatility tell us about macroeconomic fluctuations?
Yoldas, Emre; Chauvet, Marcelle; Senyuz, Zeynep (2012)
This paper provides an extensive analysis of the predictive ability of financial volatility measures for economic activity. We construct monthly measures of aggregated and industry-level stock volatility, and bond market volatility from daily returns. We model log financial volatility as composed of a long-run component that is common across all series, and a short-run component. If volatility has components, volatility proxies are characterized by large measurement error, which veils analysis of their fundamental information and relationship with the economy. We find that there are ...
Finance and Economics Discussion Series , Paper 2012-09

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