scholarly journals Understanding Mortgage Spreads

2019 ◽  
Vol 32 (10) ◽  
pp. 3799-3850 ◽  
Author(s):  
Nina Boyarchenko ◽  
Andreas Fuster ◽  
David O Lucca
Keyword(s):  
Risk Factors ◽  
Time Series ◽  
The United States ◽  
Pricing Model ◽  
Cross Sectional ◽  
Yield Spreads ◽  
Oxford University ◽  
Mortgage Backed Securities ◽  
Editorial Decision ◽  
Published Paper

Abstract Because most mortgages in the United States are securitized in agency mortgage-backed securities (MBS), yield spreads on MBS are a key determinant of homeowners’ funding costs. We study variation in MBS spreads in the time series and across securities and document that MBS spreads show a pronounced cross-sectional smile with respect to the securities’ coupon rates. We present a new pricing model that uses “stripped” MBS prices to identify the contribution of non-interest-rate prepayment risk to spreads and find that this risk explains the smile, whereas the time-series spread variation is mostly accounted for by nonprepayment risk factors. Received March 30, 2015; editorial decision November 21, 2018 by Editor Leonid Kogan. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

scholarly journals Contingent Capital Trigger Effects: Evidence from Liability Management Exercises

2019 ◽  
Vol 8 (2) ◽  
pp. 235-259 ◽  
Author(s):  
Boris Vallée
Keyword(s):  
Time Series ◽  
Cross Section ◽  
Web Site ◽  
Regulatory Capital ◽  
Oxford University ◽  
Contingent Capital ◽  
Liability Management ◽  
Editorial Decision ◽  
Debt Holders ◽  
Published Paper

AbstractThis paper studies liability management exercises (LME) by banks, which have comparable regulatory capital effects than contingent capital triggers. LMEs are concentrated on low capitalization situations, both in the cross-section and in the time series and are frequently associated with equity issuances. These exercises prove effective at improving bank capitalization levels. The market reaction to LMEs is positive and mostly accrues to debt holders. These findings strengthen the case for innovative liabilities securities as a tool to improve bank resilience.Received February 8, 2019; editorial decision May 16, 2019 by Editor Andrew Ellul. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

scholarly journals Nighttime Lights and County-Level Economic Activity in the United States: 2001 to 2019

2021 ◽  
Vol 13 (14) ◽  
pp. 2741
Author(s):  
John Gibson ◽  
Geua Boe-Gibson
Keyword(s):  
Time Series ◽  
Economic Activity ◽  
Validation Studies ◽  
National Level ◽  
Predictive Performance ◽  
The United States ◽  
Cross Sectional ◽  
Nation States ◽  
Nighttime Lights ◽  
Defense Meteorological Satellite Program

Nighttime lights (NTL) are a popular type of data for evaluating economic performance of regions and economic impacts of various shocks and interventions. Several validation studies use traditional statistics on economic activity like national or regional gross domestic product (GDP) as a benchmark to evaluate the usefulness of NTL data. Many of these studies rely on dated and imprecise Defense Meteorological Satellite Program (DMSP) data and use aggregated units such as nation-states or the first sub-national level. However, applied researchers who draw support from validation studies to justify their use of NTL data as a proxy for economic activity increasingly focus on smaller and lower level spatial units. This study uses a 2001–19 time-series of GDP for over 3100 U.S. counties as a benchmark to examine the performance of the recently released version 2 VIIRS nighttime lights (V.2 VNL) products as proxies for local economic activity. Contrasts were made between cross-sectional predictions for GDP differences between areas and time-series predictions of GDP changes within areas. Disaggregated GDP data for various industries were used to examine the types of economic activity best proxied by NTL data. Comparisons were also made with the predictive performance of earlier NTL data products and at different levels of spatial aggregation.

scholarly journals Multinational Banks and Supranational Supervision

2018 ◽  
Vol 32 (8) ◽  
pp. 2997-3035 ◽  
Author(s):  
Giacomo Calzolari ◽  
Jean-Edouard Colliard ◽  
Gyongyi Lóránth
Keyword(s):  
Organizational Structure ◽  
Organizational Structures ◽  
Unintended Consequences ◽  
Coordination Failures ◽  
The Public ◽  
Oxford University ◽  
Multinational Banks ◽  
Editorial Decision ◽  
Public Costs ◽  
Published Paper

Abstract Supervision of multinational banks (MNBs) by national supervisors suffers from coordination failures. We show that supranational supervision solves this problem and decreases the public costs of an MNB’s failure, taking its organizational structure as given. However, the MNB strategically adjusts its structure to supranational supervision. It converts its subsidiary into a branch (or vice versa) to reduce supervisory monitoring. We identify the cases in which this endogenous reaction leads to unintended consequences, such as higher public costs and lower welfare. Current reforms should consider that MNBs adapt their organizational structures to changes in supervision. Received January 9, 2017; editorial decision September 15, 2018 by Editor Philip Strahan. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

scholarly journals The Effects of Losing a Business Group Affiliation

2018 ◽  
Vol 32 (8) ◽  
pp. 3036-3074 ◽  
Author(s):  
Borja Larrain ◽  
Giorgo Sertsios ◽  
Francisco Urzúa I
Keyword(s):  
Business Group ◽  
The Other ◽  
Group Affiliation ◽  
Oxford University ◽  
Capital Misallocation ◽  
Editorial Decision ◽  
Business Group Affiliation ◽  
Industry Peers ◽  
Published Paper ◽  
Identification Strategy

Abstract We propose a novel identification strategy for estimating the effects of business group affiliation. We study two-firm business groups, some of which split up during the sample period, leaving some firms as stand-alone firms. We instrument for stand-alone status using shocks to the industry of the other group firm. We find that firms that become stand-alone reduce leverage and investment. Consistent with collateral cross-pledging, the effects are more pronounced when the other firm had high tangibility. Consistent with capital misallocation in groups, the reduction in leverage is stronger in firms that had low (high) profitability (leverage) relative to industry peers. Received July 3, 2017; editorial decision April 7, 2018 by Editor Wei Jiang. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

scholarly journals Noncognitive Abilities and Financial Distress: Evidence from a Representative Household Panel

2019 ◽  
Vol 32 (10) ◽  
pp. 3884-3919 ◽  
Author(s):  
Gianpaolo Parise ◽  
Kim Peijnenburg
Keyword(s):  
Financial Distress ◽  
Web Site ◽  
Income Shocks ◽  
Oxford University ◽  
Editorial Decision ◽  
Differential Exposure ◽  
Published Paper ◽  
Oxford University Press ◽  
Low Ability

AbstractThis paper provides evidence of how noncognitive abilities affect financial distress. In a representative panel of households, we find that people in the bottom quintile of noncognitive abilities are 10 times more likely to experience financial distress than those in the top quintile. We provide evidence that this relation largely arises from worse financial choices and lack of financial insight by low-ability individuals and reflects differential exposure to income shocks only to a lesser degree. We mitigate endogeneity concerns using an IV approach and an extensive set of controls. Implications for policy and finance research are discussed.Received September 24, 2017; editorial decision September 26, 2018 by Editor Stijn Van Nieuwerburgh. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

scholarly journals Identifying the Most Common CrossFit Injuries in a Variety of Athletes

2020 ◽  
Vol 9 ◽  
pp. 117957271989706
Author(s):  
Kirill Alekseyev ◽  
Alex John ◽  
Andrew Malek ◽  
Malcolm Lakdawala ◽  
Nikhil Verma ◽  
...  
Keyword(s):  
Risk Factors ◽  
Large Scale ◽  
The United States ◽  
Cross Sectional Study ◽  
Musculoskeletal Injuries ◽  
Online Forums ◽  
Cross Sectional ◽  
Advanced Level ◽  
Expertise Level ◽  
Associated Risk Factors

Background: CrossFit is an increasingly popular, rapidly growing exercise regimen. Few studies have evaluated CrossFit-associated musculoskeletal injuries on a large scale. This study explores such injuries and associated risk factors in detail. Objective: To identify the most common musculoskeletal injuries endured during CrossFit training among athletes at different levels of expertise. Design: Survey-based retrospective cross-sectional study. Setting: Distribution at CrossFit gyms in the United States and internationally. Also published on active online forums. Participants: A total of 885 former and current CrossFit athletes. Methods: Institutional review board-approved 33-question Web-based survey focused on CrossFit injuries and associated risk factors. Survey submissions were accepted for a period of 6 months. Main outcome measurements: Specific injuries with associated workouts, risk factors that affected injury including (1) basic demographics, (2) regional differences in reported injuries, (3) training intensity, and (4) expertise level at time of injury. Results: Of the 885 respondents, 295 (33.3%) were injured. The most common injuries involved the back (95/295, 32.2%) and shoulder (61/295, 20.7%). The most common exercises that caused injury were squats (65/295, 22.0%) and deadlifts (53/295, 18.0%). Advanced-level (64/295, 21.7%) athletes were more significantly injured than beginner-level (40/295, 13.6%) athletes. International participants were 2.2 times more likely than domestic US participants to suffer injury. Individuals with 3+ years of CrossFit experience were 3.3 times more likely to be injured than those with 2 or less years of experience. Participants who trained for 11+ h/week were significantly more likely to be injured than those who trained less than or equal to 10 h/week. Conclusions: As CrossFit becomes more popular, it is important to monitor the safety of its practitioners. Further studies are needed to explore how to lower this injury prevalence of 33.3%. Areas to focus on include factors that have caused the regional (international vs US states) differences, level of expertise/experience differences (advanced level vs intermediate and beginner levels), and stretching routine modifications.

scholarly journals Testing Beta-Pricing Models Using Large Cross-Sections

2019 ◽  
Vol 33 (6) ◽  
pp. 2796-2842 ◽  
Author(s):  
Valentina Raponi ◽  
Cesare Robotti ◽  
Paolo Zaffaroni
Keyword(s):  
Cross Sections ◽  
Risk Premia ◽  
Expected Returns ◽  
Firm Characteristics ◽  
Pricing Models ◽  
Cross Sectional ◽  
Misspecified Models ◽  
Oxford University ◽  
Fama French Factors ◽  
Published Paper

Abstract We propose a methodology for estimating and testing beta-pricing models when a large number of assets is available for investment but the number of time-series observations is fixed. We first consider the case of correctly specified models with constant risk premia, and then extend our framework to deal with time-varying risk premia, potentially misspecified models, firm characteristics, and unbalanced panels. We show that our large cross-sectional framework poses a serious challenge to common empirical findings regarding the validity of beta-pricing models. In the context of pricing models with Fama-French factors, firm characteristics are found to explain a much larger proportion of variation in estimated expected returns than betas. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

Equity Is Cheap for Large Financial Institutions

2020 ◽  
Vol 33 (9) ◽  
pp. 4231-4271 ◽  
Author(s):  
Priyank Gandhi ◽  
Hanno Lustig ◽  
Alberto Plazzi
Keyword(s):  
Asset Pricing ◽  
Financial Crises ◽  
Capital Regulation ◽  
Pricing Model ◽  
Asset Pricing Model ◽  
Oxford University ◽  
Rare Disasters ◽  
Country Characteristics ◽  
Nonfinancial Firms ◽  
Published Paper

Abstract Across a wide panel of countries, the top-10% of financial stocks on average account for over 20% of a country’s market capitalization but earn on average significantly lower returns than do nonfinancial firms of the same size and risk exposures. In a bailout-augmented, rare disasters asset pricing model, the spread in risk-adjusted returns between large and small institutions depends on country characteristics that determine the likelihood of bailouts. Consistent with this model, we find larger spreads in countries with large and interconnected financial sectors, weaker capital regulation and corporate governance, and fiscally stronger governments. Valuation gaps increase in anticipation of financial crises. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

scholarly journals Auto Credit and the 2005 Bankruptcy Reform: The Impact of Eliminating Cramdowns

2019 ◽  
Vol 32 (12) ◽  
pp. 4734-4766 ◽  
Author(s):  
Rajashri Chakrabarti ◽  
Nathaniel Pattison
Keyword(s):  
Interest Rates ◽  
Strong Evidence ◽  
Web Site ◽  
Causal Effect ◽  
Oxford University ◽  
Editorial Decision ◽  
Historical Variation ◽  
The Impact ◽  
Published Paper ◽  
Rule Out

Abstract Auto lenders were perhaps the biggest winners of the 2005 Bankruptcy Reform, as Chapter 13 bankruptcy filers can no longer “cramdown” the amount owed on recent auto loans. We estimate the causal effect of this anticramdown provision on the price and quantity of auto credit. Exploiting historical variation in states’ usage of Chapter 13 bankruptcy, we find strong evidence that eliminating cramdowns decreased interest rates and some evidence that loan sizes increased among subprime borrowers. The decline in interest rates is persistent and is robust to a battery of sensitivity checks. We rule out other reform changes as possible causes. Received September 29, 2016; editorial decision January 15, 2019 by Editor Philip Strahan. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

scholarly journals Socioeconomic Status and Macroeconomic Expectations

2019 ◽  
Vol 33 (1) ◽  
pp. 395-432 ◽  
Author(s):  
Sreyoshi Das ◽  
Camelia M Kuhnen ◽  
Stefan Nagel
Keyword(s):  
Socioeconomic Status ◽  
Stock Market ◽  
Durable Goods ◽  
Low Ses ◽  
Market Returns ◽  
Stock Market Returns ◽  
Oxford University ◽  
Editorial Decision ◽  
Business Conditions ◽  
Published Paper

Abstract We show that individuals’ macroeconomic expectations are influenced by their socioeconomic status (SES). People with higher income or higher education are more optimistic about future macroeconomic developments, including business conditions, the national unemployment rate, and stock market returns. The spread in beliefs between high- and low-SES individuals diminishes significantly during recessions. A comparison with professional forecasters and historical data reveals that the beliefs wedge reflects excessive pessimism on the part of low-SES individuals. SES-driven expectations help explain why higher-SES individuals are more inclined to invest in the stock market and more likely to consider purchasing homes, durable goods, or cars. Received November 13, 2017; editorial decision February 12, 2019 by Editor Wei Jiang. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

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