LIF-SAFE Working Papers: Recent submissions
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Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models
(2021-01-22)"Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test ... -
Machine Learning Sentiment Analysis, Covid-19 News and Stock Market Reactions
(2020-09-15)The possibility to investigate the impact of news on stock prices has observed a strong evolution thanks to the recent use of natural language processing (NLP) in finance and economics. In this paper, we investigate COVID-19 ... -
The Economic Consequences of Algorithmic Discrimination: Theory and Empirical Evidence
(2020-12-09)Using a novel theoretical framework and data from a comprehensive field study we conducted over a period of three years, we outline the causal effects of algorithmic discrimination on economic efficiency and social welfare ... -
On the (ir)relevance of monetary incentives in risk preference elicitation experiments
(2020-08-31)Incentivized experiments in which individuals receive monetary rewards according to the outcomes of their decisions are regarded as the gold standard for preference elicitation in experimental economics. These task-related ... -
The COVID-19 Shock and Equity Shortfall: Firm-Level Evidence from Ital
(2020-10-29)We employ a representative sample of 80,972 Italian firms to forecast the drop in profits and the equity shortfall triggered by the COVID-19 lockdown. A 3-month lockdown generates an aggregate yearly drop in profits of ... -
Inside the ESG Ratings: (Dis)agreement and Performance
(2020-07-31)We analyze the ESG rating criteria used by prominent agencies and show that there is a lack of a commonality in the definition of ESG (i) characteristics, (ii) attributes and (iii) standards in defining E, S and G components. ... -
Accounting for Financial Stability: Lessons from the Financial Crisis and Future Challenges
(2020-07-08)This paper examines banks’ disclosures and loss recognition in the financial crisis and identifies several core issues for the link between accounting and financial stability. Our analysis suggests that, going into the ... -
Back to the Future: A Sovereign Debt Standstill Mechanism IMF Article VIII, Section 2 (b)
(2020-06-22)This article provides a proposal to use IMF Article VIII, Section 2 (b) to establish a binding mechanism on private creditors for a sovereign debt standstill. The proposal builds on the original idea by Whitney Deveboise ... -
How did we do? The Impact of Relative Performance Feedback on Intergroup Hostilities
(2020-06-23)Using a novel experimental design, I test how the exposure to information about a group’s relative performance causally affects the members’ level of identification and thereby their propensity to harm affiliates of ... -
Consuming Dividends
(2020-05-01)This paper studies why investors buy dividend-paying assets and how they time their consumption accordingly. We combine administrative bank data linking customers’ consumption transactions and income to detailed portfolio ... -
Exposure to the COVID-19 Stock Market Crash and its Effect on Household Expectations
(2020-05-21)We survey a representative sample of US households to study how exposure to the COVID-19 stock market crash affects expectations and planned behavior. Wealth shocks are associated with upward adjustments of expectations ... -
EU Agencies in Banking and Energy Between Institutional and Policy Centralisation
(2020-05-28)This working paper suggests to analyse agencification as a double process of institutional and policy centralisation. To that end, it develops a categorisation of agencies that incorporates these two dimensions. More ... -
Who Are the Bitcoin Investors? Evidence from Indirect Cryptocurrency Investments
(2019-12-10)Cryptocurrencies have received growing attention from individuals, the media, and regulators. However, little is known about the investors whom these financial instruments attract. Using administrative data, we describe ... -
Does Monetary Policy Impact International Market Co-Movements?
(2020-05-11)We show that FED policy announcements lead to a significant increase in international comovements in the cross-section of equity and in particular sovereign CDS markets. The relaxation of unconventionary monetary policies ... -
Collateral Eligibility of Corporate Debt in the Eurosystem
(2020-04-01)We study how the Eurosystem Collateral Framework for corporate bonds helps the European Central Bank (ECB) fulfill its policy mandate. Using the ECBs eligibility list, we identify the first inclusion date of both bonds and ... -
Higher-Order Income Risk over the Business Cycle: A Parametric Approach
(2020-03-24)We extend the canonical income process with persistent and transitory risk to shock distributions with left-skewness and excess kurtosis, to which we refer as higher- order risk. We estimate our extended income process by ... -
Financial Literacy and Self-Control in FinTech: Evidence from a Field Experiment on Online Consumer Borrowing
(2019-10-14)We report the results of a longitudinal intervention with students across five universities in China designed to reduce online consumer debt. Our research design allocates individuals to either a financial literacy treatment, ... -
The Trading Response of Individual Investors to Local Bankruptcies
(2020-03-20)We use data from a German online brokerage and a survey to show that retail investors sharply reduce risk-taking in response to nearby firm bankruptcies, which are not predictive of returns. The effects on trading are ... -
Risk Pooling, Leverage, and the Business Cycle
(2020-02-25)This paper studies the impact of financial sector size and leverage on business cycles and risk-free rates dynamics. We model a general equilibrium productive economy where financial intermediaries provide costly risk ... -
High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?
(2020-03-01)We show that High Frequency Traders (HFTs) are not beneficial to the stock market during flash crashes. They actually consume liquidity when it is most needed, even when they are rewarded by the exchange to provide immediacy. ...