LIF-SAFE Working Papers: Recent submissions
Anzeige der Dokumente 81-100 von 334
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Job Loss Expectations, Durable Consumption and Household Finances: Evidence from Linked Survey Data
(2019-03-01)Job security is important for durable consumption and household savings. Using surveys, workers express a probability that they will lose their job in the next 12 months. In order to assess the empirical content of these ... -
High-Frequency Trading and Price Informativeness
(2019-03-09)We study how stock price informativeness changes with the presence of high-frequency trading (HFT). Our estimate is based on the staggered start of HFT participation in a panel of international exchanges. With HFT presence ... -
High-Frequency Trading and Price Informativeness
(2019-03-01)We study how the informativeness of stock prices changes with the presence of high-frequency trading (HFT). Our estimate is based on the staggered start of HFT participation in a panel of international exchanges. With HFT ... -
Designated Market Makers: Competition and Incentives
(2020-03-30)Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE Euronext Paris, we show that an exogenous increase in competition among DMMs leads to a significant ... -
Paying for Market Liquidity: Competition and Incentives
(2019-02-01)Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE Euronext Paris, we show that an exogenous increase in competition among DMMs leads to a significant ... -
What Drives Banks' Geographic Expansion? The Role of Locally Non-Diversifiable Risk
(2019-03-06)We show that banks that are facing relatively high locally non-diversifiable risks in their home region expand more across states than banks that do not face such risks following branching deregulation in the United States ... -
Smoking Hot Portfolios? Self-Control and Investor Decisions
(2019-09-01)Self-control failure is among the major pathologies (Baumeister et al. (1994)) affecting individual investment decisions which has hardly been measurable in empirical research. We use cigarette addiction identified from ... -
Smoking Hot Portfolios? Self-Control and Investor Decisions
(2019-03-01)Self-control failure is among the major pathologies (Baumeister et al. (1994)) affecting individual investment decisions which has hardly been measurable in empirical research. We use cigarette addiction identified from ... -
High-Dimensional Sparse Financial Networks through a Regularised Regression Model
(2019-02-12)"We propose a shrinkage and selection methodology specifically designed for network inference using high dimensional data through a regularised linear regression model with Spike-and-Slab prior on the parameters. The ... -
Professional Networks and their Coevolution with Executive Careers: Evidence from Europe and North America
(2019-02-04)This paper examines how networks of professional contacts contribute to the development of the careers of executives of North American and European companies. We build a dynamic model of career progression in which career ... -
Monetary Policy and the Cost of Wage Rigidity: Evidence from the Stock Market
(2018-01-01)Using a unique confidential contract level dataset merged with firm-level asset price data, we find robust evidence that firms' stock market valuations and employment levels respond more to monetary policy announcements ... -
Financial Constraints and Corporate EnvironmentalResponsibility
(2018-09-13)This paper analyzes the effect of financial constraints on firms' corporate social responsibility. Exploiting heterogeneity in firms' exposure to a monetary policy shock in the U.S., which reduced financial constraints for ... -
Life Insurance and Demographic Change: An Empirical Analysis of Surrender Decisions Based on Panel Data
(2016-12-01)Households buy life insurance as part of their liquidity management. The option to surrender such a policy can serve as a buffer when a household faces a liquidity need. In this study, we investigate empirically which ... -
Macroprudential Policy in the Lab
(2018-12-20)Higher capital ratios are believed to improve system-wide financial stability through three main channels: (i) higher loss-absorption capacity, (ii) lower moral hazard, (iii) stabilization of the financial cycle if capital ... -
Much Ado About Nothing: A Study of Differential Pricing and Liquidity of Short and Long Term Bonds
(2018-11-01)Are yields of long-maturity bonds distorted by demand pressure of clientele investors, regulatory effects, or default, flight-to-safety or liquidity premiums? Using data on German nominal bonds between 2005 and 2015, we ... -
Explaining Intra-Monthly Consumption Patterns: The Timing of Income or the Timing of Consumption Commitments?
(2018-11-01)A number of recent studies have concluded that consumer spending patterns over the month are closely linked to the timing of income receipt. This correlation is interpreted as evidence of hyperbolic discounting. I re-examine ... -
Statistical Inferences for Price Staleness
(2018-11-06)Asset transaction prices sampled at high frequency are much staler than one might expect in the sense that they frequently lack new updates showing zero returns. In this paper, we propose a theoretical framework for ... -
The Pitfalls of Central Clearing in the Presence of Systematic Risk
(2018-11-08)Asset transaction prices sampled at high frequency are much staler than one might expect in the sense that they frequently lack new updates showing zero returns. In this paper, we propose a theoretical framework for ... -
A Tale of One Exchange and Two Order Books: Effects of Fragmentation in the Absence of Competition
(2018-10-01)Exchanges nowadays routinely operate multiple, almost identically structured limit order markets for the same security. We study the effects of such fragmentation on market performance using a dynamic model where agents ... -
Can Households See into the Future? Survey Evidence from the Netherlands
(2018-07-14)This paper presents new evidence on the expectation formation process from a Dutch household survey. Households become too optimistic about their future income after their income has improved, consistent with the ...