-
Kisser, Michael & Rapushi, Loreta
(2022)
Equity issues, creditor control and market timing patterns: Evidence from leverage decreasing recapitalizations
Show summary
We contribute to the literature on “market timing” by exploring periods of simultaneous equity issues and debt retirements (a leverage decreasing recapitalization, LDR). Contrary to traditional equity issues, LDRs are predicted by measures of creditor control whereas capital investment has no such predictive power. Nevertheless, LDRs occur after stock price run- ups and in periods of high valuation which subsequently decrease. The valuation dynamics are robust and also obtain for subsamples of LDR firms violating financial covenants. A comparison to debt retirements financed by illiquid asset sales and an analysis of discretionary cost items further corroborates the interpretation that LDR firms successfully “time the market” to finance the debt retirement.
-
Chalak, Karim; Kim, Daniel, Miller, Megan & Pepper, John
(2022)
Reexamining the evidence on gun ownership and homicide using proxy measures of ownership
-
Klingler, Sven
(2022)
High Funding Risk and Low Hedge Fund Returns
Critical Finance Review.
-
Rime, Dagfinn; Schrimpf, Andreas & Syrstad, Olav
(2022)
Covered Interest Parity Arbitrage
The Review of financial studies.
-
Fagereng, Andreas; Holm, Martin Blomhoff & Natvik, Gisle James
(2021)
MPC Heterogeneity and Household Balance Sheets
-
Eggertsson, Gauti; Robbins, Jacob & Wold, Ella Getz
(2021)
Kaldor and Piketty's facts: The rise of monopoly power in the United States
-
Lopez Lira Y Ramirez, Jose Alejandro
(2021)
Why do managers disclose risks accurately? Textual analysis, disclosures, and risk exposures
-
Fagereng, Andreas; Mogstad, Magne & Rønning, Marte
(2021)
Why Do Wealthy Parents Have Wealthy Children?
Show summary
We show that family background matters significantly for children’s
accumulation of wealth and investor behavior as adults, even when removing the
genetic connection between children and the parents raising them. The analysis
is made possible by linking Korean-born children who were adopted at infancy by
Norwegian parents to a population panel data set with detailed information on
wealth and socio-economic characteristics. The mechanism by which these Korean-
Norwegian adoptees were assigned to adoptive families is known and effectively
random. This mechanism allows us to estimate the causal effects from an adoptee
being raised in one type of family versus another.
-
Fagereng, Andreas; Holm, Martin Blomhoff & Torstensen, Kjersti Næss
(2021)
Housing wealth in Norway, 1993–2015
-
Bøhren, Øyvind; Gjærum, Per Ivar & Hasle, Torkel
(2021)
Solstrøm fra boligtak er ofte godt for både klima og økonomi, men ikke i dagens Norge
Samfunnsøkonomen, 135(5), p. 33-51.
Show summary
Vi bruker kvantitativ livsløpsanalyse (vugge-til-grav) og finner at solceller på private boligtak har stor, positiv effekt på klima og økonomi når de lages med ren, billig strøm og erstatter skitten, dyr strøm. Beliggenhet er derfor den grunnleggende forklaringen på solcellers verdiskaping. Selv om et solcelleanlegg på 60 m2 av et norsk boligtak produserer mye strøm, reduserer det likevel ikke klimautslippet med mer enn utslippet i Kina øker når anlegget lages. Derfor skapes det ingen global klimagevinst under våre forutsetninger. Brukes derimot anlegget i land der alternativ strøm er skitten, reduseres årlig CO2-utslipp med mer enn EUs samlede årsutslipp pr. innbygger. I Norge, hvor alternativ strøm både er ren og forholdsvis billig, finner vi at solstrøm er ulønnsomt samfunnsøkonomisk og ofte også privatøkonomisk. Norge er trolig blant de få land der både klimaeffekten og økonomieffekten av solceller på boligtak er negativ. Bedre solcelleteknologi, mer elektrifisering, høyere strømpris og mer strømeksport kan lett forbedre denne situasjonen.
-
Ostergaard, Charlotte; Sasson, Amir & Sørensen, Bent E.
(2020)
Cash flow sensitivities and bank-finance shocks in non-listed firms
Show summary
We study how small firms manage cash flows by estimating cash flow sensitivities for all sources and uses of cash. Our data are Norwegian non-listed firms which can be matched to the banks they borrow from. Firms with low cash holdings mainly use external finance to offset cash flow fluctuations over the cycle, whereas firms with high cash holdings rely mainly on internal finance. Estimating how cash flow sensitivities change with exogenous bank shocks, we find that the cyclicality of cash-poor firms' investment is amplified because they do not substitute internal for external finance. Our results imply that for small firms, the transmission of financial shocks to the real economy is closely tied to their accumulation of cash.
-
Fagereng, Andreas; Guiso, Luigi, Malacrino, Davide & Pistaferri, Luigi
(2020)
Heterogeneity and Persistence in Returns to Wealth
-
Cooper, Ilan; Mitrache, Andreea & Priestley, Richard
(2020)
A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes
-
Branger, Nicole; Konermann, Patrick, Meinerding, Christoph & Schlag, Christian
(2020)
Equilibrium Asset Pricing in Directed Networks
Show summary
Directed links in cash flow networks affect the cross-section of risk premia through three channels. In a tractable consumption-based equilibrium asset pricing model, we obtain closed-form solutions that disentangle these channels for arbitrary directed networks. First, shocks that can propagate through the economy command a higher market price of risk. Second, shock-receiving assets earn an extra premium since their valuation ratios drop upon shocks in connected assets. Third, a hedge effect pushes risk premia down: when a shock propagates through the economy, an asset that is unconnected becomes relatively more attractive and its valuation ratio increases.
-
Bjønnes, Geir Høidal; Osler, Carol L. & Rime, Dagfinn
(2020)
Price Discovery in Two-Tier Markets
-
Fabozzi, Frank J.; Klingler, Sven, Mølgaard, Pia & Nielsen, Mads Stenbo
(2020)
Active Loan Trading
-
Natvik, Gisle James; Rime, Dagfinn & Syrstad, Olav
(2020)
Does publication of interest rate paths provide guidance?
Show summary
Does the central bank practice of publishing interest rate projections (IRPs) improve how market participants map new information into future interest rates? Using high-frequency data on forward rate agreements (FRAs) we compute market forecast errors; differences between expected future interest rates and ex-post realizations. We assess their change in narrow windows around monetary policy announcements and macroeconomic releases in Norway and Sweden. Overall, communication of future policy plans does not improve markets’ response to information, irrespective of whether or not IRPs are in place. A decomposition of market reactions into responses to the current monetary policy action (“target”) and responses to signals about the future (“path”), reveals that only policy actions lead to improvements in market forecasts.
-
Juelsrud, Ragnar Enger & Wold, Ella Getz
(2020)
Risk-weighted capital requirements and portfolio rebalancing
-
Zhanhui, Chen; Ehling, Paul & Xiouros, Costas
(2020)
Risk Aversion Sensitive Real Business Cycles
-
Gavazzoni, Federico & Santacreu, Ana Maria
(2020)
International R&D Spillovers and Asset Prices
Show summary
We study the international propagation of long-run risk in the context of a general equilibrium model with endogenous growth. Innovation and international diffusion of technologies are the channels at the core of our mechanism. A calibrated version of the model matches several asset pricing and macroeconomic quantity moments, alleviating some of the puzzles highlighted in the international macro-finance literature. Our model predicts that country pairs that share more research and development (R&D) have less volatile exchange rates and more correlated stock market returns. Using data from a sample of 19 developed countries, we provide suggestive empirical evidence in favor of our model’s predictions.
-
Andrews, Spencer; Colacito, Riccardo, Croce, Mariano Massimiliano & Gavazzoni, Federico
(2020)
Concealed Carry
Show summary
The slope carry consists of taking a long (short) position in the long-term bonds of countries with steeper (flatter) yield curves. The traditional carry is a long (short) position in countries with high (low) short-term rates. We document that: (i) the slope carry risk premium is slightly negative (strongly positive) in the pre (post) 2008 period, whereas it is concealed over longer samples; (ii) the traditional carry risk premium is lower post-2008; and (iii) there has been a sharp decline in expected global growth and global inflation post-2008. We connect these empirical findings through an equilibrium model in which investors price news shocks, financial markets are complete, and countries feature heterogeneous exposure to news shocks about both global output expected growth and global inflation.
-
Zhanhui, Chen; Cooper, Ilan, Ehling, Paul & Xiouros, Costas
(2020)
Risk Aversion Sensitive Real Business Cycles
-
Branger, Nicole; Konermann, Patrick & Schlag, Christian
(2019)
Optimists and Pessimists in (In)Complete Markets
-
Bjønnes, Geir Høidal; Rime, Dagfinn & Solheim, Haakon
(2019)
The impact of different players on the volume-volatility relation in the foreign exchange market
-
Chalak, Karim & Kim, Daniel
(2019)
Measurement Error Without the Proxy Exclusion Restriction
-
Berzins, Janis; Bøhren, Øyvind & Stacescu, Bogdan
(2019)
Dividends and taxes: The moderating role of agency conflicts
-
Atanasov, Victoria; Møller, Stig & Priestley, Richard
(2019)
Consumption Fluctuations and Expected Returns
-
Chalak, Karim & Kim, Daniel
(2019)
Measurement error in multiple equations: Tobin’s q and corporate investment, saving, and debt
-
Gerard, Bruno
(2019)
ESG and Socially Responsible Investment: A Critical Review
-
Cooper, Ilan & Maio, Paulo
(2019)
Asset Growth, Profitability, and Investment Opportunities
-
Bøhren, Øyvind; Stacescu, Bogdan, Almli, Line & Søndergaard, Kathrine
(2019)
When Does the Family Govern the Family Firm?
Show summary
We find that the controlling family holds both the chief executive officer and chair positions in 79% of Norwegian family firms. The family holds more governance positions when it owns large stakes in small, profitable, low-risk firms. This result suggests that the family trades off expected costs and benefits by conditioning participation intensity on observable firm characteristics. We find that the positive effect of performance on participation is twice as strong as the positive effect of participation on performance. The endogeneity of participation, therefore, should be carefully accounted for when analyzing the effect of family governance on the family firm’s behavior.
-
Klingler, Sven & Sundaresan, Suresh M.
(2019)
An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans
-
Zheng, Zeqi; Gao, Yuandong, Yin, Likang & Rabarison, Monika K
(2019)
Modeling and analysis of a stock-based collaborative filtering algorithm for the Chinese stock market
-
Adams, Renee Birgit; Keloharju, Matti & Knüpfer, Samuli
(2018)
Are CEOs born leaders? Lessons from traits of a million individuals
Show summary
What makes a successful CEO? We combine a near-exhaustive sample of male CEOs from Swedish companies with data on their cognitive and noncognitive ability and height at age 18. CEOs differ from other high-skill professions most in noncognitive ability. The median large-company CEO belongs to the top 5% of the population in the combination of the three traits. The traits have a monotonic and close to linear relation with CEO pay, but their correlations with pay, firm size, and CEO fixed effects in firm policies are relatively low. Traits appear necessary but not sufficient for making it to the top.
-
Ehling, Paul; Gallmeyer, Michael, Heyerdahl-Larsen, Christian & Illeditsch, Philipp
(2018)
Disagreement about Inflation and the Yield Curve
-
Klingler, Sven & Lando, David
(2018)
Safe Haven CDS Premiums
Show summary
Credit default swaps can be used to lower the capital requirements of dealer banks entering into uncollateralized derivatives positions with sovereigns. We show in a model that the regulatory incentive to obtain capital relief makes CDS contracts valuable to dealer banks and empirically that, consistent with the use of CDS for regulatory purposes, there is a disconnect between changes in bond yield spreads and in CDS premiums, especially for safe sovereigns. Additional empirical tests related to the volume of contracts outstanding, effects of regulatory proxies, and the corporate bond and CDS markets support that CDS contracts are used for capital relief.
-
Cooper, Ilan & Maio, Paulo
(2018)
New Evidence on Conditional Factor Models
-
Andreou, Panayiotis; Cooper, Ilan, Garcia de Olalla Lopez, Ignacio & Louca, Christodoulos
(2018)
Managerial Overconfidence and the Buyback Anomaly
Show summary
While positive, long-run abnormal returns following share repurchase announcements are substantially lower when CEOs are overconfident. This effect is particularly strong for (i) difficult to value firms, such as small, young, non-dividend paying, distressed, and having negative earnings firms, (ii) firms with poor past stock return performance and high book-to-market ratio, indicators of possible overreaction to bad news, and (iii) financially constrained firms. Overall, these results are consistent with the mispricing hypothesis as a motive for repurchases and as an explanation for the buyback anomaly. Additionally, irrespective of the CEO’s level of confidence, abnormal returns are considerably larger for financially constrained firms, implying their managers require larger undervaluation due to the higher cost of capital.
-
Jørgensen, Kjell; Skjeltorp, Johannes A. & Ødegaard, Bernt Arne
(2018)
Throttling hyperactive robots - Order to Trade Ratios at the Oslo Stock Exchange
Show summary
We investigate the effects of introducing a fee on excessive order-to-trade ratios (OTRs) on market quality at the Oslo Stock Exchange (OSE). We find that traders reacted to the regulation as measured OTRs fell. However, market quality, measured with depth, spreads, and realized volatility, remain largely unaffected. This result differs sharply from the experience in other markets, such as Italy and Canada, where similar regulatory changes have been accompanied by a worsening of liquidity. The unchanged market quality at the OSE is likely due to the different design of the regulation, which is tailored to encourage liquidity supply.
-
Berzins, Janis; Bøhren, Øyvind & Stacescu, Bogdan
(2018)
Shareholder conflicts and dividends
Show summary
We examine how dividend policy is used to mitigate potential conflicts of interest between majority and minority shareholders in private Norwegian firms. The average payout is 50% higher if the majority shareholder’s equity stake is 55% (high conflict potential) rather than 95% (low conflict potential). Such minority-friendly payout is also associated with higher subsequent minority shareholder investment. These results suggest that controlling shareholders voluntarily use dividends to reduce agency conflicts and build trust, rather than opportunistically preferring private benefits to dividends. We show that our results are unlikely to arise from liquidity or signaling motives.
-
Berg, Magnus; Bøhren, Øyvind & Vassnes, Erik
(2018)
Modeling the response to exogenous shocks: The capital uplift rate in petroleum taxation
Show summary
We show how a recent drop in the Norwegian capital uplift rate by two percentage points changes optimal field design and reduces field value for shareholders. Although optimal design changes considerably and value drops by 12%, the ability to reoptimize design after the shock is worth only 1.5% of field value. This evidence suggests that large behavioral effects of a shock do not necessarily imply large value effects, making it less important to always account for the taxpayers' response. The valuation error in such cases may be moderate if one instead uses the simplifying and widespread assumption of unresponsive taxpayers.
-
Bjønnes, Geir Høidal & Kathitziotis, Neophytos
(2018)
Hva koster det å kjøpe og selge valuta? :
-
Cooley, Thomas F. & Henriksen, Espen
(2018)
The Demographic Deficit
Show summary
There has been a slowdown in growth in the world’s most advanced economies. In this paper we argue that changing demographics, in particular aging populations combined with increased life expectancy, may be part of the explanation for why we observe slower growth, falling interest rates and falling productivity growth. Using Japan and the U.S. in the years prior to the financial crises as a case study, we provide estimates of the growth deficit that arises from an aging cohort structure and increasing life expectancy. We also provide projections of the impact of predictable demographic changes on future growth in the U.S. and Japan.
-
Colacito, Riccardo; Croce, Mariano Massimiliano, Gavazzoni, Federico & Ready, Robert
(2018)
Currency Risk Factors in a Recursive Multi-Country Economy
Show summary
Focusing on the 10 most traded currencies, we provide empirical evidence regarding a significant heterogeneous exposure to global growth news shocks. We incorporate this empirical fact in a frictionless risk-sharing model with recursive preferences, multiple countries, and multiple consumption goods whose supply features both global and local short- and long-run shocks. Since news shocks are priced, heterogeneous exposure to long-lasting global growth shocks results in a relevant reallocation of international resources and currency adjustments. Our unified framework replicates the properties of the HML-FX and HML-NFA carry-trade strategies studied by Lustig, Roussanov, and Verdelhan and Della Corte, Riddiough, and Sarno.
-
Boustanifar, Hamid; Grant, Everett & Reshef, Ariell
(2017)
Wages and Human Capital in Finance: International Evidence, 1970-2011
-
Ehling, Paul; Gallmeyer, Michael, Srivastava, Sanjay, Tompaidis, Stathis & Yang, Chunyu
(2017)
Portfolio Tax Trading with Carryover Losses
-
Zhang, Dan
(2017)
CEO Dividend Protection
Show summary
This paper studies CEO dividend protection, an important element in the executive compensation package that protect CEOs’ compensation from stock price drops due to dividend payments. First, I show that there is large variation among S&P 500 firms in whether they provide dividend protections to their CEOs or not. Second, CEO dividend protection is positively associated with firms’ dividend payout. Third, a time series analysis suggests that dividend protection is implemented prior to a firm increasing dividends. Finally, there is no evidence suggesting that CEO dividend protection affects other corporate policies, such as cash holdings and investment.