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Volanakis
12:00 PM - 1:00 PM
Kateryna Holland
Corporate Cash Flow Outcomes Across Presidencies: Still a Presidential Puzzle
FEA - Finance
Corporate Cash Flow Outcomes Across Presidencies: Still a Presidential Puzzle
Speaker: Kateryna Holland
Time: 12:00 PM - 1:00 PM
Location: Volanakis
Finance Brown BagVolanakis
12:30 PM - 2:00 PM
Alexander Ljungqvist: Stockholm School of Economics
Advertising Securities
FEA - Finance
Advertising Securities
Speaker: Alexander Ljungqvist: Stockholm School of Economics
Time: 12:30 PM - 2:00 PM
Location: Volanakis
U.S. companies are prohibited from advertising their securities under Section 5 of the Securities Act of 1933. To investigate what might happen if issuers were allowed to market their securities to the public, we study Singapore, a jurisdiction that permits the use of advertising to solicit interest in initial public offerings (IPOs). Using proprietary data on a representative sample of individuals, we show that advertising strongly influences retail investors to apply. IPOs with weaker institutional demand are advertised more heavily to retail investors. Investors who are more responsive to advertising earn significantly lower risk-adjusted returns compared to other IPO investors. Overall, we provide new evidence on the costs and benefits of regulatory limitations placed on issuers of securities.Buchanan 151
12:15 PM - 1:45 PM
Greg Buchak: Stanford Graduate School of Business
Revolving Credit to SMEs: The Role of Business Credit Cards
Household Finance
Revolving Credit to SMEs: The Role of Business Credit Cards
Speaker: Greg Buchak: Stanford Graduate School of Business
Time: 12:15 PM - 1:45 PM
Location: Buchanan 151
We document that small businesses in the US are frequently excluded from borrowing through traditional term loans or credit lines and rely instead on standardized, high-interest rate business credit cards to meet their financing needs. We develop and estimate a structural model of firms’ card demand, utilization, and default choice, accounting for imperfect competition among lenders and the correlation between utilization and default. We find that high rates are primarily explained by markups rather than lender costs. In counterfactual analyses we study the impact of correlated lender cost shocks as well as proposed capital surcharges on undrawn credit limits.Volanakis
12:30 PM - 2:00 PM
Lawrence Schmidt: MIT
Artificial Intelligence and the Labor Market
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Artificial Intelligence and the Labor Market
Speaker: Lawrence Schmidt: MIT
Time: 12:30 PM - 2:00 PM
Location: Volanakis
We leverage recent advances in NLP to construct measures of workers’ task exposure to AI and machine learning technologies over the 2010 to 2023 period, varying across firms and time. Using a theoretical framework that allows for labor-saving technology to affect worker productivity both directly and indirectly, we show that the impact on wage earnings and employment can be summarized by two statistics. First, labor demand decreases in the average exposure of workers’ tasks to AI technologies; second, holding the average exposure constant, labor demand increases in the dispersion of task exposures to AI as workers shift effort to tasks not displaced by AI. Exploiting exogenous variation in our measures based on pre-existing hiring practices across firms, we find empirical support for these predictions, together with a lower demand for skills affected by AI. Overall, we find muted effects of AI on employment due to offsetting effects: occupations high exposed to AI experience relatively lower demand compared to less exposed occupations, but the resulting increase in firm productivity increases overall employment across all occupations.Volanakis
12:30 PM - 2:00 PM
Theis Jensen: Yale University
The Power of the Common Task Framework
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The Power of the Common Task Framework
Speaker: Theis Jensen: Yale University
Time: 12:30 PM - 2:00 PM
Location: Volanakis
The “Common Task Framework” (CTF) is a collaborative and competitive process in which researchers solve a task using shared data, a predefined success metric, and a leaderboard. Using an economic model, we show that the CTF incentivizes effort, increases innovation, and curbs misrepresentation by reducing research costs and improving comparability. Historical examples from computer science underscore its effectiveness. To demonstrate its broader applicability, we propose a CTF for financial economics: a platform open to all researchers designed to identify the pricing kernel and systematically evaluate asset pricing models, from traditional factor-based approaches to modern machine learning techniques.Volanakis
12:30 PM - 2:00 PM
Isil Erel: Ohio State University Fisher College of Business
Common Investors Across the Capital Structure: Private Debt Funds as Dual Holders
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Common Investors Across the Capital Structure: Private Debt Funds as Dual Holders
Speaker: Isil Erel: Ohio State University Fisher College of Business
Time: 12:30 PM - 2:00 PM
Location: Volanakis
This paper examines the dual role of Business Development Companies (BDCs) as both creditors and shareholders in funding middle-market firms. We first show that BDCs, especially dual holders, serve a distinct market segment typically avoided by traditional bank lenders: mid-sized firms with low (or even negative) cash flows, limited collateral, but high growth potential. Our key finding is that dual-holder BDCs charge loan spreads that are 45 basis points higher than comparable loans extended by pure creditors, controlling for loan characteristics as well as (borrower × quarter) and (BDC × quarter) fixed effects, which account for unobserved and time-varying heterogeneity in both firm credit quality and lender funding conditions. We examine three mechanisms: enhanced monitoring through information access and governance rights of dual-holders; capital injections by dual-holders as a “public good” benefiting all creditors; and hold-up behavior by dual-holders as dominant financiers of their portfolio firms. Differentiating tests indicate that enhanced monitoring is the primary channel driving the loan pricing differential. Our study highlights the real economic impact of private credit, beyond merely filling gaps left by regulation- constrained banks.Volanakis
12:30 PM - 2:00 PM
David Sraer: UC Berkeley
The Welfare Benefits of Pay-As-You-Go Financing
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The Welfare Benefits of Pay-As-You-Go Financing
Speaker: David Sraer: UC Berkeley
Time: 12:30 PM - 2:00 PM
Location: Volanakis
Pay-as-you-go (PAYGo) financing is a novel contract that has recently become a popular form of credit, especially in low- and middle-income countries (LMICs). PAYGo financing relies on lockout technology that enables the lender to remotely disable the flow benefits of collateral when the borrower misses payments. This paper quantifies the welfare implications of PAYGo financing. We develop a dynamic structural model of consumers and estimate the model using a multi-arm, large scale pricing experiment conducted by a fintech lender that offers PAYGo financing for smartphones. We find that the welfare gains from access to PAYGo financing are equivalent to a 3.4% increase in income while remaining highly profitable for the lender. The welfare gains are larger for low-risk consumers and consumers in the middle of the income distribution. Under reasonable assumptions, PAYGo financing outperforms traditional secured loans for all but the riskiest consumers. We explore contract design and identify variations of the PAYGo contract that further improve welfare.Volanakis
12:30 PM - 2:00 PM
Mariassunta Giannetti: Stockholm School of Economics
Security Losses, Interbank Markets, and Monetary Policy Transmission: Evidence from the Eurozone
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Security Losses, Interbank Markets, and Monetary Policy Transmission: Evidence from the Eurozone
Speaker: Mariassunta Giannetti: Stockholm School of Economics
Time: 12:30 PM - 2:00 PM
Location: Volanakis
Banks that experienced larger losses in their pledgeable securities portfolios following the July 2022 monetary policy tightening became less able to borrow through the inter- bank market and subsequently reduced their corporate lending, regardless of whether the securities were booked at market or historical value. These effects were less pronounced for banks with abundant collateral and for domestic subsidiaries of banking groups, which received liquidity through their group’s internal capital market. Our results highlight a collateral channel in the bank-based transmission of monetary policy and show how differences in banking structure can contribute to an uneven transmission of monetary policy.TBD
12:15 PM - 1:45 PM
Constantine Yannelis: University of Chicago Booth School of Business
TBD
Household Finance
TBD
Speaker: Constantine Yannelis: University of Chicago Booth School of Business
Time: 12:15 PM - 1:45 PM
Location: TBD
Buchanan 151
12:15 PM - 1:45 PM
Christine Laudenbach: Goethe University, Leibniz Institute SAFE
TBD
Household Finance
TBD
Speaker: Christine Laudenbach: Goethe University, Leibniz Institute SAFE
Time: 12:15 PM - 1:45 PM
Location: Buchanan 151
Volanakis
12:30 PM - 1:45 PM
William Cassidy: Washington University Olin Business School
The Debt Ceiling’s Disruptive Impact: Evidence from Many Markets
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The Debt Ceiling’s Disruptive Impact: Evidence from Many Markets
Speaker: William Cassidy: Washington University Olin Business School
Time: 12:30 PM - 1:45 PM
Location: Volanakis
We show that the debt ceiling significantly impacts the duration of government liabilities through an unintended interaction of the Treasury’s issuance rules and the debt ceiling constraint. During debt ceiling episodes, the Treasury systematically allows more bills to mature than it issues. In recent years, this force has induced fluctuations in bill supply greater than one percent of GDP. Exploiting this, we devise an instrument for the supply of bills and show that the debt ceiling has distorted convenience premia and the price of short-term investment-grade corporate credit. We attribute the Treasury’s implicit decision to lengthen the duration of its liabilities as a response to an intermediation constraint.Volanakis
12:30 PM - 1:45 PM
Tetyana Balyuk: Emory University
The Effects of Cryptocurrency Wealth on Household Consumption
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The Effects of Cryptocurrency Wealth on Household Consumption
Speaker: Tetyana Balyuk: Emory University
Time: 12:30 PM - 1:45 PM
Location: Volanakis
We use transaction-level bank and credit card data to examine how cryptocurrency wealth affects household consumption. We estimate a marginal propensity to consume (MPC) of 9.7% from crypto gains---roughly twice most previous estimates from unrealized equity gains. This higher MPC primarily reflects investor characteristics rather than asset type, as crypto investors also exhibit greater MPCs from equity gains. Consumption responses are symmetric for gains and losses and concentrated in discretionary spending. Our findings suggest that crypto wealth meaningfully influences the real economy, with households broadly treating crypto and equity wealth in similar ways.Volanakis
12:30 PM - 1:45 PM
Yoshio Nozawa: University of Toronto
Factor Investing with Delays
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Factor Investing with Delays
Speaker: Yoshio Nozawa: University of Toronto
Time: 12:30 PM - 1:45 PM
Location: Volanakis
We present a tractable framework for evaluating the cost of delays induced by infrequent trading in the corporate bond market. Using 341 corporate bond factors from OpenBondAssetPricing.com and machine learning models trained on their underlying signals, we demonstrate that, before transaction costs, 51 factors outperform the bond market. However, this number drops to nearly zero after accounting for trading frictions because the cost of delay is amplified for highly profitable factors. Trading a subset of liquid bonds does not eliminate this cost because liquidity is hard to predict and sales delays cannot be avoided, underscoring the critical impact of delay costs.Volanakis
12:30 PM - 1:45 PM
Alexei Zhdanov
A Tale of Two Anomalies: Value, Momentum, and Risk Sentiment
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A Tale of Two Anomalies: Value, Momentum, and Risk Sentiment
Speaker: Alexei Zhdanov
Time: 12:30 PM - 1:45 PM
Location: Volanakis
We uncover a fundamental divide in how asset pricing anomalies respond to shifts in investor risk sentiment: build-up anomalies thrive in risk-off periods, while resolution anomalies collapse. Using momentum and value as representative cases, we show that value stocks and past losers experience sharp underperformance precisely when risk appetite deteriorates. Trading data offer an additional perspective: during risk-off episodes, retail investors flee value stocks, while short sellers double down, intensifying the drawdown. In contrast, momentum stocks evade similar selling pressure, reinforcing their resilience. Specifically, we distinguish between build-up and resolution anomalies, providing new evidence on the resilience of some anomalies in the face of deteriorating risk sentiment while others unravel. These differences in both returns and investor flows between anomaly types are difficult to coherently reconcile with a comprehensive theoretical explanation.
1:15 PM - 2:15 PM
Fabricius Somogyi: Northeastern University
Treasury Auctions and Long-Term Bond Yields
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Treasury Auctions and Long-Term Bond Yields
Speaker: Fabricius Somogyi: Northeastern University
Time: 1:15 PM - 2:15 PM
Location:
We study investor demand for Treasuries at auction. We document that from 1992 to 2010, global long-term bond markets have been positively surprised by demand at auctions of long-term US Treasuries. On average, global long-term yields have declined by 0.75 basis points per auction and these declines have been concentrated in auctions with strong investor demand. However, since 2010, this trend has reversed. Investor demand for Treasuries at auction has become more inelastic, while the supply of Treasuries has increased. This weaker demand for Treasuries has coincided with less foreign investor demand and a more illiquid secondary market.Volanakis
12:30 PM - 1:45 PM
Dirk Jenter: London School of Economics
Sustainable Investing in Practice: Objectives, Beliefs, and Limits to Impact
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Sustainable Investing in Practice: Objectives, Beliefs, and Limits to Impact
Speaker: Dirk Jenter: London School of Economics
Time: 12:30 PM - 1:45 PM
Location: Volanakis
We survey 509 equity portfolio managers from both traditional and sustainable funds on whether, why, and how they consider firms’ environmental and social (“ES”) performance. ES performance influences stock selection, engagement, and voting for over three quarters of investors, including nearly two thirds of traditional ones. The primary motivation is financial, even among sustainable funds, with few willing to sacrifice financial returns for ES performance. A second driver is constraints, such as fund mandates, firmwide policies, and client wishes, which affect 72% of investors (62% from traditional funds). ES impact is seen as much less important, even for sustainable investors.Zoom
4:00 PM - 5:00 PM
Bo Bian: University of British Columbia
Data as a Networked Asset
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Data as a Networked Asset
Speaker: Bo Bian: University of British Columbia
Time: 4:00 PM - 5:00 PM
Location: Zoom
Data is non-rival: a firm's customer data informs other firms about their customers. We uncover a network of inter-firm data conduits embedded in mobile applications. Data sharing induces comovement in firms' operational, financial, and stock-market performances, propagates shocks (e.g., cyberattacks), and induces herding in product design. Apple's privacy policy---a shock to inter-firm data flows---weakened these patterns. We develop a dynamic network model, where firms' performance and growth are interconnected through a data-sharing network. A network-augmented Gordon growth formula emerges for valuing data-generated cash flows. Our valuation metrics incorporate high-order and long-term spillovers and reveal systemically important firms.
1:15 PM - 2:15 PM
Fabricius Somogyi: Northeastern University
Treasury Auctions and Long-Term Bond Yields
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Treasury Auctions and Long-Term Bond Yields
Speaker: Fabricius Somogyi: Northeastern University
Time: 1:15 PM - 2:15 PM
Location:
We study investor demand for Treasuries at auction. We document that from 1992 to 2010, global long-term bond markets have been positively surprised by demand at auctions of long-term US Treasuries. On average, global long-term yields have declined by 0.75 basis points per auction and these declines have been concentrated in auctions with strong investor demand. However, since 2010, this trend has reversed. Investor demand for Treasuries at auction has become more inelastic, while the supply of Treasuries has increased. This weaker demand for Treasuries has coincided with less foreign investor demand and a more illiquid secondary market.Volanakis
12:30 PM - 1:45 PM
Xuelin Li: Columbia University
Hedging and Healing: How Business Cycle Exposure Affects the Safety Net
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Hedging and Healing: How Business Cycle Exposure Affects the Safety Net
Speaker: Xuelin Li: Columbia University
Time: 12:30 PM - 1:45 PM
Location: Volanakis
Tax exemption and government support are intended to insulate non-profit hospitals from business cycles, who are expected to provide stable community benefits. This paper documents erosion in the stability of this social safety net. The rising popularity of high-deductible health plans (HDHPs) reduces insurance risk sharing and increases the cyclicality of hospital operations. Hospital cash flows and utilization comove more strongly with local income shocks in high-HDHP areas. Claims data confirm that HDHP enrollees reduce inpatient visits in downturns, while hospitals cross-subsidize by raising prices for all patients. Over the longer run, hospitals hedge this risk by cutting staff, investment, uncompensated care, and Medicare admissions. Surprisingly, mission-driven non-profit hospitals hedge more aggressively, reflecting their lack of geographic diversification and internal capital markets compared to large for-profit systems.Volanakis
12:15 PM - 1:45 PM
Dominik Supera: Columbia University
TBD
Household Finance
TBD
Speaker: Dominik Supera: Columbia University
Time: 12:15 PM - 1:45 PM
Location: Volanakis
TBDZoom
4:00 PM - 5:00 PM
Meghana Ayyagari: George Washington
Automation Under Constraints: Exchange Rates, Interest Rates, and Firm Investment
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Automation Under Constraints: Exchange Rates, Interest Rates, and Firm Investment
Speaker: Meghana Ayyagari: George Washington
Time: 4:00 PM - 5:00 PM
Location: Zoom
A 33% depreciation of the yen from 2012–2015 made imported industrial robots cheaper for U.S. firms. Surprisingly, adoption surged among financially constrained firms - those with high leverage, low cash, or debt-constraint language in 10-Ks - while unconstrained firms barely responded. We rationalize this with a collateral model in which robots are pledgeable but also require non-pledgeable setup costs, so constrained firms face a higher effective cash “invoice” per robot and display stronger investment elasticities to both capital prices and borrowing rates. Using automation machinery import records, including robots, linked to Compustat, we find that constrained firms are about 1.5-1.7 × more responsive to exchange rate shocks and roughly 5 × more responsive to interest rate shocks than unconstrained firms. At the same time, exchange rate shocks have 2-9 × larger effects on automation adoption than interest rate shocks, underscoring that capital-input prices dominate borrowing conditions in shaping investment. Cross-sectional patterns are consistent with financing frictions, rather than risk or intangible setup costs, driving these differences. These results highlight a collateral channel through which macro shocks reallocate technology adoption toward constrained incumbents, with implications for diffusion, competitiveness, and inequality.Volanakis
12:30 PM - 1:45 PM
William Diamond: University of Pennsylvania
Collateralized Loan Obligations as Fire-Sale Insulation
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Collateralized Loan Obligations as Fire-Sale Insulation
Speaker: William Diamond: University of Pennsylvania
Time: 12:30 PM - 1:45 PM
Location: Volanakis
We develop a model where CLOs are the optimal financial structure for securitizing assets that trade in illiquid markets. CLOs hold portfolios of risky loans, sell low-quality loans during crises, and finance themselves with safe, long-maturity debt. Banks that invest in CLOs’ safe debt are insulated from loan fire sales that could trigger a run if banks held risky loans directly. Unlike banks, CLOs with long-term financing can hold underperforming loans during a fire sale without triggering a run. Introducing CLOs to a bank-only financial system improves welfare and financial stability, but macroprudential regulation should also constrain CLOs’ leverage.Volanakis
12:30 PM - 1:45 PM
Chen Wang: University of Notre Dame Mendoza College of Business
Long-Short Interest Rate Confusion
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Long-Short Interest Rate Confusion
Speaker: Chen Wang: University of Notre Dame Mendoza College of Business
Time: 12:30 PM - 1:45 PM
Location: Volanakis
We identify a common misconception that expected future changes in the policy rate predict corresponding future changes in long-term interest rates. People forecast similar shapes for the paths of policy and long rates over the next four quarters. This is a mistake because long rates should already incorporate public information about future policy rates and do not positively co-move with expected changes in policy rates. We show that this long-short rate confusion persists even among professional forecasters and distorts the real behavior of borrowers and investors. Our findings raise concerns about the efficacy of predictable monetary policy. When the central bank signals future policy rate increases, households and firms rush to lock in long-term debt before anticipated increases in long rates, undermining the intended contractionary effects of monetary tightening. These findings can help explain why forward guidance and gradual policy adjustment have often been less effective than standard macroeconomic models predict.TBD
Speaker: Suproteem Sarkar: University of Chicago
Time: 12:30 PM - 1:45 PM
Location: Volanakis
TBDTBD
Speaker: Clifton Green: Emory University
Time: 12:30 PM - 1:45 PM
Location: Volanakis
TBD