New York University Stern School of Business Research Paper Series最新文献_第2页

Sense and Nonsense in ESG Ratings ESG评级的意义与无意义

New York University Stern School of Business Research Paper Series Pub Date : 2020-07-23 DOI: 10.2139/ssrn.3568104

I. Walter

引用次数: 9

Multi-regime Forecasting Model for the Impact of COVID-19 Pandemic on Volatility in Global Equity Markets 新冠肺炎疫情对全球股市波动影响的多机制预测模型

New York University Stern School of Business Research Paper Series Pub Date : 2020-06-15 DOI: 10.2139/ssrn.3646520

Nazli Sila Alan, R. Engle, Ahmet K. Karagozoglu

引用次数: 4

Private Information Dissemination in the Secondary Loan Market 二级贷款市场中的私人信息传播

New York University Stern School of Business Research Paper Series Pub Date : 2020-05-29 DOI: 10.2139/ssrn.3648715

A. Saunders, Pei Shao, Yuchao Xiao

引用次数: 0

Contracting Beyond the Market 超越市场的承包

New York University Stern School of Business Research Paper Series Pub Date : 2020-05-02 DOI: 10.2139/ssrn.3591227

Kate Odziemkowska, S. Dorobantu

{"title":"Contracting Beyond the Market","authors":"Kate Odziemkowska, S. Dorobantu","doi":"10.2139/ssrn.3591227","DOIUrl":"https://doi.org/10.2139/ssrn.3591227","url":null,"abstract":"Despite growing engagements between firms and nonmarket stakeholders—such as local communities and nongovernmental organizations —research has yet to examine the emergence of formal contracts between them. Given that a very large number of such contracts are theoretically possible but only a small number exist, we seek to understand what factors explain the use of contracts to govern some relationships between firms and nonmarket stakeholders but not others. We draw on transaction cost economics to study transactions wherein a nonmarket stakeholder provides a firm access to a valuable resource and to understand when these transactions are governed by formal contracts. We propose that, when a firm makes site-specific investments, a stakeholder’s use rights to the resource sought by the firm, the negative externalities generated by its use, and the stakeholder’s capacity for collective mobilization increase holdup risk for the firm and therefore the probability of a contract. We collect novel data on the location of indigenous communities and mines in Canada to identify a plausible exhaustive set of indigenous communities “at risk” of signing a contract with a mining firm. We test our hypotheses by relying, respectively, on historically assigned property rights over lands, the mine-community colocation in a watershed and proximity on transportation routes, and archival records of community mobilization events. We find support for our propositions by examining which of the 5,342 dyads formed by 459 indigenous communities and 98 firms signed 259 contracts between 1999 and 2013.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114438060","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 14

COVID-19 and the Credit Cycle COVID-19与信贷周期

New York University Stern School of Business Research Paper Series Pub Date : 2020-04-06 DOI: 10.2139/ssrn.3604361

E. Altman

{"title":"COVID-19 and the Credit Cycle","authors":"E. Altman","doi":"10.2139/ssrn.3604361","DOIUrl":"https://doi.org/10.2139/ssrn.3604361","url":null,"abstract":"The Covid-19 health crisis has dramatically affected just about every aspect of the economy, including the transition from a record long benign credit cycle to a stressed one, with still uncertain dimensions This paper seeks to assess the credit climate from just before the unexpected global health crisis catalyst to its immediate and extended impact We analyze the performance of several key indicators of the nature of credit cycles: default and recovery rates on high-yield bonds, and the number of large firm bankruptcies that we expect over the next twelve months and beyond;yield spreads and distress ratios;and liquidity Our focus is primarily on the nonfi-nancial corporate debt market in the United States, which reached a record percent-age of gross domestic product at the end of 2019 as firms increased their debt to take advantage of record low interest rates, and investor appetite grew for higher promised yields on risky fixed-income assets We also examine the leveraged loan and collater-alized loan obligation markets, as well as the increasingly large and important BBB tranche of the corporate bond market Specifically, we discuss the latter’s vulnerabil-ity to downgrades over the expected downturn in the real economy and this vulnera-bility’s potential impact on expected default rates by “crowding out” low-quality debt of other firms (some of which we believe are “zombies”) Using Z-scores for a sample of BBB companies between 2007 and 2019, we analyze this largest component of the corporate bond market to provide some evidence on the controversial debate as to whether there has been ratings inflation or, perhaps, persistent overvaluation of the nonfinancial corporate debt market since the last financial crisis © 2020 Infopro Digital Risk (IP) Limited","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129602713","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 19

A Portfolio Approach to Global Imbalances 解决全球失衡的投资组合方法

New York University Stern School of Business Research Paper Series Pub Date : 2020-03-07 DOI: 10.2139/ssrn.3744340

Zhengyang Jiang, Robert J. Richmond, Tony Zhang

引用次数: 27

The Financial Origins of the Rise and Fall of American Inflation 美国通货膨胀兴衰的金融根源

New York University Stern School of Business Research Paper Series Pub Date : 2020-02-15 DOI: 10.2139/ssrn.3538569

I. Drechsler, Alexi Savov, P. Schnabl

{"title":"The Financial Origins of the Rise and Fall of American Inflation","authors":"I. Drechsler, Alexi Savov, P. Schnabl","doi":"10.2139/ssrn.3538569","DOIUrl":"https://doi.org/10.2139/ssrn.3538569","url":null,"abstract":"We propose and test a new explanation for the rise and fall of the Great Inflation, a defining event in macroeconomics. We argue that its rise was due to the imposition of binding deposit rate ceilings under the law known as Regulation Q, and that its fall was due to the removal of these ceilings once the law was repealed. Deposits were the dominant form of saving at the time, hence Regulation Q suppressed the return to saving. This drove up aggregate demand, which pushed up inflation and further lowered the real return to saving, setting off an inflation spiral. The repeal of Regulation Q broke the spiral by sending deposit rates sharply higher. We document that the rise and fall of the Great Inflation lines up closely with the imposition and repeal of Regulation Q and the enormous changes in deposit rates and quantities it produced. We further test this explanation in the cross section using detailed data on local deposit markets and inflation. By exploiting four different sources of geographic variation, we show that the degree to which Regulation Q was binding has a large impact on local inflation, consistent with the hypothesis that Regulation Q explains the observed variation in aggregate inflation. We conclude that in the presence of financial frictions the Fed may be unable to control inflation regardless of its policy rule.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121717498","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 13

Network Structure and Pricing in the FX Market 外汇市场中的网络结构与定价

New York University Stern School of Business Research Paper Series Pub Date : 2020-01-17 DOI: 10.2139/ssrn.3521531

Joel Hasbrouck, Richard M. Levich

{"title":"Network Structure and Pricing in the FX Market","authors":"Joel Hasbrouck, Richard M. Levich","doi":"10.2139/ssrn.3521531","DOIUrl":"https://doi.org/10.2139/ssrn.3521531","url":null,"abstract":"For a foreign exchange settlement network we construct profit attributions and relate them to centrality. Our sample (from CLS Bank) spans diverse currency pairs, participants, and execution platforms. For each settlement we define the average centrality differential as the return to the more-central counterparty in the trade, and model this as a function of the two counterparties’ centralities. Estimates of this differential are generally positive, implying that the more-central counterparty realizes a higher return. Additionally, the differential generally increases as the counterparties’ centralities diverge. These two results are consistent with a pervasive centrality premium. The estimates are robust to the choice of pre- or post-settlement benchmarks, to inclusion of settlement size interactions, and to weighting the degree centralities by number or value of settlements. Across currency pairs the centrality profit varies considerably, and typically amounts to about one-third of bid-ask half-spread. The centrality premium is consistent with the hypothesis that central agents exercise bargaining power. We also find, however, evidence suggesting that the premium is at least partially offset by losses that central agents incur in supplying liquidity.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"64 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116672350","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 10

Demand-Aware Career Path Recommendations: A Reinforcement Learning Approach 需求意识职业路径建议:强化学习方法

New York University Stern School of Business Research Paper Series Pub Date : 2020-01-06 DOI: 10.2139/ssrn.3514287

Marios Kokkodis, Panagiotis G. Ipeirotis

{"title":"Demand-Aware Career Path Recommendations: A Reinforcement Learning Approach","authors":"Marios Kokkodis, Panagiotis G. Ipeirotis","doi":"10.2139/ssrn.3514287","DOIUrl":"https://doi.org/10.2139/ssrn.3514287","url":null,"abstract":"A skill’s value depends on dynamic market conditions. To remain marketable, contractors need to keep reskilling themselves continuously. But choosing new skills to learn is an inherently hard task: Contractors have very little information about current and future market conditions, which often results in poor learning choices. Recommendation frameworks could reduce uncertainty in learning choices. However, conventional approaches would likely be inefficient; they would model previous (often poor) observed contractor learning behaviors to provide future career path recommendations while ignoring current market trends. This work proposes a framework that combines reinforcement learning, Bayesian inference, and gradient boosting to provide recommendations on how contractors should behave when choosing new skills to learn. Compared with standard recommender systems, this framework does not learn from previous (often poor) behaviors to make future recommendations. Instead, it relies on a Markov decision process to operate on a graph of feasible actions and dynamically recommend profitable career paths. The framework uses market information to identify current trends and project future wages. Based on this information, it recommends feasible, relevant actions that a contractor can take to learn new, in-demand skills. Evaluation of the framework on 1.73 million job applications from an online labor market shows that its implementation could increase (1) the marketplace’s revenue by up to 6%, (2) contractors’ wages by 22%, and (3) the diversity of new skill acquisitions by 47%. A comparison with alternative recommender systems highlights the limitations of approaches that make recommendations based on previously observed learning behaviors. This paper was accepted by Chris Forman, information systems.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121021030","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 19

Promotional Campaign Duration and Word-of-Mouth in Durable Good Adoption 促销活动的持续时间和耐用品采用的口碑

New York University Stern School of Business Research Paper Series Pub Date : 2019-11-16 DOI: 10.2139/ssrn.3500933

B. Bollinger, K. Gillingham, S. Lamp, Tsvetan G. Tsvetanov

引用次数: 5