Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania最新文献

Heterogeneous-Agent Asset Pricing 异构代理资产定价

Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania Pub Date : 2021-10-22 DOI: 10.2139/ssrn.3807456

James D. Paron

引用次数: 0

The Effects of Transparency on OTC Market-Making 透明度对场外做市的影响

Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania Pub Date : 2021-04-05 DOI: 10.2139/ssrn.3286731

Ryan Lewis, Michael Schwert

引用次数: 2

Online Appendix for: 'Obfuscation in Mutual Funds' 网上附录:“共同基金的混淆”

Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania Pub Date : 2021-03-21 DOI: 10.2139/ssrn.3809981

E. dehaan, Yang Song, Chloe Xie, C. Zhu

引用次数: 0

Vertical Control 垂直控制

Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania Pub Date : 2021-01-01 DOI: 10.2139/ssrn.3793733

Herbert Hovenkamp

{"title":"Vertical Control","authors":"Herbert Hovenkamp","doi":"10.2139/ssrn.3793733","DOIUrl":"https://doi.org/10.2139/ssrn.3793733","url":null,"abstract":"Antitrust litigation often requires courts to consider challenges to vertical “control.” How does a firm injure competition by limiting the behavior of vertically related firms? Competitive injury includes harm to consumers, labor, or other suppliers from reduced output and higher margins. Historically antitrust considers this issue by attempting to identify a market that is vertically related to the defendant, and then consider what portion of it is “foreclosed” by the vertical practice. There are better mechanisms for identifying competitive harm, including a more individualized look at how the practice injures the best placed firms or bears directly on a firm’s ability to reduce output and increase its price without losing so many sales that the price increase is unprofitable. One important consequence of these new approaches is that the market share numbers that the antitrust case law traditionally attaches to foreclosure percentages are not particularly meaningful. The tying and exclusive dealing case law generally aggregates the market subject to foreclosure concerns and considers foreclosure as a percentage of an undifferentiated whole. In general, it proclaims minimum market foreclosure percentages in the range of 30% - 40% as a condition for illegality. When we focus more accurately on marginal effects and the possibility of raising rivals’ costs, however, these numbers are much less significant. For example, if the lowest cost firm in a market is subject to an exclusivity agreement, anticompetitive results, particularly RRC, could obtain even if the percentage of total sales is far less than 30%. By contrast, if only the least efficient firm or firms in a market were made subject to such an agreement, even aggregate foreclosure percentages higher than 40% might result in no competitive harm.","PeriodicalId":80976,"journal":{"name":"Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania","volume":"9 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89309902","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: 0

Financial Fragility with SAM? 资产管理资产的金融脆弱性?

Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania Pub Date : 2020-11-11 DOI: 10.2139/ssrn.3069621

Daniel L. Greenwald, T. Landvoigt, Stijn Van Nieuwerburgh

引用次数: 41

The Risks of Safe Assets 安全资产的风险

Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania Pub Date : 2020-09-25 DOI: 10.2139/ssrn.3699618

Yang Liu, L. Schmid, A. Yaron

{"title":"The Risks of Safe Assets","authors":"Yang Liu, L. Schmid, A. Yaron","doi":"10.2139/ssrn.3699618","DOIUrl":"https://doi.org/10.2139/ssrn.3699618","url":null,"abstract":"US government bonds exhibit many characteristics often attributed to safe assets: They are very liquid and lenders readily accept them as collateral. Indeed, a growing literature documents significant convenience yields, perhaps due to liquidity, in scarce US Treasuries, suggesting that rising Treasury supply and government debt comes with a declining liquidity premium and a fall in firms' relative cost of debt financing. In this paper, we empirically document a dual role for government debt. Through a liquidity channel, an increase in government debt improves liquidity and lowers liquidity premia by facilitating debt rollover, thereby reducing credit spreads. Through an uncertainty channel, however, rising government debt creates policy uncertainty, raising credit spreads and default risk premia. We interpret and quantitatively evaluate these two channels through the lens of a general equilibrium asset pricing model with risk-sensitive agents subject to liquidity shocks, in which firms issue defaultable bonds and the government issues tax-financed bonds that endogenously enjoy liquidity benefits. The calibrated model generates quantitatively realistic liquidity spreads and default risk premia, in line with historical US debt policies and low corporate default rates. Quantitatively, our model suggests that while rising government debt reduces liquidity spreads, it not only crowds out corporate debt financing, and therefore, investment, but also creates uncertainty reflected in endogenous tax volatility, credit spreads, and risk premia, and ultimately consumption volatility. Therefore, increasing safe asset supply can be risky.","PeriodicalId":80976,"journal":{"name":"Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania","volume":"17 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90972450","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

Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity 共同基金流动性转换与流动性反向外逃

Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania Pub Date : 2020-07-29 DOI: 10.2139/ssrn.3640861

Yiming Ma, Kairong Xiao, Yao Zeng

引用次数: 82

Heterogeneous Passthrough from TFP to Wages 全要素生产率对工资的异质性传递

Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania Pub Date : 2020-05-07 DOI: 10.2139/ssrn.3538503

Mons Chan, Sergio C. Salgado, Ming Xu

{"title":"Heterogeneous Passthrough from TFP to Wages","authors":"Mons Chan, Sergio C. Salgado, Ming Xu","doi":"10.2139/ssrn.3538503","DOIUrl":"https://doi.org/10.2139/ssrn.3538503","url":null,"abstract":"In this paper, we use matched employer-employee data from Denmark to analyze the extent to which firms’ productivity shocks are passed to workers wages. The richness of our dataset allows us to separately study continuing and non-continuing workers (switchers), to correct for selection, and to investigate how the passthrough varies across narrow population groups. Our results show a much larger degree of passthrough from firms’ shocks to workers’ wages than reported in previous research. On average, an increase of one standard deviation in firm-level TFP commands an increase of 3.0% in annual wages ($1500 USD for the average worker). Furthermore, we find that the effect of productivity shocks on wage growth for switchers is of larger magnitude relative to workers that stay in the same firm. Finally, we find large differences in the passthrough of productivity shocks to wages for workers of different income levels, ages, industries, and working in firms of different productivity levels. In the second part of our paper, we estimate a stochastic process of income that captures the salient features of the relation between firm-level shocks and the passthrough to workers' wages. We then embed the estimated stochastic process into a life-cycle consumption savings model with incomplete markets in order to evaluate the welfare and distributional implications of the passthrough from firm's TFP shocks to worker's wages we observe in the data.","PeriodicalId":80976,"journal":{"name":"Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania","volume":"5 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89703518","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: 21

An Analytic Framework for Interpreting Investment Regressions in the Presence of Financial Constraints 金融约束下投资回归的分析框架

Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania Pub Date : 2020-03-01 DOI: 10.2139/ssrn.3558246

Andrew B. Abel, Stavros Panageas

引用次数: 5

Joint Bottom-Up Method for Forecasting Grouped Time Series: Application to Australian Domestic Tourism 联合自下而上的分组时间序列预测方法:在澳大利亚国内旅游中的应用

Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania Pub Date : 2020-02-21 DOI: 10.2139/ssrn.3542278

N. Bertani, Ville A. Satopää, Shane T. Jensen

{"title":"Joint Bottom-Up Method for Forecasting Grouped Time Series: Application to Australian Domestic Tourism","authors":"N. Bertani, Ville A. Satopää, Shane T. Jensen","doi":"10.2139/ssrn.3542278","DOIUrl":"https://doi.org/10.2139/ssrn.3542278","url":null,"abstract":"Many applications involve a hierarchy of time-series, where values at the bottom level aggregate to values at higher levels. Forecasts of such hierarchical data need to be accurate, probabilistic, and coherent in the sense of respecting hierarchical aggregation. While recent developments have explicitly modeled every time-series in the hierarchy, we show, under general conditions, that hierarchical data can be modeled jointly by considering only its bottom-level series and their contemporaneous covariance. Inspired by this result, we devise a Bayesian method that models bottom-level series jointly, takes into account their contemporaneous covariance, and performs automatic selection of lag terms, both within and across series. The model copes with high-dimensional data, and outputs both point and probabilistic forecasts. Additionally, it returns posterior distributions of all parameters, which can be used for inference. As a case study, we apply our method to make recommendations on planning and promotion of domestic tourism in Australia. Our model reveals the hidden spatio-temporal dynamics of different types of domestic tourism in Australia, and allows us to explore how promotional investments could be localized to develop tourism in accordance with the declared desiderata of the Australian government.","PeriodicalId":80976,"journal":{"name":"Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania","volume":"9 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74697717","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: 3