Annual Conference

|

Investment Finance, Senior Fellows/Fellows

|

May 2023

Long-term Earnings Forecasts, Managerial Distortion, and Stock Returns

Massimo MASSA, Allaudeen HAMEED, Zhenghui NI
We explain stock mispricing linked to long-term expectations of earnings growth in terms of managerial manipulation in high-growth conglomerates. Manipulation does not affect analysts’ forecasts of conglomerate earnings, which are more accurate relative to pseudo-conglomerates. The combined effect...
Keywords: overreaction, analyst forecasts, return predictability, earnings predictability, managerial manipula
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

Investment Finance, Senior Fellows/Fellows

|

May 2023

Portfolio Rebalancing and Consumption Response of Households to Monetary Policy Shocks

Sumit AGARWAL, Pulak GHOSH, Changcheng SONG, Yeow Hwee CHUA
Using micro-level administrative data from India, we examine the portfolio rebalancing and consumption response of households to changes in interest rate. By exploiting variation in the timing of expiry of term deposits, we find that when interest rate falls, households rebalance their portfolio fro...
Keywords: Monetary Policy, Household Finance, Portfolio Rebalancing, Consumption, Savings, Liquidity
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

Corporate Finance, Senior Fellows/Fellows

|

May 2023

Political Partisanship and the Transmission of Fiscal Policy

Pulak GHOSH, Francesco DACUNTO, Alberto G. ROSSI
We document that support for the ruling party (“partisanship”) increases the take-up of government programs in which participation is costly. The take-up rates of a large-scale Indian loan-guarantee program, Mudra loans, diverge across low- and high-partisanship electoral districts but only mont...
Keywords: Heterogeneous Beliefs, Political Finance, Government Spending, Loans, Fiscal Policy, Government Prog
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

International Macroeconomics, Money & Banking, Senior Fellows/Fellows

|

May 2023

Reserves were not so ample after all

Darrell DUFFIE, Adam COPELAND, Yilin (David) YANG
The Federal Reserve’s “balance-sheet normalization,” which reduced aggregate reserves between 2017 and September 2019, increased repo rate distortions, the severity of rate spikes, and intraday payment timing stresses, culminating with a significant disruption in Treasury repo markets in mid-S...
Keywords: Repo rates, reserves, Treasuries, payments, central-bank balance sheet
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

International Macroeconomics, Money & Banking, Senior Fellows/Fellows

|

May 2023

Dollar Reserves and U.S. Yields: Identifying the Price Impact of Official Flows

Alessandro REBUCCI , Rashad AHMED
This paper shows that the price impact of foreign official (FO) purchases or sales of U.S. Treasuries (USTs) is about twice as large as previously reported in the literature once critical sources of endogeneity are addressed. We also show that prevailing estimates of this price impact suffer from om...
Keywords: Foreign official flows, Global savings glut, Identification via heteroskedasticity, Interest rates conundrum, International reserves, U.S. Dollar, VARs
  • View
  • Download
  • Bookmark
  •    |