Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2013

Participants in defined contribution (DC) retirement plans rarely adjust their portfolio allocations, suggesting that their investment choices and consequent money flows are sticky and not discerning. However, participants’ inertia could be offset by DC plan sponsors, who adjust the plan’s inves...
Keywords: Flow-Performance Sensititivity, Defined Contribution Pension Plans, Retirement Savings
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2013

We contribute to the literature on the international transmission of balance sheet shocks that pummeled the banks of the industrialized countries in 2008 and 2009. We examine over time bank level data on over 21,000 banks located around the world. Our identification strategy relies on the differenti...
Keywords: Cross-border bank lending, financial crisis, Contagion to emerging markets
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Annual Conference

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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2013

To better understand the role that loan officers’ incentives played in the origins of the financial crisis, we study a controlled field experiment conducted by a large bank. In the experiment, the incentive structure of a subset of small business loan officers was altered from fixed salary to volu...
Keywords: loan officers, default, housing bubble, financial crisis
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Annual Conference

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Corporate Finance

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May 2013

We study the out-of-sample and post-publication return-predictability of 97 variables that academic studies show to predict cross-sectional stock returns. Portfolio returns are 26% lower out-of-sample and 58% lower post-publication. The out-of-sample decline is an upper bound estimate of data mining...
Keywords: anomalies, arbitrage, limits of arbitrage, Short Selling, predicting stock returns
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Annual Conference

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Corporate Finance, Senior Fellows/Fellows

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May 2013

We study how corporate hedging affects the demand of foreign institutional investors. We collect measures of foreign exchange hedging and interest rate hedging for a comprehensive sample of international companies. We document a strongly positive relationship between foreign institutional demand and...
Keywords: hedging, foreign exchange hedging, interest rate hedging, foreign ownership, international institutional investors
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