Annual Conference

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International Macroeconomics, Money & Banking

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May 2019

Thai Inflation Dynamics: A View from Disaggregated Price Data

Piti DISYATAT, Pym MANOPIMOKE, Tosapol APAITAN
This paper utilizes disaggregated prices at the micro level to examine the patterns of price adjustment in Thailand. Among the key stylized facts, we found that the frequency of price changes are generally low, prices decreases are common, the size of price changes are large relative to the inflatio...
Keywords: Factor model, inflation, price rigidity, price setting, relative prices, Phillips curve
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2019

A Unified Measure of Fed Monetary Policy Shocks

John ROGERS, Chunya BU, Wenbin WU
We develop a U.S. monetary policy shock series that stably bridges periods of conventional and unconventional policymaking, is largely unpredictable, and contains no significant central bank information effect. We attribute differences between our measure and often-used alternatives to our econometr...
Keywords: Monetary policy shocks, Policymaking, interest rates, inflation
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Annual Conference

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Corporate Finance

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May 2017

Does the Market Correctly Value Investment Options?

Egor MATVEYEV, Evgeny LYANDRES, Alexei ZHDANOV
This paper shows that the stock market misprices firms' investment options. We build a real options model of optimal investment under uncertainty to estimate the value of firms' investment options. We show that firms with valuable investment options have a higher likelihood of being mispriced. Impor...
Keywords: Misvaluation, Investment Options, Optimal Investment, Demand Uncertainty, Future Returns, structural estimation
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Annual Conference

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Corporate Finance, Senior Fellows/Fellows

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May 2015

Death by Committee? An Analysis of Corporate Board (Sub)-Committees

Renee B. ADAMS, Vanitha RAGUNATHAN, Robert TUMARKIN
Theoretical models of groups suggest that sub-group usage can affect communication among members and group decision-making. To examine the trade-offs from forming sub-groups, we assemble a detailed dataset on corporate boards (groups) and committees (sub-groups). Boards have increasingly used commit...
Keywords: board of directors, Committee, Decision-Making, Sarbanes-Oxley
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2019

Measuring Mispricing in the Global Market A New Perspective

Hong ZHANG, Massimo MASSA, Yang (Gloria) YU
The determination of asset prices and the identification of related economic grounds are considerately more intricate in the global market due to the potential market segmentation and frictions. In this paper, we propose and test a novel intuition that cross-country mispricing can be identified when...
Keywords: mispricing, Segmented markets, ADR
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