Annual Conference

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International Macroeconomics, Money & Banking

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May 2022

Dollar beta and stock returns

Ilhyock SHIM, Hyun Song SHIN, Valentina BRUNO
The financial channel of exchange rates operates through changes in risk-taking by investors and is reflected in the response of financial conditions to exchange rate movements. We show that stock returns also reflect the financial channel of exchange rates, with higher local currency stock returns ...
Keywords: global liquidity, pricing factor, emerging market, exchange rate
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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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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2018

Does Sovereign Risk in Local and Foreign Currency Differ?

Marlene AMSTAD, Frank PACKER, Jimmy SHEK
Historically, sovereign debt in local currency has been considered safer than debt in foreign currency. Yet the literature offers scant theoretical or empirical guidance as to why such a gap exists, or why it appears to have slowly and steadily diminished for all regions over the past two decades, a...
Keywords: sovereign risk, local currency debt, foreign currency debt, Credit Ratings
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Annual Conference

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Accounting

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May 2023

Does Relationship Lending Discipline Disclosure? Evidence from Bailout Loans

Daniel RABETTI
Assessing the Paycheck Protection Program (PPP) — a financial rescue program designed to cover firms’ payroll expenses during the Covid-19 pandemic — I document that the decision of managers whether to reveal the bailout loan details to the public dominates the disclosure strategy of firms tha...
Keywords: disclosure, relationship capital, reputation management, Covid-19 pandemic, financial crisis
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Annual Conference

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Household Finance

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May 2024

Does Regulating Developers Democratize Credit and Homeownership?

Sumit AGARWAL, Mingxuan FAN, Pulak GHOSH, Arkodipta SARKAR, Xiaoyu ZHANG
This study examines the impact of real estate developers on homeownership and the role of regulatory interventions. Over recent decades, developers have substantially influenced global homeownership trends. Despite their pivotal role, concerns persist over operational uncertainties, including projec...
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