Annual Conference

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Corporate Finance

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May 2021

Dividend Policy in the Era of Big Data

Shujing WANG, Yancheng QIU, Tao SHU
The releases of real-time satellite data of U.S. retail firms’ parking lot traffic reduce information asymmetry between managers and outside investors. Using the staggered releases of satellite data as a quasi-natural experiment, we test the competing dividend theories based on information asymmet...
Keywords: Alternative Data, Satellite Imagery Data, Dividend Policy, Outcome Model, Substitute Model, Signaling Model, Corporate governance
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2021

Corporate Loan Spreads and Economic Activity

Sascha STEFFEN, Anthony SAUNDERS, Daniel STREITZ, Alessandro SPINA
We use secondary corporate loan-market prices to construct a novel loan-market-based credit spread. This measure has considerable predictive power for economic activity across macroeconomic outcomes in both the U.S. and Europe and captures unique information not contained in public market credit spr...
Keywords: credit spreads, Secondary loan market, bonds, credit supply, Business cycle, COVID-19
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2021

Post COVID-19 Exit Strategies and Emerging Markets Economic Challenges

Joshua AIZENMAN, Hiro ITO
We outline two divergent exit strategies of the U.S. from the post COVID-19 debt-overhang, and analyze their implications on Emerging Markets and global stability. The first strategy is the U.S. aiming at returning to the 2019, pre-COVID mode of loose fiscal policy and accommodating monetary policy....
Keywords: COVID-19, interest rate, public debt, growth rate
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2021

What Explains the Crash of Bank Stock Prices During COVID-19?

Viral V. ACHARYA, Sascha STEFFEN, Robert ENGLE
We provide evidence consistent with a “credit-line drawdown channel” to explain the large and persistent crash of bank stock prices during the COVID-19 pandemic. Stock prices of banks with large ex-ante exposures to undrawn credit lines and large ex-post gross drawdowns declined more, especially...
Keywords: Credit lines, liquidity risk, bank capital, loan supply, stress tests, Pandemic
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2021

Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach

Alessandro REBUCCI, Christopher OTROK, Andrew FOERSTER, Gianluca BENIGNO
We estimate a workhorse DSGE model with an occasionally binding borrowing constraint. First, we propose a new specification of the occasionally binding constraint, where the transition between the unconstrained and constrained states is a stochastic function of the leverage level and the constraint ...
Keywords: financial crises, Business Cycles, Endogenous Regime-Switching, Bayesian Estima- tion, Occasionally Binding Constraints, Mexico.
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