Annual Conference

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International Macroeconomics, Money & Banking

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May 2017

Modelling Yields at the Lower Bound through Regime Shifts

Peter HORDAHL, Oreste TRISTANI
We propose a regime-switching approach to deal with the lower bound on nominal interest rates in dynamic term structure modelling. In the “lower bound regime”, the short term rate is expected to remain constant at levels close to the effective lower bound; in the “normal regime”, the short r...
Keywords: monetary policy rate expectations, regime switches, term premia, term structure of interest rates, zero lower bound
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2017

More than Words: A Textual Analysis of Monetary Policy Communication

Pongsak LUANGARAM, Warapong WONGWACHARA
This paper employs various tools from computational linguistics to monetary policy statements to gain exploratory insights into the nature of central bank communication. The sample was taken from a wide array of central banks, covering major central banks and others under the inflation-targeting (IT...
Keywords: monetary policy, Communication, Computational linguistics
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Annual Conference

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Accounting

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May 2017

Naughty Firms, Noisy Disclosure

Guoman SHE, Alminas ZALDOKAS, Thomas BOURVEAU
We empirically study how collusion in the product markets affects firms’ financial disclosure strategies. By exploiting exogenous variations to the costs of illegal pricefixing, we find that U.S. firms start sharing more detailed information in their financial disclosure about their customers, con...
Keywords: Voluntary Disclosure, Antitrust Enforcement, Collusion, Tacit Coordination
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Annual Conference

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Corporate Finance

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May 2017

The Dollar Profits to Insider Trading

Peter CZIRAKI, Jasmin GIDER
This paper studies insider trading quantities and dollar profits to measure the benefits insiders extract from their superior information. Dollar profits are economically small for a typical insider, the median insider earning $464 per year. The correlation between dollar profits and percentage retu...
Keywords: insider trading, trading profits, Corporate governance, executive compensation
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Annual Conference

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Investment Finance

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May 2017

Persistent Blessings of Luck: Theory and an Application to Venture Capital

Lin William CONG, Yizhou XIAO
Persistent performance in venture capital is routinely interpreted as evidence for skill. We present a dynamic model of delegated investment with endogenous fund heterogeneity and deal flow, which generates performance persistence without skill differences and predicts mean reversion in long-term pe...
Keywords: contracting, Deal Flows, Delegated Investment, Entrepreneurial Finance, Managerial Skill, Moral Hazard, private equity, Venture Capital
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