Annual Conference

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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2014

Lehman Sisters

Renee B. ADAMS, Vanitha RAGUNATHAN
Would the crisis have happened if Lehman Brothers had been Lehman Sisters? Evidence on population gender differences in risk-aversion suggest not. Consistent with the idea that female managers need not be more risk-averse than men, we find that listed banks with more female directors did not engage ...
Keywords: Renée B. Adams (University of New South Wales), Vanitha Ragunathan (University of Queensland)
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2014

Lending Pro-Cyclicality and Macro-Prudential Policy: Evidence from Japanese LTV Ratios

Arito ONO, Hirofumi UCHIDA, Gregory UDELL, Iichiro UESUGI
Using unique micro data compiled from the real estate registry in Japan, we examine more than 400,000 loan-to-value (LTV) business loan ratios to draw implications for caps on LTV ratios as a macroprudential policy measure. We find that the LTV ratio exhibits counter-cyclicality, behavior that would...
Keywords: LTV ratios, Pro-cyclicality, Macroprudential Policy, Bubble
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2014

Low Latency Trading and Comovement of Order Flow and Prices

Ekkehart BOEHMER, R. L. SHANKAR
We examine the impact of algorithmic trading (AT) in equities on the comovement of order flow, returns, liquidity, and volatility to assess how AT affects the market’s susceptibility to systemic shocks. Using order-level data around a natural experiment at the National Stock Exchange of India, whi...
Keywords: Algorithmic trading, equities, systemic shocks, large-cap firms
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Annual Conference

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Investment Finance

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May 2014

Mutual Fund Competition, Managerial Skill, and Alpha

Nagpurnanand PRABHALA, Gerard HOBERG, Nitin KUMAR
What economic forces limit mutual fund managers from generating consistent outperformance? We propose and test the hypothesis that buy-side competition from other funds matters. We make three contributions. First, we propose new style-based spatial methods to identify the customized rivals of each f...
Keywords: Mutual Funds, alpha, skill, persistence, Competition, peers, benchmarking
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2014

One Fundamental and Two Taxes: When Does a Tobin Tax Reduce Financial Price Volatility?

Yongheng DENG, Shang-Jin WEI , Xin LIU
We aim to make two contributions to the literature on the effects of transaction costs on financial price volatility. First, by augmenting a double differencing approach with a research design with three ingredients (a common set of companies simultaneously listed on two stock exchanges, binding cap...
Keywords: Tobin tax, Transaction costs, price volatility, Chinese stocks
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