Senior Fellows/Fellows

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Senior Fellows/Fellows

Efficient Contracting in Network Financial Markets

Darrell DUFFIE, Chaojun WANG
We model bargaining in over-the-counter network markets over the terms and prices of contracts. Of concern is whether bilateral non-cooperative bargaining is suÿcient to achieve eÿciency in this multilateral setting. For example, will market participants as-sign insolvency-based seniority in a soc...
Keywords: Over-the-counter, network, contracting, bargaining, eÿciency, game theory
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Anti-Corruption Reforms and Shareholder Valuations: Event Study Evidence from China

Randall MORCK, Bernard YEUNG, Chen LIN, Xiaofeng ZHAO
Consistent with reduced expected corruption adding value overall, Chinese shares rise sharply on the December 4th 2012 launch of major anti-corruption reforms starting with curtailing extravagant spending by or for Party cadres. SOEs gain broadly, consistent with the reform cutting their top manager...
Keywords: Anti-Corruption, Marketization, Bribery Intensity, Firm Value
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Senior Fellows/Fellows

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Senior Fellows/Fellows, 2017

The Impact of Sin Culture: Evidence from Earnings Management and Alcohol Consumption in China

Hong ZHANG, Massimo MASSA
We study how secular culture affects firm behavior when formal institutions fall short. We find that firms more exposed to alcohol-related sin culture exhibit more earnings management and lean their operations more toward local business partners. Tests using latitude and snow/temperature as instrume...
Keywords: Culture, Earnings management, Alcohol, Geographic shocks
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Annual Conference

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Investment Finance

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May 2015

A Market-Based Funding Liquidity Measure

Chen ZHUO, Andrea LU
We construct a traded funding liquidity measure from stock returns. Guided by a model, we extract the measure as the return spread between two beta-neutral portfolios constructed using stocks with high and low margins, to control for their sensitivity to the aggregate funding shocks. Our measure of ...
Keywords: Funding liquidity, Leverage, Margin requirements
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Annual Conference

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Accounting

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May 2015

Accounting Measurement of Assets and Earnings and Market Valuation of Firm Assets

Ning ZHANG, Chen QI
In this paper we evaluate the quality of accounting reports for valuation purpose from a measurement error based perspective. This perspective views accounting assets and earnings noisy measurements of their underlying economic constructs, economic assets and economic income. We show that the useful...
Keywords: Accounting measurement, economic assets, economic income, accural accounting
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