Séminaires de recherche

Finance

Intervenant : Stijn Van Nieuwerburgh
NYU - Leonard N. Stern School of Business

15 décembre 2016 - T022 - De 14h00 à 15h15


Rich pickings? Risk, Return and Skill in the Portofolio of the Wealthy

Finance

Intervenant : Laurent Bach
Stockholm School of Economics

1 décembre 2016 - T017 - De 14h00 à 15h15


Diversity Investing

Finance

Intervenant : Oliver Spalt
Tilburg University

24 novembre 2016 - T004 - De 14h00 à 15h15


Based on a sample of more than 70,000 top executives in U.S. firms from 2001 to 2014, we show that top management team diversity – a new text–based measure of how diverse managers are in terms of personal characteristics and prior experiences – matters for stock returns. Diversity investing, i.e., going long firms with diverse management teams and short firms with homogenous teams, yields comparable returns, but higher Sharpe ratios, than most leading asset pricing anomalies over our sample period. Returns are driven by large-cap stocks and the long leg of the strategy.

Estimating the Effects of Informational Frictions on Credit Reallocation

Finance

Intervenant : Olivier Darmouni
Columbia Business School

17 novembre 2016 - T032 - De 14h00 à 15h15


This paper introduces a novel empirical approach to study the role of an informational friction limiting the reallocation of credit after a shock to banks. Because lenders use their private information about their borrowers when deciding which relationship to end, borrowers left looking for a new lender are adversely selected. To quantify the effects of this friction on aggregate lending, I develop an econometric model of relationships with three layers of information: (i) all lenders have some information about borrowers, but (ii) each lender has private information about its existing borrowers, and (iii) the econometrician observes neither. I show how to use bank shocks to identify this private information separately from information common to all lenders. I apply this approach to the U.S. corporate loan market during the crisis and find that the probability that a firm finds a new lender after a breakup would be 30% higher if there were no private information. At the aggregate level, $14 billion new loans were not made because of this friction. Moreover, interventions supporting weak lenders exacerbate adverse selection and this equilibrium effect reduces their effectiveness.

Transformation of Corporate Scope in US Bank Holding Companies: Patterns and Performance Implications

Finance

Intervenant : Nicola Cetorelli
Federal Reserve Bank of New York

9 novembre 2016 - S211 - De 14h00 à 15h15


This paper presents the first population‐wide study of the transformation in the business scope of US banks over the last 25 years. Using a novel database containing the time series details of the entire organizational structure of individual bank holding companies, we analyze the evolution of the boundaries of the US banking firm. We document an extremely dynamic industry, where the vast majority of banks pursue a wide array of scope‐transformation strategies, gaining control over diverse business subsidiaries that go well beyond the traditional confines of deposit‐taking and loan‐making, but also exiting from businesses they had entered before. At the industry level, this process of transformation shapes what constitutes the prevailing business model for a banking firm, with scale and scope increasing, and with popularity of particular types of subsidiaries waxing and waning over time, reflecting changes in the underlying technology of financial intermediation. We first duplicate existing research on banks’scope that had relied on listed companies, and confirm that diversification and scope expansion, on the whole, impact performance negatively. We then move beyond existing research by looking at the mode of diversification, considering divestitures, and looking at the specific industries into which banks expand. Due to the breadth of our data, we can track the de facto “modal” business model in terms of subsidiary composition in the sector. We find that firms whose expansion keeps them closer to the “modal bank” are better off compared to those pursuing generic diversification. Likewise, firms that move into “hot” activities, which is where their peers have been investing recently, also benefit. Acknowledging the potential influence of both technological evolution and pressures for conformity with industry trends, we unpack the dynamics of scope expansion over time. We find that early expanders into particular activities actually benefit more—whereas late adopters, rather than benefitting by “fitting the norm,” lose out. Our research thus provides a more nuanced view of the benefits and costs of bank diversification, pointing to the importance of sector‐level transformation and underlining the difference between early and late innovators in terms of changing business scope.


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