Séminaires de recherche

THE CAPM HOLDS

Finance

Intervenant : Michael Hasler

11 octobre 2018 - T104 - De 14h00 à 15h15

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Under some realistic condition, the conditional risk premium of an asset is equal to its conditional market beta times the conditional risk premium of the market (Merton, 1972). We empirically test this CAPM relationship using beta-sorted portfolios, size-and-book-to-market sorted portfolios, and industry portfolios. We show that regressing an asset excess return onto the product of its conditional beta and the market excess return yields an R2 of about 80%, an intercept of zero, and a slope of one. These results provide strong evidence that a single factor explains both the level and the variation in the cross-section of returns.

Finance

Intervenant : Cecilia Bustamante

4 octobre 2018 - T004 - De 14h00 à 15h15


(Why) do central banks care about their profits?

Finance

Intervenant : Martin Schmalz

27 septembre 2018 - T104 - De 14h00 à 15h15

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We document that central banks are significantly more likely to reportslightly positive profitsthan slightly negative profits, especially amid greater political pressure, the public’s receptiveness to more extreme political views, and when governors are reappointable. Profit concerns are absent when no such factors are present. The propensity to report small profits over small losses is correlated with a more lenient monetary policy and greater tolerance for inflation. We conclude that profitability concerns, although absent from standard theory, are present and effective in practice. These findings inform a debate about monetary stability and the effectiveness of non-traditional central banking.

Firms’ Internal Networks and Local Economic Shocks

Finance

Intervenant : Xavier Giroud

21 septembre 2018 - T105 - De 14h00 à 15h15

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This paper shows that firms’ internal networks of establishments constitute an important channel through which local shocks propagate across U.S. regions. Using confidential data at the establishment level from the U.S. Census Bureau, we find that local establishment-level employment responds strongly to shocks in distant regions in which the firm is operating. Consistent with theory, the elasticity with respect to such shocks is increasing in firms’ financial constraints. To account for general equilibrium adjustments, we examine aggregate employment at the county level. We find that county-level employment is highly sensitive to shocks in other counties linked through firms’ internal networks.

Bank Restructuring without Government Intervention

Finance

Intervenant : Jean-Charles Rochet

13 septembre 2018 - T105 - De 14h00 à 15h15

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This paper explores a new type of bank restructuring that solve the underinvestment problem of banks burdened with non-performing loans (NPLs). If such a bank is allowed to segregate its NPLs and legacy debt in a Bad Bank, it may find it profitable to make new loans. Bad Banks are often created by Resolution Authorities and involve injection of public funds. We investigate a different type of Bad Bank initiated by the original shareholders with no injection of public funds. Such a restructuring is in the spirit of the bail-in regime required by the Bank Recovery and Resolution Directive in the EU and Dodd-Frank Act in the USA. We study the conditions under which a legislation that allows such restructuring is welfare improving, and calibrate the model.


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