These papers are working drafts of research which often appear in final form in academic journals. The published versions may differ from the working versions provided here.
SSRN Research Paper Series
The Social Science Research Network’s Research Paper Series includes working papers produced by Stanford GSB the Rock Center.
You may search for authors and topics and download copies of the work there.
Financing Entrepreneurship and Innovation in China: A Public Policy Perspective
This study reports on the current state-of-affairs in the funding of entrepreneurship and innovations in China and provides a broad survey of academic findings on the subject. We discuss the implications of these findings for public policies…
Chameleons: The Misuse of Theoretical Models in Finance and Economics
Forthcoming at Economica
In this essay I discuss how theoretical models in finance and economics are used in ways that make them “…
Prone to Fail: The Pre-Crisis Financial System
In the years leading up to the financial crisis that began in 2007, the core of the financial system was vulnerable to major shocks emanating from any of a variety of sources. While this particular crisis was triggered by over-levered home owners…
When Losses Turn Into Loans: The Cost of Weak Banks
Winner 2017 BlackRock Applied Research Award
AQR Top Finance Graduate Award 2018
We provide evidence that a weak banking sector contributed to low productivity following the European debt crisis. An…
Valuing Peace: The Effects of Financial Market Exposure on Votes and Political Attitudes
Can participation in financial markets lead individuals to re-evaluate the costs of conflict, change their political attitudes and even their votes? Prior to the 2015 Israeli elections, we randomly assigned Palestinian and Israeli financial…
Learning by Trading
How can we help individuals handle financial decisions in an increasingly complex environment? We explore an easily scalable avenue for improving financial understanding: learning by online trading in stocks. We randomly assign 1345 adults…
Do Banks have an Edge?
We decompose bank activities into passive and active components and evaluate the performance of the active components of the bank business model by controlling for passive maturity transformation strategies that can be executed in the capital…
Foreign Safe Asset Demand and the Dollar Exchange Rate
We develop a theory that links the U.S. dollar’s valuation in FX markets to foreign investors’ demand for U.S. safe assets. When the convenience yield that foreign investors derive from holding U.S. safe assets increases, the U.S. dollar…
Funding Value Adjustments
We demonstrate that the funding value adjustments (FVAs) of major dealers are debt-overhang costs to their shareholders. In order to maximize shareholder value, dealer quotations therefore adjust for FVAs. Our case examples include interest-rate…
Empirical Analysis of Corporate Tax Reforms: What is the Null and Where Did it Come from?
Absent theoretical guidance, empiricists have been forced to rely upon numerical comparative statics from constant tax rate models in formulating testable implications of tradeoff theory in the context of natural experiments. We fill the…
How Investors Can (and Can’t) Create Social Value
Most investors have a single goal: to earn the highest financial return. These socially-neutral investors maximize their risk-adjusted returns and would not accept a lower financial return from an investment that also produced social benefits. An…
The Return Expectations of Institutional Investors
Institutional investors rely on past performance in setting future return expectations, and these extrapolative expectations affect their target asset allocations. Drawing on newly-required disclosures for U.S. public pension funds, a group that…
What Did 1 Trillion Euros Buy Us? Evidence on the Real Effects of Quantitative Easing in Europe
This paper studies the transmission channels of the European Central Bank’s (ECB) asset purchase programs via the banking sector using proprietary data from the Bank of Portugal. Banks that hold larger amounts of assets eligible for ECB purchase…
Corporate Credit Risk Premia
We measure credit risk premia, meaning the price for bearing corporate default risk in excess of expected default losses, using Markit CDS and Moody’s Analytics EDF data. We find dramatic variation over time in credit risk premia, with peaks in…
The Leverage Ratchet Effect
Firms’ inability to commit to future funding choices has profound consequences for capital structure dynamics. With debt in place, shareholders pervasively resist leverage reductions no matter how much such reductions may enhance firm value.…
Debt or Demand: Which Holds Investment Back? Evidence from an Investment Tax Credit
We study how debt frictions and demand affect corporate investment using administrative data from a large temporary investment tax credit in Portugal. We obtain exogenous variation in demand for exporting firms from product-destination-level…
Technological Links and Predictable Returns
This paper finds evidence of return predictability across technology-linked firms. Employing a classic measure of technological closeness between firms, we show that the returns of technology-linked firms have strong predictive power for…
The Term Structure of Currency Carry Trade Risk Premia
Accepted at American Economic Review
Fixing the investment horizon, the returns to currency carry trades decrease as the maturity of the foreign bonds increases, because the local currency term premia offset the currency risk…
ECB Policies involving Government Bond Purchases: Impact and Channels
We evaluate the effects of three ECB policies (the Securities Markets Programme, the Outright Monetary Transactions, and the Long-Term Refinancing Operations) on government bond yields. We use a novel Kalman-filter augmented event-study…
Reverse Mergers, Shell Value, and Regulation Risk in Chinese Equity Markets
Using a comprehensive sample of reverse merger (RM) transactions, we examine the effects of China’s IPO regulations on the prices and returns of its publicly listed stocks. During 2007-2015, unlisted Chinese firms paid an average of 3 to 4…