Working Papers

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.

Rohan Douglas, Antje Berndt, Darrell Duffie, Mark Ferguson
November 25, 2017

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...

Dana Foarta, Takuo Sugaya
November 18, 2017

Contracts that compensate workers if they choose to leave an organization - or Pay to Quit programs - are becoming increasingly prevalent in both established and new companies. In this paper, we address the puzzle of...

David F. Larcker, Peter C. Reiss, Brian Tayan
November 16, 2017

The board of directors is expected to ensure that management has identified and developed processes to mitigate risks facing the organization, including risks arising from data theft and the loss of information. Unfortunately, recent experience...

Maureen McNichols, William H. Beaver, Zach Zhiguang Wang
November 9, 2017

This study examines the factors contributing to a striking increase in information content of quarterly earnings announcements, measured as the absolute magnitude of stock price revision at earnings announcements relative to price revision at other...

Dana Foarta, Vladimir Asriyan
November 2017

Draft coming soon.

Anat R. Admati, Peter M. DeMarzo, Martin F. Hellwig, Paul Pfleiderer
November 2017

Forthcoming in Journal of Finance

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...

Moritz Marbach, Jens Hainmueller, Dominik Hangartner
November 2017

Many European countries impose employment bans that prevent asylum seekers from entering the local labor market for a certain waiting period upon arrival. We provide evidence on the long-term effects of such employment bans on...

Sebastian Di Tella, Pablo Kurlat
November 2017

We propose a model of banks’ exposure to movements in interest rates and their role in the transmission of monetary shocks. Since bank deposits provide liquidity, higher interest rates allow banks to earn larger spreads...

Hayagreeva Rao, Sunasir Dutta
November 2017

We extend the emergent lens on strategy formulation by arguing that great strategies arise from insurgent identity movements. In motivating the paper, we depict Steve Jobs as an activist constituted by the personal computing movement...

Basak Kalkanci, Erica Plambeck
October 31, 2017

This paper contributes to a recent thrust in the OM literature on how various sorts of transparency influence social and environmental responsibility in a supply chain. In practice, companies are under pressure to publish their...

Aruna Ranganathan, Ranjitha Shivaram
October 23, 2017

Using ethnographic, personnel, and field experimental data from an Indian garment factory, this paper investigates whether manager gender affects worker productivity and if so, how. We argue that female managers motivate greater worker productivity than...

Richard Lu, Jennifer A. Chatman, Amir Goldberg, Sameer B. Srivastava
October 23, 2017

From the schoolyard to the boardroom, the pressures of cultural assimilation pervade all walks of social life. Yet people vary in the capacity to fit in culturally, and their fit can wax and wane over...

Charles M. C. Lee, Stephen Teng Sun, Rongfei Wang, Ran Zhang
October 23, 2017

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 focal firms’ returns. ...

Alberto Abadie, Susan Athey, Guido W. Imbens, Jeffrey Wooldridge
October 9, 2017

In empirical work in economics it is common to report standard errors that account for clustering of units. Typically, the motivation given for the clustering adjustments is that unobserved components in outcomes for units within...

Barney Hartman-Glaser, Benjamin Hébert
October 3, 2017

We introduce a model to explain the widespread failure to index contracts to aggregate indices, despite the apparent risk-sharing benefits of indexation. Our model features these benefits, but demonstrates that asymmetric information about the ability...

Charles M. C. Lee, Christina Zhu
October 1, 2017

We use trade-level data to examine the role of mutual funds (MFs) in earnings news dissemination. MFs trade (172%) more on earnings announcement (EA) days than on non-EA days. The EA trades made by MFs...

Hanno Lustig, Andreas Stathopoulos, Adrien Verdelhan
October 2017

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 premia. The time series predictability of...

Maja Rudolph, Francisco Ruiz, Susan Athey, David Blei
September 28, 2017

Word embeddings are a powerful approach for analyzing language, and exponential family embeddings (EFE) extend them to other types of data. Here we develop structured exponential family embeddings (S-EFE), a method for discovering embeddings that...

Joshua Kalla, David Broockman
September 26, 2017

Significant theories of democratic accountability hinge on how political campaigns affect Americans’ candidate choices. We argue that the best estimate of the effects of campaign contact and advertising on Americans’ candidates choices in general elections...