Finance Archives

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Takeover Duration and Negotiation Process

AbstractWe study the determinants of takeover duration. We focus onbidder-initiated, one-to-one negotiations. As time goes on, bothparties learn about true deal synergies due to the negotiationprocess. At any moment, rival bidders can show up and competefor the target. Using a discrete time finite horizon dynamicprogramming approach, we study the equilibrium relationsbetween the negotiation duration, the…

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7th Luxembourg Asset Management Summit

Invitation for the Keynote speech

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Mind the (Convergence) Gap: Forward Rates Strike Back!

AbstractIf a variable other than forward rates predicts future bond excessreturns, it must also provide information on the future path ofyields. We show that the difference between the natural rate ofinterest and the current level of monetary policy stance, dubbedConvergence Gap (CG), forecasts changes in yields and helpsidentify whether forward rates reflect expectations of future…

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Friends during Hard Times: Evidence from the Great Depression

AbstractUsing a novel dataset of over 3500 public and private firms, we construct thenetwork of firm connections through executives and directors on the eve of the1929 financial market crash. We find that more connected firms have higher 10-year survival rates, on average and using geographic market segmentation foridentification. Consistent with a financing channel, the results…

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The Limits of Limited Liability: Evidence from Industrial Pollution

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Capitalists in the Twenty-First Century

Have passive rentiers replaced the working rich at the top of the U.S. income distribution? Using administrative data linking 10 million firms to their owners, this paper shows that private business owners who actively manage their firms are key for top income inequality. Private business income accounts for most of the rise of top incomes…

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A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets

AbstractThis paper studies the dynamic interaction between the netpositions of commercial hedgers and non-commercialspeculators and risk premiums in commodity futures markets.Short-term position changes are mainly driven by the liquiditydemands of non-commercial traders, while long-term variationis primarily driven by the hedging demands from commercialtraders. These two components influence expected futuresreturns with opposite signs. The gains from…

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Arbitrage Free Dispersion

AbstractWe develop a theory of arbitrage-free dispersion (AFD) thatcharacterizes the testable restrictions of asset pricing models.AFD measures Jensen’s gap in the cumulant generating functionof pricing kernels and returns. It implies a wide family of modelfreedispersion constraints, which extend dispersion and codispersionbounds in the literature and are applicable with aunifying approach in multivariate and multiperiod settings.Empirically,…

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