Organisation : Département Finance
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Events
The Cross-Sectional Distribution of Fund Skill Measures
En savoir plusThe Luxembourg School of Finance, the Luxembourg Statistical Society and the Luxembourg Association of Wealth Managers are happy to invite you to this research seminar.
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Technological Innovation and the Distribution of Labor Income Growth
En savoir plusAbstractWe examine how the distribution of worker earnings growth shiftsfollowing major technological advances by the firm, or its competitors,using administrative data from the US. Specifically, we find that own firminnovation is associated with a modest increase in worker earningsgrowth, while innovation by competing firms is related to lower futureworker earnings. Importantly, these earnings changes areasymmetrically…
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Takeover Duration and Negotiation Process
En savoir plusAbstractWe 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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Mind the (Convergence) Gap: Forward Rates Strike Back!
En savoir plusAbstractIf 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
En savoir plusAbstractUsing 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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Capitalists in the Twenty-First Century
En savoir plusHave 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
En savoir plusAbstractThis 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…