AFA2019会议论文（47）：Finance and Resource Allocation

AFA2019会议论文（47）：Finance and Resource Allocation

金融经济学 2月5日

1、Real Effects of Price Transparency: Evidence from Steel Futures

Thorsten Martin, HEC Paris

Abstract

I study the real effects of product price transparency on producers and their customers. I use the introduction of steel futures at the London Metal Exchange and the New York Mercantile Exchange in 2008 as a quasi-natural experiment. I exploit the fact that the futures market did not become a new venue for buying physical steel and did not change firms’ hedging behavior significantly. Instead, the creation of the futures market increased price transparency in the product market. I compare steel products with futures traded on the exchanges to other steel products in a difference-in-differences setting. I find that price transparency reduces prices, producer surplus and customer material costs. Price transparency further reduces input cost dispersion within narrowly defined customer industries and increases the market share of low-cost producers and aggregate producer productivity.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=662

2、The Retirement-Consumption Puzzle: New Evidence from Personal Finances

Arna Olafsson, Copenhagen Business School

Michaela Pagel, Columbia University

Abstract

This paper uses a detailed panel of individual spending, income, account balances, and credit limits from a personal finance management software provider to investigate how expenditures, liquid savings, and consumer debt change around retirement. The longitudinal nature of our data allows us to estimate individual fixed-effects regressions and thereby control for all selection on time-invariant (un)observables. We provide new evidence on the retirement-consumption puzzle and on whether individuals save adequately for retirement. We find that, upon retirement, individuals reduce their spending in both work-related and leisure categories. However, we feel that it is difficult to tell conclusively whether expenses are work related or not, even with the best data. We thus look at household finances and find that individuals delever upon retirement by reducing consumer debt and increasing liquid savings. We argue that these findings are difficult to rationalize via, for example, work-related expenses. A rational agent would save before retirement because of the expected fall in income, and dissave after retirement, rather than the exact opposite.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=802

3、Firm Networks in the Great Depression

Erik Loualiche, University of Minnesota

Chris Vickers, Auburn University

Nicolas Ziebarth, Auburn University

Abstract

We study how firms allocate resources between their constituent establishments during the Great Depression. To do this, we construct an establishment-level dataset from the Census of Manufactures for a select set of industries and link the establishment into their parent companies. We examine the sensitivity of establishment-level employment to changes in local demand and financial conditions across single and multiplant firms. We find that employment in establishments that are a part of a multi-plant firm is more highly correlated with demand than that of a single-plant. At the same time, employment at multi-plant firms is less correlated with financial conditions. We also find that shocks to establishment in one particular region spillover to plants that are part of the same firm but located in a different region. We develop a model of firm networks to interpret these results as evidence for the importance of internal firm networks in channeling resources across space in response to changes in local conditions. We also show how this model explains the empirical fact that employment at multiplant establishments and firms is more volatile than employment at single plant establishments (and firms).

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1326

4、Real Option Exercise: Empirical Evidence

Paul Decaire, University of Pennsylvania

Erik Gilje, University of Pennsylvania

Jerome Taillard, Babson College

Abstract

We use detailed project-level investment data to examine the real option exercise decisions of firms. While aspects of exercise decisions are consistent with real option theory, firms’ exercise behavior deviates from standard real option models in systematic and economically meaningful ways. Although project Net Present Value (NPV) is positive at the time of exercise, firms forego 52% of option value by not delaying investment. Using localized exogenous variation in peer investment activity we identify a channel linked with early exercise based on responses to competitors’ exercise decisions. Our evidence is consistent with agency frictions and information externalities affecting investment timing and project value.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1612

END