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Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees
We examine the pricing of financial crash insurance during the 2007-2009 financial crisis in US option markets, and we show that a large amount of aggregate tail risk is missing from the cost of financial sector crash insurance during the crisis. The difference in costs between out-of-the-money put options for individual banks and puts on the financial sector index increases four-fold from its precrisis 2003-2007 level. We provide evidence that a collective government guarantee for the financial sector lowers index put prices far more than those of individual banks and explains the increase in the basket-index put spread.
Journal Article
شركاء في الجريمة : الدور البريطاني في غزو العراق : الملخص التنفيذي لتقرير لجنة تشيلكوت للتحقيق بشأن العراق
اعتادت القوى العظمى أن تبحث عن مبررات آنية ومباشرة (نظيفة) لتخوض حروبها المقررة مسبقا لأهداف استراتيجية (قذرة) أبعد من تلك الأهداف المباشرة المعلنة. هكذا خاضت الولايات المتحدة الأمريكية حروبها طوال القرن العشرين ومطلع القرن الحادي والعشرين، وكان آخرها غزو العراق واحتلاله عام 2003، تحت مبررات كاذبة تتعلق بأسلحة دمار شامل يملكها العراق وبتورط نظامه بالإرهاب. ولم يختلف الأمر بالنسبة إلى بريطانيا، الحليف الأساسي للولايات المتحدة في حربها الأخيرة تلك. لكن ما اختلف في الموضوع أن المبررات \"النظيفة\" الكاذبة التي قدمها رئيس الوزراء البريطاني توني بلير إلى حكومة بلاده ومجلس عمومها لتشريع مشاركته في تلك الحرب لم تمر بلا محاسبة بعد انكشاف زيفها ونتائجها الكارثية، كما تمر عادة في الولايات المتحدة الأمريكية. يقدم هذا الكتاب الترجمة العربية للملخص التنفيذي لتقرير لجنة التحقيق في شأن العراق التي ألفها رئيس الوزراء البريطاني غوردن براون عام 2009 للتحقيق في التباسات مشاركة بريطانيا في غزو العراق واحتلاله عام 2003 في عهد رئيس الوزراء الاسبق توني بلير. يساهم هذا الكتاب في تقديم تفاصيل مهمة عن واحدة من أخطر الحروب التي خاضتها بريطانيا (إلى جانب الولايات المتحدة) بعد الحرب العالمية الثانية، والتي أدت إلى تدمير وشل قدرات واحد من أهم البلدان العربية اقتصاديا وعسكريا واستراتيجيا وحضاريا وتهديدا لإسرائيل. ويعد الكتاب خلاصة عمل سبع سنوات للجنة التحقيق البريطانية التي وضعت عام 2016 تقريرا مؤلفا من أثني عشر جزءا تدين بصورة واضحة تورط الحكومة البريطانية في تلك الحرب.
BOOK
National and Office-Specific Measures of Auditor Industry Expertise and Effects on Audit Quality
Our paper examines whether audit quality is higher for industry audit specialists at the national and cityoffice levels using the framework developed in Ferguson et al. [2003] and Francis et al. [2005]. We find that auditors who are both national and city-specific industry specialists have clients with the lowest abnormal accruals, suggesting that joint national and city-specific industry specialists have the highest audit quality. In addition, we find some evidence that abnormal accruals of firms audited by city-industry specialists alone (without also being national specific industry specialists) are lower than those audited by nonindustry specialists. Using alternative measures of audit quality, we find that when the auditor is both a national and a city-specific industry specialist, its clients are less likely to meet or beat analysts' earnings forecasts by one penny per share and more likely to be issued a going-concern audit opinion. Together these results provide consistent evidence that audit quality is higher when the auditor is both a national and city-specific industry specialist, suggesting that auditors' national positive network synergies and the individual auditors' deep industry knowledge at the office level are jointly important factors in delivering higher audit quality.
Journal Article
Human capital and the wealth of nations
We reevaluate the role of human capital in determining the wealth of nations. We use standard human capital theory to estimate stocks of human capital and allow the quality of human capital to vary across countries. Our model can explain differences in schooling and earnings profiles and, consequently, estimates of Mincerian rates of return across countries. We find that effective human capital per worker varies substantially across countries. Cross-country differences in Total Factor Productivity (TFP) are significantly smaller than found in previous studies. Our model implies that output per worker is highly responsive to changes in TFP and demographic variables.
Journal Article
Does Borrower and Broker Race Affect the Cost of Mortgage Credit?
We test for pricing disparities in mortgage contracts using a novel data set that allows us to observe the race and ethnicity of both parties to the loan. We find that minorities pay between 3% and 5% more in fees than similarly qualified whites when obtaining a loan through the same white broker. Critically, we find that the premium paid by minorities depends on the race of the broker. We also examine recent policy changes around broker compensation rules that may not only reduce these price disparities but may also limit access to credit for minorities.
Journal Article
Retail Short Selling and Stock Prices
Using proprietary data on millions of trades by retail investors, we provide the first large-scale evidence that retail short selling predicts negative stock returns. A portfolio that mimics weekly retail shorting earns an annualized risk-adjusted return of 9%. The predictive ability of retail short selling lasts for one year and is not subsumed by institutional short selling. In contrast to institutional shorting, retail shorting best predicts returns in small stocks and those that are heavily bought by other retail investors. Our findings are consistent with retail short sellers having unique insights into the retail investor community and small firms' fundamentals.
Journal Article
The Effects of DNA Databases on the Deterrence and Detection of Offenders
This paper studies the effects of adding criminal offenders to a DNA database. Using a large expansion of Denmark’s DNA database, we find that DNA registration reduces recidivism within the following year by up to 42 percent. It also increases the probability that offenders are identified if they recidivate, which we use to estimate the elasticity of crime with respect to the detection probability and find that a 1 percent higher detection probability reduces crime by more than 2 percent. We also find that DNA registration increases the likelihood that offenders find employment, enroll in education, and live in a more stable family environment.
Journal Article
Women and Power: Unpopular, Unwilling, or Held Back?
We use Spain’s Equality Law to test for the existence of agency problems between party leaders and their constituents. The law mandates a 40 percent female quota on electoral lists in towns with populations above 5,000. Using pre- and postquota data by party and municipality, we implement a triple-difference design. We find that female quotas resulted in slightly better electoral results for the parties that were most affected by the quota. Our evidence shows that party leaders were not maximizing electoral results prior to the quota, suggesting the existence of agency problems that hinder female representation in political institutions.
Journal Article