AFA2019会议论文：Finance and Resource Allocation

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

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.

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

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.

3、Firm Networks in the Great Depression

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).

4、Real Option Exercise: Empirical Evidence

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.