Three Essays On Customer Supplier Networks And Financial Markets
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Three Essays On Customer Supplier Networks And Financial Markets
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Author : Xiao Yu
language : en
Publisher:
Release Date : 2018
Three Essays On Customer Supplier Networks And Financial Markets written by Xiao Yu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
This thesis is composed of three independent essays on customer-supplier networks and financial markets. The first chapter, entitled "Economic Links and Return Volatility", is co-authored with Keyi Zhang and Ramazan Gencay. This study investigates the propagation of stock return volatility along supply chains. Our results show that the effect of customer volatility is approximately 10 times as large as trading volume on supplier's volatility. Our findings are robust to controlling for variables capturing the time-series properties of volatility and a set of idiosyncratic, industry and market factors; tested under various assumptions regarding the activeness of customer-supplier linkages; and to different estimation methods. Our out-of-sample tests provide consistent evidence that incorporating customer channel improves volatility forecasting. Furthermore, the transfer of volatility is more pronounced when investors are more aware of customer-supplier linkages. The second chapter, entitled "Resilience to the Financial Crisis in Customer-Supplier Networks" is also co-authored with Ramazan Gencay and Keyi Zhang. Inspired by the Capital Asset Pricing Model (CAPM) beta, we construct customer and supplier betas to separately investigate potentially different properties of downstream and upstream linkages. With the adjacency matrix acting as a "filter" to extract each company's return covariances with its trading partners, the cross-sectional dependence contained in the customer-supplier network is summarized by our betas. We explore how these two betas are related to a company's resilience to the financial crisis of 2008-2009. We observe that a higher customer beta is generally associated with more resilience during the crisis. The third chapter, entitled "Economic Links and Credit Spreads", is co-authored with Ramazan Gencay, Daniele Signori, Yi Xue and Keyi Zhang. This paper has been published in the Journal of Banking and Finance. This study describes a model of financial networks that is suitable for the construction of proxies for counterparty risk. We find that, for each supplier, counterparties' leverage and option implied volatilities are significant determinants of corporate credit spreads in the period after the 2008-2009 U.S. recession. Our findings are robust after controlling for several idiosyncratic, industry, and market factors.
Three Essays In Corporate Finance
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Author : Ruidi Huang
language : en
Publisher:
Release Date : 2019
Three Essays In Corporate Finance written by Ruidi Huang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Three Essays On Empirical Finance
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Author : Tse-Chun Lin
language : en
Publisher: Rozenberg Publishers
Release Date : 2009
Three Essays On Empirical Finance written by Tse-Chun Lin and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Essays On Information Transmission In Firm Networks And Financial Market Implications
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Author : Christoph Maximilian Schiller
language : en
Publisher:
Release Date : 2019
Essays On Information Transmission In Firm Networks And Financial Market Implications written by Christoph Maximilian Schiller and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
This thesis consists of three chapters on firm-level production networks, information production and dissemination, and their impact on corporate policies and investment decisions. Chapter 1 provides an introduction of the essays and summarizes their main findings. Chapter 2 examines the role of international supply-chain relationships for the transmission of corporate Environmental and Social (E) policies, and the resulting impact on real E outcomes and firm performance. E policies propagate from customers to suppliers, especially when customers have higher bargaining power and suppliers are in countries with lower ESG standards. This transmission mechanism matters: suppliers subsequently reduce their toxic emissions, litigation and reputation risk decreases, and financial performance improves. Chapter 3 develops a measure for the speed of information diffusion along supply-chains and documents a causal relationship between the attention of key market participants, i.e. dual-covering analysts and cross-holding institutional investors, and the speed measure. The speed of information diffusion plays an important role for feedback effects from stock prices to corporate investments: supplier managers rely more on information in customer (supplier) stock prices when the speed of information diffusion along the supply chain is slower (faster). Consequently, the diffusion speed affects the coordination of relationship-specific investments between customers and suppliers and future operating performance of suppliers. Chapter 4 shows that international supply-chain links are an important channel for the propagation of financial contagion around the world. Following large country-level shocks, such as market-index jumps or natural disasters, dynamic conditional correlation (DCC) between U.S. suppliers and their foreign customers increases significantly, beyond country-level and industry effects. Consistent with a credit-chain mechanism, the effect is asymmetric for positive and negative shocks, more pronounced for supply-chain pairs with a closer relationship, higher leverage, lower cash holdings and firm profitability, and increases with the costs of bankruptcy resolution in the customers countries.
Customer And Supplier Portfolios And Their Impact On Firm Performance
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Author : Matthew Schwieterman
language : en
Publisher:
Release Date : 2015
Customer And Supplier Portfolios And Their Impact On Firm Performance written by Matthew Schwieterman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Portfolios of customers and suppliers are unique and important units of analysis for supply chain management. To help explicate the role portfolios should play in research, this manuscript offers a literature review and research agenda. Additionally, two lines of empirical inquiry related to portfolios are followed. The customer and supplier portfolio characteristics of concentration, reverse concentration, and portfolio imbalance, are utilized to predict both profitability performance and credit rating. The research finds that customer and supplier portfolio characteristics are significantly related to both performance measures.
Essays On The Microeconomics Of Financial Market Structure And Performance
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Author : Prasad Krishnamurthy
language : en
Publisher:
Release Date : 2011
Essays On The Microeconomics Of Financial Market Structure And Performance written by Prasad Krishnamurthy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
How does financial market structure affect business growth and consumer welfare? Microeconomic theory presumes that market outcomes are a result of the equilibrium interaction of agents with differing objectives. This dissertation develops and tests microeconomic models of the credit and deposit markets . Parts 1 and 2 emphasize the importance of asymmetric information and strategic interaction, respectively, in determining financial market structure and performance. Part 1 provides new evidence on the relationship between financial market structure and firm growth. I develop an equilibrium model of firms who can access debt capital and capital from banks that monitor their borrowers. In this model, (1) shifts in the supply of bank credit have the largest effect on firms who have just enough capital to acquire finance, and (2) financial integration dampens the quantity effects of shocks to credit supply, but exacerbates the quantity effects of shocks to credit demand. I test these hypotheses by exploiting the history of bank-branching deregulation in the United States. I use the differential timing of state deregulation to trace the causal channel that runs from financial integration to firm growth. I find that for mid-sized establishments, financial integration lowered the association between local credit supply and business growth. My findings suggest that the excess volatility in business growth in unintegrated markets may entail significant allocative inefficiencies. Part 2 investigates the contribution of deposit market competition and consumer preferences to banking market structure and pricing. I develop a general model of spatial competition where consumers' higher willingness to pay for firms with more locations generates an externality in firms' location decisions. I characterize the equilibrium of this model and provide novel analytical results for prices, markups and limiting market shares. I then consider the application of this model to the market for bank deposits. The model generates predictions on (1) the density of branches, (2) the pattern of within-market and across-market concentration, (3) the relationship between concentration and market size, (4) the relationship between branching networks and deposit prices, and (5) the dispersion of deposit prices. I utilize the history of bank branch deregulation to test the predictions of this model by comparing free branching to unit branching--one bank/one branch--states. The empirical tests are broadly consistent with the hypothesis that strategic competition in branch networks plays a role in determining market structure.
Three Essays On Information Disclosure
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Author : Mohammad Erfan Danesh Jafari
language : en
Publisher:
Release Date : 2016
Three Essays On Information Disclosure written by Mohammad Erfan Danesh Jafari and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
My thesis consists of three chapters and each chapter studies a different aspect of how information is generated and diffused among different market participants. Chapter 1 and 2 study the impact of timing of 13(f) disclosures. Section 13(f) of SEC regulation requires any financial institution with \$100 million or more in assets to disclose its holdings on a quarterly basis within 45 days after the quarter end. Recently, the SEC was petitioned to shorten this 45-day period. In Chapter 1, I develop a model to examine the impacts of a shortened reporting period. Among other results, I demonstrate that a shorter reporting period results in more liquid markets albeit at the expense of reducing price informativeness. In chapter 2 we look at 14 years of form 13F filings between 1999 and 2012. We demonstrate that active institutions tend to file their holding disclosures with longer delays. We show that concerns about copycat investors do not cause the financial institutions to delay their filings; however, fears of presence of front-runners prompt the financial institutions to file their disclosures with longer delays. We also look at financial institutions' decision to delay around important corporate events for stocks in the institutions' portfolio and document that institutions delay their filings around these events possibly to hide their true voting powers. Chapter 3 studies the implications of SFAS No. 14 and SFAS No. 131, which require firms to disclose the existence of sales to individual customers representing more than 10\% of total firm revenues. We document that firms gain visibility by disclosing economic relationships with reputable trading partners. We find that supplier firms enjoy a boost in news coverage and a subsequent reduction in advertising expense when they disclose trading relationships with well-known customer firms. After relationship establishment, supplier firms are more likely to be held by the same institutional investor and covered by the same analyst following their customer firms. Our findings highlight the role of product-market network as an important channel through which small and young firms gain investor recognition and improve their operating environment.
Essays On Financial Intermediation And International Finance
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Author : Paula Andrea Beltran Saavedra
language : en
Publisher:
Release Date : 2022
Essays On Financial Intermediation And International Finance written by Paula Andrea Beltran Saavedra and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
This dissertation consists of three chapters on financial intermediation and international finance that contribute to our understanding and identification of the transmission of aggregate shocks in imperfect financial markets. The first chapter studies the effect of an aggregate funding supply shock in a lending network in times of distress in a quantitative framework for the money market funds industry in the U.S. The second chapter identifies the effect of cross-border banking flows on macroeconomic and financial outcomes for emerging economies. The third chapter studies the identification of the impact of foreign exchange interventions under a limited risk-bearing capacity of financial intermediaries. The first chapter studies the implications of network frictions for the allocative efficiency of funding provision of the U.S. Money Markets Funds Industry. I build a tractable model of financial intermediation that features an incomplete network of counterparties and bilateral bargaining within a network. I use the quantitative model to assess the effect of a large supply shock of funding in the money market funds industry. I provide an identification framework to estimate the model's parameters and discipline the model using portfolio data of the money market funds industry. I assess a counterfactual taking as primitives the drop in assets under management at the onset of the COVID-19 pandemic and show that the model can account for price dispersion and funding allocation observed in the data. The second chapter assesses the effect of capital flows in emerging countries. We focus on the impact of cross-border banking flows and leverage the size distribution at the bilateral level to construct an instrument for capital inflows. We build a granular instrumental variable to identify the effects on macroeconomic and financial conditions for 22 emerging countries. Cross-border bank credit causes higher domestic activity in EMEs and looser financial conditions. We also show that the effect is heterogeneous across different levels of capital inflow controls. The third chapter studies the effects of foreign exchange intervention. We estimate the causal effect of foreign exchange intervention. Theoretically, the impact of foreign exchange intervention depends on the imperfect asset substitution that relates to the limited risk-bearing capacity of financial intermediaries. To identify the risk-bearing capacity, we use the variation from information free flows of passive investors around rebalancing dates. These flows are plausibly exogenous with respect to domestic conditions and act as a shock to the risk held by financial intermediaries. We show that information-free flows have effects on UIP and CIP deviations. Our preliminary estimates show that the required foreign exchange intervention to achieve a 10% foreign exchange depreciation in one week is between $0.02-$5.06 billion dollars.
Three Essays In Financial Liberalization
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Author : Ira Krasteva Petrova
language : en
Publisher:
Release Date : 2004
Three Essays In Financial Liberalization written by Ira Krasteva Petrova and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Banks and banking categories.
Three Essays On Consumer Finance
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Author : Manisha Padi
language : en
Publisher:
Release Date : 2017
Three Essays On Consumer Finance written by Manisha Padi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This thesis consists of three chapters on consumer financial contracts. Particularly, this thesis focuses on the regulation and design of markets for financial contracts, and their impact on household financial health. The first chapter studies the role of consumer protection law in the function of mortgage markets in the United States. Consumer protection laws are intended to improve consumer outcomes and are becoming more common, particularly in mortgage markets after the 2008 recession. Little empirical evidence exists about the benefits of these laws to consumer outcomes, relative to the potential compliance costs. This chapter studies the effect of two common types of consumer protection laws: seller standards of conduct, enforced through ex post lawsuits by prosecutors and consumers, and mandated disclosures, which require sellers to provide consumers with information to help them make better decisions. Using a natural experiment in Ohio, which introduced the Homebuyer's Protection Act in 2007, 1 study the impact of both seller standards of conduct and mandated disclosures on the performance of loans owned by Fannie Mae or Freddie Mac between 2002 and 2012. I find that imposing standards of conduct on lenders increases borrower defaults in the short term, and is correlated with a drop in foreclosures and fewer mortgage originations. Mandated disclosures decrease mortgage defaults in the short term, and the effect is correlated with smaller transactions, lower interest rates, and higher borrower credit scores. I introduce a simple model of strategic default showing that standards of conduct targeting lenders can provide incentives to lenders to be lenient towards all borrowers, increase borrower default, while mandated disclosure can induce behaviorally biased consumers to default less often. Taken together, the evidence suggests that seller standards of conduct result in lender lenience towards borrowers but operate by shifting the cost of dropping house prices from borrowers onto lenders. On the other hand, carefully designed disclosures can encourage consumers to be more responsible in repayment of loans and can decrease the overall impact of unexpected drops in house prices. The second chapter studies the impact of defined benefit pensions on retirees' consumption patterns. It is authored jointly with Professor Jerry Hausman. Retirees discontinuously decrease their consumption spending upon retirement, a phenomenon described as the retirement consumption puzzle. This chapter studies the impact of defined benefit pensions on the retirement consumption puzzle. Data from the Health and Retirement Survey shows that households with defined benefit pensions experience a significantly smaller drop in consumption spending at retirement. The difference in consumption patterns between households with defined benefit and defined contribution pensions is consistent with a drop in price of home production after retirement. Defined benefit pensions allow households to exert less effort in home production, as well as decreasing the need for precautionary savings, meaning their value is understated if home production is not accounted for. Using HRS data, we estimate the utility value of defined benefit pensions, incorporating both home production and precautionary savings. The results imply that current methods of valuing retirement income products, such as employer provided pensions and private annuities, are biased downward. The third chapter studies the purchase of annuities by retirees in Chile's privatized social security system. It is authored jointly with Gaston Illanes, of Northwestern University Department of Economics. Chile has one of the highest voluntary annuitization rates in the world, with more than 60% of retirees purchasing a private annuity. In contrast, less than 5% of US retirees purchase annuities, despite theoretical predictions that annuity value is high. Annuities in Chile are sold through a unique government-run exchange which decrease search costs and intensifies competition without imposing costs on firms. Chile also has a privatized social security system in which retirees that do not buy an annuity must take a "programmed withdrawal" of their mandated retirement savings that exposes them to more stock market risk than Social Security would. Using novel individual level administrative data and theoretical calibrations, we provide evidence that the high annuitization rate is driven by Chile's unique regulatory regime, rather than by the risk of programmed withdrawal in a privatized system. We document several features of the annuity exchange in Chile. First, annuity prices are low compared to the worldwide average. Second, annuity providers have significant market power. Third, selection exists in the market, both into purchase of annuities, and into searching for better prices. Based on these facts, we calibrate a insurance value of full annuitization compared to the privatized alternative offered by the Chilean government and compare to the value of full annuitization compared to public Social Security, such as that found in the US. The calibration suggests that privatization of social security alone cannot explain the high level of annuitization in Chile. Regulations limiting search costs can cause low prices, lower levels of adverse selection, and high brand preferences that together can explain the high annuitization rate.