WP 2013

WP 2013-13 Cautionary notes on the use of field experiments to address policy issues

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Published in 2014 in Oxford Review of Economic Policy, Volume 30, Issue 4.

ABSTRACT: Field experiments are popular again in policy circles. There are various types of field experiments, with complementary strengths and weaknesses for different policy questions. There is also a lot of needless hype about what field experiments can do.… more »

WP 2013-12 Mandatory Portfolio Disclosure, Stock Liquidity, And Mutual Fund Performance

Posted On September 24, 2013
Categories Working Papers, WP 2013

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ABSTRACT: This paper studies the impact of mandatory portfolio disclosure of mutual funds on the liquidity of disclosed stocks and on fund performance. We consider a theoretical model of informed trading with different mandatory disclosure frequencies. Using a regulation change in May 2004 that increased the frequency of mandatory disclosure, we find… more »

WP 2013-11 Why Buy Accident Forgiveness Policies? An Experiment

Posted On September 4, 2013
Categories Working Papers, WP 2013

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ABSTRACT. Risk and time preferences influence the insurance purchase decisions under uncertainty. Accident forgiveness, often considered as premium insurance,” protects policyholders against a premium increase in the next period if an at-fault accident occurs. In this paper, by conducting a unique experiment in the controlled laboratory conditions, we examine the role of… more »

WP 2013-10 Impact Evaluation and Welfare Evaluation

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Published in 2014 in The European Journal of Development Research, Volume 26, Issue 1.

ABSTRACT: The expression “impact evaluation” means different things to different people, but to most economists now it means the use of randomized controlled trials (RCTs) or “quasi-experiments.” I want to focus on that side of the research and… more »

WP 2013-09 Identifying Time Preferences With Experiments: Comment

Posted On August 20, 2013
Categories Working Papers, WP 2013

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ABSTRACT. Identifying time preferences with laboratory experiments demands attention to theoretical, experimental and econometrics issues. Andreoni and Sprenger [2012a] propose a single choice task and several econometric methods that seek to address these issues. The choice task requires subjects to make portfolio allocations between sooner and later payments of money. All theories… more »

WP 2013-08 Subjective Beliefs and Statistical Forecasts of Financial Risks: The Chief Risk Officer Project

Posted On August 15, 2013
Categories Working Papers, WP 2013 Tags

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Published in 2014 as a book chapter in Contemporary Challenges in Risk Management: published by Palgrave Macmillan UK, and edited by Torben Juul Andersen & Stanley Mayes.

ABSTRACT: Information about financial risks comes from many sources. We formally consider how one can elicit and use information from two important sources when… more »

WP 2013-07 Estimating the Subjective Risks of Driving Simulator Accidents

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Published in 2014 in Accident Analysis and Prevention, Volume 62.

ABSTRACT. We examine the subjective risks of driving behavior using a controlled virtual reality experiment. Use of a driving simulator allows us to observe choices over risky alternatives that are presented to the individual in a naturalistic manner, with many of… more »

WP 2013-06 Product Market Linkages and Managerial Risk Taking

Posted On June 21, 2013
Categories Working Papers, WP 2013

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ABSTRACT. A firm’s customers and suppliers make relationship-specific investments (RSI) whose value reduces if the firm undertakes risky investments. We hypothesize that the risk-taking incentives in the firm CEO’s compensation will lower the RSI by firms up and down in the vertical channel. We provide significant evidence that customer/supplier RSI declines… more »

WP 2013-05 Accounting Comparability and Loan Contracting

Posted On June 21, 2013
Categories Working Papers, WP 2013

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ABSTRACT. This study examines whether accounting comparability is associated with the contracting cost of private loans. Using a sample of U.S. public firms from the years 1982 to 2009, we find strong evidence that accounting comparability is significantly negatively associated with private loan interest spread, consistent with the view that accounting comparability… more »

WP 2013-04 The Marginal Cost of Risk, Risk Measures, and Capital Allocation

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Published in 2016 in Management Science, Volume 62, Issue 5.

ABSTRACT. Financial institutions define their marginal cost of risk on the basis of the gradients of arbitrarily chosen risk measures. We reverse this approach by calculating the marginal cost for a profit-maximizing firm with risk-averse counterparties, and then identifying the risk… more »