Author: Bruno Sultanum

Terrence Hendershott presenting on March 8, 2021

Paper title: “True Cost of Immediacy“ Abstract: Traditional liquidity measures can provide a false impression of the liquidity and stability of financial market trading. Using data on auctions (bids wanted in competition; BWICs) from the collateralized loan obligation (CLO) market, we show that a standard measure of liquidity, the effective bid-ask spread, dramatically underestimates the […]

Maureen O’Hara presenting on January 25, 2021

Paper title: Financial Market Ethics Abstract: We use a model of psychological-games-played-on-a-network to demonstrate a role for endogenously-determined, rationally chosen ethics. Our analysis produces sharp results about the contagion of non-ethical or ethical behavior and about the possible stable configurations of each type of behavior. We find, and quantify, critical densities for clusters of each […]

Ilse Lindenlaub presenting on January 11, 2021

Paper title: The Worker-Job Surplus Abstract: The worker-job surplus — the sum of the worker’s and the employer’s values of an employment relationship — is a key object in most matching models of the labor market. It drives workers’ employment transitions and wages, as well as equilibrium sorting patterns. In this paper, we develop a […]

Gregor Matvos presenting on December 7, 2020

Paper title: “iBuyers: Liquidity in Real Estate Markets?” Abstract: We study the benefits and limits of dealer-intermediation in residential real estate through the window of “iBuyers,” real estate companies with online acquisition platforms that buy and sell residential real estate. iBuyers provide liquidity by purchasing houses almost immediately. This allows households to bypass a lengthy […]

Marzena Rostek presenting on November 16, 2020

Paper title: “Innovation in Decentralized Markets” with J.H. Yoon Abstract: This paper examines security design in imperfectly competitive markets in which assets clear separately rather than jointly. Derivatives are generally nonredundant even with zero asset supply. We characterize the scope for introducing nonredundant derivatives and examine the welfare effects of new assets. We compare welfare […]

Pierre Collin-Dufresne presenting on November 2, 2020

Paper title: Informed Traders and Dealers in the FX Forward Market Abstract: There is strong heterogeneity in the permanent price impact of traders. Moreover, a trader’s permanent price impact is persistent. A trade’s ex-post permanent price impact is partially priced in dealers’ markups, even when controlling for dealer-client fixed effects. This suggests that dealers are […]

Manolis Galenianos presenting on October 19, 2020

“Regulatory Interventions in Consumer Financial Markets: The Case of Credit Cards,” joint with Alessandro Gavazza Abstract: We build a framework to understand the effects of regulatory interventions in credit markets, such as caps on interest rates and higher compliance costs for lenders. We focus on the credit card market, in which we observe U.S. consumers […]

Benjamin Lester presenting on October 5, 2020

Paper Title: “Job Referrals and Labor market Outcomes Across Occupations” with David Rivers and Giorgio Topa Abstract: Though a significant fraction of workers and firms report using a referral somewhere in the hiring process, it remains unclear exactly what role referrals play (if any) in the hiring process. We exploit a novel data set to shed […]