The Center for Global Economy and Business offers a small number of limited research grants to Stern faculty for projects related to the interests of its research groups. In the Fall of 2012, the Center completed its third grant cycle. All full-time faculty were invited to apply for grants. In November, four research grants were awarded to five Stern faculty members.
The following Stern faculty received Fall 2012 Center research grants (sum in parentheses):
- Viral Acharya, Finance ($5,000)
- Yakov Amihud, Finance ($4,400)
- Alessandro Gavazza, Economics, and Kei Kawai, Economics ($6,000)
- Robin Lee, Economics ($6,000) (*supplement to Spring 2012 Grant)
- Kim Ruhl, Economics ($2,865)
Resulting Papers and Materials
- Yakov Amihud
This paper examines the illiquidity premium in stock markets in 45 countries. The premium is the excess return on high-illiquidity stocks minus low-illiquidity stocks across volatility-based portfolios. The average monthly premium is 0.77% (0.46%) for equally-return-weighted (value-weighted) portfolio return. After controlling for six common global and regional risk factors, the monthly alpha is 0.79% (0.42%). The premium is higher for emerging markets than it is for developed ones and it is lower in countries with better disclosure and legal/governance rules. We document a new type of commonality - of illiquidity premiums across countries - which is greater in markets open to foreign investors.
- Kim Ruhl
This note provides background information and analysis of the two sources of data on U.S. imports and exports of goods between associated parties: The intrafirm trade data collected by the Bureau of Economic Analysis (BEA) and the related party trade data collected by the U.S. Census Bureau. Along some dimensions the two data sources are comparable, although differences in the coverage of import transactions is an important exception. Generally, the Census data provide greater detail about the composition of goods being traded by associated parties, while the BEA data provide greater detail about the entities participating in the transaction. Although the data are derived from different sources and vary in their coverage, the two resulting data sets are largely consistent with each other.
- Kim Ruhl
We use firm-level data from the Bureau of Economic Analysis to document a new set of facts on the motives for foreign direct investment. We document that a key difference between "horizontal" and "vertical" affiliates is their size: Intra-firm trade is concentrated among a small number of large affiliates, while the median affiliate, smaller in size, reports no shipments to the parent and directs the bulk of its sales to unaffiliated parties in its country of operation. We find that the input-output coefficient between the industries of operation of the parent and the affiliate_a characteristic commonly used to signal a vertical relationship_is not related to the corresponding intra-firm flows of physical goods, raising doubts about input-output based characterizations of affiliates. Using the affiliate-level data, we construct novel industry-country indexes for the intensity of vertical and horizontal activities of U.S. multinational firms. These indexes will make it possible, without directly having data on the destination of affiliate sales, to characterize the predominant type of affiliates in a particular country and industry.