PhD Students in the Job Market

 

2021-22

Abhishek Bhardwaj | Abhinav Gupta | German Gutierrez | Sebastian Hillenbrand | Youngmin Kim | Botao Wu 

 
Abhishek Bhardwaj
Abhishek Bhardwaj
Dissertation Committee:  Holger Mueller (co-chair), Viral Acharya (co-chair), Anthony Saunders, Arpit Gupta
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            Do Lending Relationships Matter When Loans Are Securitized?
ABSTRACT: This paper shows that lending relationships are valuable in originate-to-distribute banking because they mitigate fire-sale risk in the secondary loan market. I document that sticky institutional ties exist between Collateralized Loan Obligation (CLO) managers and banks in the CLO underwriting business. To maintain these ties, CLO managers impose lower selling pressure on loans of firms related to their underwriter bank when covenant violations force them to liquidate their holdings. As a result, these firms experience lower price impact and issue more loans during fire-sale episodes. Banks benefit by charging fees and selling expensive lines of credit to these firms and compensate the CLO managers by arranging cheaper debt financing on their new CLOs. These results highlight that securitization has not eliminated the importance of bank relationships but has transformed the institutional mechanism through which they enhance firms' borrowing capacity.
Abhinav Gupta
Abhinav Gupta
Dissertation Committee
Johannes Stroebel (Chair), Kose John, Sabrina Howell, Arpit Gupta
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            Labor Mobility, Firm Monopsony, and Entrepreneurship: Evidence from Immigration Wait-Lines
ABSTRACT: This paper examines how US immigration-induced labor mobility frictions affect firm monopsony power and entrepreneurship. I exploit a natural experiment in the US immigration system that unexpectedly increased Green Card (GC) related job-switching frictions for Indian and Chinese immigrants in October 2005. Using matched employee-employer data from LinkedIn, I confirm that this shock reduced inter-firm employee mobility for Indian and Chinese employees. I rule out other explanations such as changes in employee composition, selection effects, or concurrent changes in India or China driving my results. This sudden decrease in labor mobility increased incumbent firm value, with $28.7 billion in abnormal stock returns for firms with Indian and Chinese employees in the ten days following the announcement. The slowdown of internal promotions for Indian and Chinese employees suggests monopsony power as the primary channel increasing firm value. The shock to immigrant mobility also had an adverse impact on entrepreneurship. Immigration related mobility restrictions disproportionately lowered the propensity of Indian and Chinese employees to join startups compared to incumbent firms. This distortion in labor supply to startups reduced new firm formation, with 12,000 fewer new startups in markets with more Indian and Chinese employees. The distortion also decreased the funding and IPO of existing startups that had Indian and Chinese co-founders. These results reinforce the differential impact of labor mobility on incumbents and startups, suggesting that declining job-to-job transitions may help explain the slowing business dynamism in the US.
German Gutierrez
German Gutierrez
Dissertation Committee
Luis Cabral (co-chair), Thomas Philippon (co-chair), Chris Conlon, Johannes Stroebel
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            The Welfare Consequences of Regulating Amazon
ABSTRACT: Amazon acts as both a platform operator and seller on its platform, designing rich fee policies and offering some products direct to consumers. This flexibility may improve welfare by increasing fee discrimination and reducing double marginalization, but may decrease welfare due to incentives to foreclose rivals and raise their costs. This paper develops and estimates an equilibrium model of Amazon's retail platform to study these offsetting effects, and their implications for regulation. The analysis yields four main results: (i) Optimal regulation is product- and platform-specific. Interventions that increase welfare on some categories, decrease welfare in others. (ii) Fee instruments are substitutes from the perspective of the platform. Interventions that ban individual instruments may be offset by the endogenous response of (existing and potentially new) instruments. (iii) Regulatory interventions have important distributional effects across platform participants. (iv) Consumers value both the Prime program and product variety. Interventions that eliminate either of the two decrease consumer as well as total welfare. By contrast, interventions that preserve Prime and product variety but increase competition – such as increasing competition in fulfillment services – may increase welfare.
Sebastian Hillenbrand
Sebastian Hillenbrand
Dissertation Committee:  Alexi Savov (Chair), Philipp Schnabl, Anthony Saunders, Toomas Laarits
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            The Fed and the Secular Decline in Interest Rates
ABSTRACT: In this paper I document a striking fact: a narrow window around Fed meetings fully captures the secular decline in U.S. Treasury yields since 1980. By contrast, yield movements outside this window are transitory and wash out over time. This is surprising because the forces behind the secular decline are thought to be independent of monetary policy. However, it is possible that the bond market learns about these forces from the Fed. Two additional facts support this interpretation: (i) long-term yields drop immediately following Fed announcements, and (ii) the Fed’s expectation about the long-run level of the federal funds rate – revealed through the dot plot – has a strong impact on long-term yields. To explain these facts, I present a dynamic term structure model in which the Fed learns from the yield curve and the market learns from Fed meetings. The model rules out alternative explanations such as business cycle information and risk premia. It further implies that the Fed possesses important information about the long-run neutral interest rate. This can explain why Fed announcements have a powerful impact on the valuations of long-lived assets like the stock market.
Youngmin Kim
Youngmin Kim
Dissertation Committee:  Matthew Richardson (Chair), Anthony Lynch, Toomas Laarits
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            Heterogeneous Investment Horizons and Asset Prices
ABSTRACT: I develop an asset pricing model with agents who have heterogeneous investment horizons. Differently from short-term investors, long-term investors hedge against reinvestment risk. In the model, risky investment opportunity is characterized as a scaled expected return of the tangency portfolio. I measure the unobservable risky investment opportunity by approximating the risky return space by Fama-French 5 factors and momentum. I construct long-short portfolios that are exposed to reinvestment risk premiums and find that they have significant positive average and risk-adjusted returns. I also test the portfolio choice implication of the model using 13F data by measuring an institution's investment horizon by its portfolio turnover rate and type. I find that long-term institutions overweight hedging assets relative to the market portfolio, which suggests that (i) investment opportunities are well estimated by the method developed in this paper and (ii) long-term investors' intertemporal hedging demand is significantly priced among assets.
Botao Wu
Botao Wu
Dissertation Committee:  Anthony Lynch (chair), Viral Acharya, Robert Engle, Joel Hasbrouck
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            Increasing Corporate Bond Liquidity Premium and Post-Crisis Regulations
ABSTRACT: I employ the liquidity premium measure to understand the important changes in corporate bond market liquidity from 2004 to 2019. I show that while commonly-used transaction cost measures such as the bid-ask spread have been declining, the corporate bond liquidity premium has actually increased since the financial crisis. For speculative bonds, about 30% of their yield spread now compensates for illiquidity compared to 15% before the crisis. I demonstrate that this increasing liquidity premium is due to investors facing longer trading delays as dealers have become less willing to provide immediacy, and develop a structural over-the-counter model to estimate the latent trading delays implied by the size of the liquidity premium. The estimation results suggest that bonds that took less than one day to sell before the financial crisis now take weeks to trade. Finally, I establish a causal relationship between the major post-crisis regulations and the variations in the corporate bond liquidity premium to uncover the potential cause of dealers' unwillingness to provide liquidity. I show that Basel II.5, by introducing the stressed value-at-risk and incremental risk charges for credit products, contributed the most to increasing the liquidity premium out of all regulatory changes examined. The longer trading delays and the impact of regulations are consistent with practitioners' descriptions of the post-crisis market and corroborate the relevance of using the liquidity premium to understand corporate bond market liquidity.