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Finance Department | PhD Students in the Job Market

PhD Students in the Job Market

2022-23

Quirin Fleckenstein | Franz Joseph Hinzen | Pietro Reggiani | Iris Yao | Samantha Zeller

Quirin Fleckenstein Dissertation Committee: Viral Acharya (Chair), Anthony Saunders, Philipp Schnabl Download Job Market Paper		Intermediary Frictions and the Corporate Credit Cycle: Evidence From CLOs ABSTRACT: I quantify the contribution of intermediary agency frictions to the cyclicality of lending by non-bank intermediaries. I focus on collateralized loan obligations (CLOs), which are actively managed closed-end funds that provide about one-third of the credit to speculative-grade corporations in the US and are particularly cyclical in their lending. For variation in agency frictions, I exploit an institutional feature that leads to variation in CLOs’ discretion to trade their assets. I document that CLOs’ cost of debt contains significant compensation for agency problems. Agency problems intensify in bad times when aggregate volatility rises, raising CLOs’ cost of debt, and reducing the issuance of new CLOs. This affects real outcomes of CLO-dependent firms. To mitigate this effect, CLOs issued in volatile periods restrict their discretion in trading, which, however, also reduces their alpha. Calibrating a novel intermediation model to these reduced-form estimates, I find that more than half of the steep fall in CLO issuance during volatile periods is due to agency frictions. A counterfactual analysis reveals that without CLOs restricting their discretion in volatile periods, CLO issuance would be substantially more cyclical and real effects on speculative-grade firms correspondingly larger.
Franz Hinzen Dissertation Committee: Kose John (Co-chair), Anthony Saunders (Co-chair), Thomas Philippon, Rangarajan Sundaram Download Job Market Paper		Nonbank Market Power in Leveraged Lending ABSTRACT: Banks finance their lending to risky firms by selling these loans to nonbank financial institutions. Among these nonbanks, collateralized loan obligations (CLOs) provide the bulk of funds. I show that CLO managers have market power, which enables them to extract lender-friendly loan terms. Their market power results from switching costs faced by the bank. One source of switching costs is information asymmetries across CLO managers that arise during underwriting. To identify my results, I construct a new instrument using novel data on mergers in the CLO industry. I provide the first analysis of these mergers and their determinants.
Pietro Reggiani Dissertation Committee: Johannes Stroebel (Chair), Robert Engle, Simone Lenzu Download Job Market Paper		Climate Change Expectations: Evidence from Earnings Forecasts ABSTRACT: I study the effects of changes in climate change expectations on forecasts of cash flows of public firms. I use data on financial analysts' forecasts of firm earnings, and local temperatures as shifters of their perception of climate change. Analysts experiencing warmer temperatures tend to issue more pessimistic forecasts. The effect is correlated with firm exposure to both regulatory and physical climate change risks. The sensitivity of forecasts to temperatures is more negative for carbon-intensive industries, while for firms in the renewable sector the effect has an opposite, positive, sign. The negative effect is related to firm exposure to physical climate risks as well, especially for some risks such as hurricanes and storms. This effect is amplified for analysts that directly experience extreme weather events, consistently with a mechanism related to the salience of climate change. Exploiting forecasts issued for different future horizons, I pin down the timing at which climate risks are expected to materialize. The reaction of forecasts to temperatures is concentrated in horizons between eight and ten quarters in the future.
Iris Yao Dissertation Committee: Philipp Schnabl (co-chair), Arpit Gupta (co-chair), Johannes Stroebel Download Job Market Paper		Household Responses to Macroprudential Policy ABSTRACT: I analyze how household leverage responds to debt-to-income (DTI) limits by considering a DTI tightening in Canada. I show that the policy effectively reduced household leverage through its effects on mortgage lending, along the extensive margin (fewer mortgages) and intensive margin (smaller mortgages). I present evidence that adjustment of non-mortgage debt is an important policy consideration and households exhibit window-dressing behavior around the time of origination by adjusting their non-mortgage debt. Prospective homebuyers who are above the DTI limit before origination reduce non-mortgage debt in order to satisfy DTI limits at origination but subsequently re-accumulate debt after origination. I show that this behavior is driven by the regulatory DTI cutoff and not unobserved shocks which may correlate with the home purchase decision and similar debt dynamics around origination. I also show that household adjustments of non-mortgage debt can affect the impact of DTI limits on macroeconomic variables such as house price growth.
Samantha Zeller Dissertation Committee: Viral Acharya (chair), Arpit Gupta, Theresa Kuchler, Michael Dickstein Download Job Market Paper		Effect of Increasing Healthcare Costs on Small Firms: Evidence from Private Equity Acquisitions of Hospitals ABSTRACT: The U.S. is experiencing concurrent trends of rising healthcare costs and declining small business employment and startup rates; however, the link between these aggregate trends has not yet been established. I use private equity (PE) acquisitions of hospitals during the period 2002-2017 as a shock to local healthcare prices in order to study the effect of increasing healthcare costs on the composition of firms in local economies using a difference-in-differences framework. I use confidential Census Bureau data to show first that PE acquisitions of hospitals indeed translate into shocks to the health insurance premiums charged by insurers to local employers. I then document the economic implications, finding a divergence in the small firm employment shares of markets which experience increasing premiums (where small firm employment shares fall, relatively) versus decreasing premiums. I study changes in the distribution of startup rates and firm churning to show that smaller firms face both increased barriers to entry and decreased firm resilience following an increase in health insurance premiums; firms with 20 or fewer employees are less likely to enter the market, while firms with between 11 and 50 employees who do still enter face a higher probability of exit.