报告1：Time-Varying Uncertainty and Financially Constrained Investment: Theory and Evidence

报告人：Congyan Tan (University of California at Berkeley)

时间：2011年2月23日（周三）10:00-11:30am

地点：成人直播新楼217教室

摘要：This paper explores the heterogeneity in firms’ response to high economic uncertainty. I show that the effect of high economic uncertainty on firms’ investment varies significantly with the degree of financial constraints. Firm decisions are studied in a model of non-convex adjustment costs and time-varying second moment shocks, with financial constraints. In my model, uncertainty makes financially-constrained firms cautious in capital spending and creates long periods of under-investment for these firms. Estimates from firm-level data show that publicly-traded companies’ investment-to-capital ratio falls by an average of around 15% in response to a one standard deviation increase in uncertainty. Firms with easier access to credit are found to be much less responsive to uncertainty, consistent with the model’s predictions. This implies that the effectiveness of stimulus policy may largely depend on firms’ accessibility to credit in episodes of high uncertainty.

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报告2：Asset Pricing in a Monetary Economy with Heterogeneous Beliefs

报告人：Lei Lu (McGill University)

时间：2011年2月24日（周四）9:00-10:20am

地点：成人直播新楼216教室

摘要：In this paper, we shed new light on the role of monetary policy in asset pricing by examining the case where investors have heterogeneous expectations about future monetary policy. This case is realistic, because central banks are typically less than perfectly open on their intentions. Accordingly, surveys of economists reveal that they frequently disagree in their expectations. Under heterogeneity in beliefs, investors place speculative bets against each other on the evolution of the money supply, and as a result, the sharing of wealth in the economy evolves stochastically. Employing a continuous-time, general equilibrium model, we establish these fluctuations to be rich in implications, in that they majorly affect the prices of all assets, as well as inflation. In some cases, we are able to derive explicit formulas for important economic quantities. Our model may help explain some empirical puzzles. In particular, we find that the volatility of bond yields and the stock market volatility may be significantly increased by the heterogeneity in beliefs, a conclusion supported by our empirical analyses.

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报告3：Productivity, Restructuring, and the Gains from Takeovers

报告人：Xiaoyang Li (University of Michigan)

时间：2011年2月24日（周四）10:30-11:50am

地点：成人直播新楼216教室

摘要：Little is known about the underlying sources of gains from takeovers. Using plant-level data from the U.S. Census Bureau, I show that one source of gains is increased productivity of capital and labor in target plants. In particular, acquirers significantly reduce investments, wages, and employment in target plants, though output is unchanged relative to comparable plants. Acquirers also aggressively shut down target plants, especially those that are inefficient. Moreover, these changes help explain the merging firms' announcement returns. The total announcement returns to the combined firm are driven by improvements in target firm's productivity, rather than cutbacks in wages and employment. Also, targets with greater post-takeover productivity improvements receive higher offer premiums from acquirers. These results provide some of the first empirical evidence on the direct relation between productivity, labor, and stock returns in the context of takeovers.

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