The business and human rights (BHR) movement shares several goals with the Benefit Corporation (B Corp) movement: corporations respecting human rights; maintaining a “wide aperture” so that all impacts of a company on people and communities are addressed; and creating rigorous standards of conduct and means of accountability. This paper argues that nonetheless the movements are traveling along parallel tracks and thus missing an opportunity for mutual learning that can improve their effectiveness. The BHR movement can look to B Corps for concrete examples of viable companies that value human rights intrinsically and not just where there is a “business case” to do so. The B Impact Assessment, the B Corp certification tool, can better ensure that B Corps are in fact respecting human rights by adopting BHR standards. And both movements must give greater consideration to the potential contradiction between unlimited scaling—a key goal of B Corps—and the ability of large multinational corporations to respect human rights.
{"title":"Making Corporations Responsible: The Parallel Tracks of the B Corp Movement and the Business and Human Rights Movement","authors":"Joanne R. Bauer, E. Umlas","doi":"10.2139/SSRN.2650136","DOIUrl":"https://doi.org/10.2139/SSRN.2650136","url":null,"abstract":"The business and human rights (BHR) movement shares several goals with the Benefit Corporation (B Corp) movement: corporations respecting human rights; maintaining a “wide aperture” so that all impacts of a company on people and communities are addressed; and creating rigorous standards of conduct and means of accountability. This paper argues that nonetheless the movements are traveling along parallel tracks and thus missing an opportunity for mutual learning that can improve their effectiveness. The BHR movement can look to B Corps for concrete examples of viable companies that value human rights intrinsically and not just where there is a “business case” to do so. The B Impact Assessment, the B Corp certification tool, can better ensure that B Corps are in fact respecting human rights by adopting BHR standards. And both movements must give greater consideration to the potential contradiction between unlimited scaling—a key goal of B Corps—and the ability of large multinational corporations to respect human rights.","PeriodicalId":249249,"journal":{"name":"POL: Other Strategy & Macroeconomic Policy (Topic)","volume":"79 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126729756","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We present evidence from an event study that runs counter to the notion that the momentum and book-to-market (B/M) effects can be fully explained by time-varying risk premia. We minimize the joint hypothesis problem in market-efficiency tests by examining a relatively short (26-day) window that exhibits both momentum and reversal effects. There is return continuation during the first 17 days but sharp reversal during the last 9 days. The co-existence of strong momentum and reversal over this small event window rules out risk premium or chance as possible causes of momentum, leaving investor misvaluation as the only explanation for this anomaly during this period. Furthermore, several patterns of interaction between B/M and momentum also point to a behavioral interpretation of the B/M effect during the period. The general implication of our evidence is that investor behavioral biases are a necessary ingredient for the explanation of both the momentum and B/M anomalies.
{"title":"Short-Run Momentum and Book-to-Market Effects","authors":"Ming Dong, Allen Goss","doi":"10.2139/ssrn.1908007","DOIUrl":"https://doi.org/10.2139/ssrn.1908007","url":null,"abstract":"We present evidence from an event study that runs counter to the notion that the momentum and book-to-market (B/M) effects can be fully explained by time-varying risk premia. We minimize the joint hypothesis problem in market-efficiency tests by examining a relatively short (26-day) window that exhibits both momentum and reversal effects. There is return continuation during the first 17 days but sharp reversal during the last 9 days. The co-existence of strong momentum and reversal over this small event window rules out risk premium or chance as possible causes of momentum, leaving investor misvaluation as the only explanation for this anomaly during this period. Furthermore, several patterns of interaction between B/M and momentum also point to a behavioral interpretation of the B/M effect during the period. The general implication of our evidence is that investor behavioral biases are a necessary ingredient for the explanation of both the momentum and B/M anomalies.","PeriodicalId":249249,"journal":{"name":"POL: Other Strategy & Macroeconomic Policy (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125760964","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Asymmetric information is crucial for understanding the disruption of the supply of credit. This paper studies a dynamic economy featuring asymmetric information and resulting adverse selection in credit markets. Entrepreneurs seek loans from banks for projects, but asymmetric information about entrepreneurs' riskiness causes a lemons problem: relatively safe entrepreneurs do not get funded. An increase in the riskiness of some entrepreneurs raises interest rate spreads, aggravates adverse selection, and shrinks the supply of bank credit. The model calibrated to the U.S. economy generates significant business fluctuations including severe recessions comparable to the Great Recession of 2007-09.
{"title":"Adverse Selection, Lemons Shocks and Business Cycles","authors":"Daisuke Ikeda","doi":"10.2139/ssrn.1907741","DOIUrl":"https://doi.org/10.2139/ssrn.1907741","url":null,"abstract":"Asymmetric information is crucial for understanding the disruption of the supply of credit. This paper studies a dynamic economy featuring asymmetric information and resulting adverse selection in credit markets. Entrepreneurs seek loans from banks for projects, but asymmetric information about entrepreneurs' riskiness causes a lemons problem: relatively safe entrepreneurs do not get funded. An increase in the riskiness of some entrepreneurs raises interest rate spreads, aggravates adverse selection, and shrinks the supply of bank credit. The model calibrated to the U.S. economy generates significant business fluctuations including severe recessions comparable to the Great Recession of 2007-09.","PeriodicalId":249249,"journal":{"name":"POL: Other Strategy & Macroeconomic Policy (Topic)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125184799","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
A. Godin, Gnanonobodom Tiou-Tagba Aliti, Stephen Kinsella
Stock flow consistent macroeconomic models suffer from the lack of a coherent estimation method due to the complicated nature of the modeling process. This paper provides a candidate estimation method that determines the values of each stock and flow simultaneously by analytically solving any stock flow model, and converting the estimation into a global minimization problem in p − k dimensions. We describe the method and apply it to a canonical model using real-world data. The method estimates the parameters and flows reliably.
{"title":"Method to Simultaneously Determine Stock, Flow, and Parameter Values in Large Stock Flow Consistent Models","authors":"A. Godin, Gnanonobodom Tiou-Tagba Aliti, Stephen Kinsella","doi":"10.2139/ssrn.2094996","DOIUrl":"https://doi.org/10.2139/ssrn.2094996","url":null,"abstract":"Stock flow consistent macroeconomic models suffer from the lack of a coherent estimation method due to the complicated nature of the modeling process. This paper provides a candidate estimation method that determines the values of each stock and flow simultaneously by analytically solving any stock flow model, and converting the estimation into a global minimization problem in p − k dimensions. We describe the method and apply it to a canonical model using real-world data. The method estimates the parameters and flows reliably.","PeriodicalId":249249,"journal":{"name":"POL: Other Strategy & Macroeconomic Policy (Topic)","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126847747","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Despite the fact that within the indexing space relative risk characteristics such as tracking error or beta are in theory of little relevance – each index is a passive beta source in its own right – comparing these risk measures may nonetheless prove insightful. Crucially however, the conclusions one can draw from such a relative analysis are strongly dependent on the chosen point of reference. A slavish adherence to a market capitalization-weighted index as the only viable point of reference leads to one set of conclusions that raises a number of questions. For instance, does it really make sense that an equal weighted index – that could be considered to be the true passive approach as no information whatsoever enters the index construction process – exhibits certain style biases such as value? We recommend that all investors scrutinize the so called point of reference when judging the characteristics of an index. Taking economic intuition and its “clean slate” index construction process into consideration, we conclude for ourselves that it would make sense to use an equal - weighted index rather than a market capitalization-weighted index as a point of reference when conducting various style and relative risk assessments of various indexing methods.
{"title":"Alternative Beta: Point of Reference - Does it Matter?","authors":"Daniel Leveau, P. Gander, Thomas J. Pfiffner","doi":"10.2139/ssrn.2087377","DOIUrl":"https://doi.org/10.2139/ssrn.2087377","url":null,"abstract":"Despite the fact that within the indexing space relative risk characteristics such as tracking error or beta are in theory of little relevance – each index is a passive beta source in its own right – comparing these risk measures may nonetheless prove insightful. Crucially however, the conclusions one can draw from such a relative analysis are strongly dependent on the chosen point of reference. A slavish adherence to a market capitalization-weighted index as the only viable point of reference leads to one set of conclusions that raises a number of questions. For instance, does it really make sense that an equal weighted index – that could be considered to be the true passive approach as no information whatsoever enters the index construction process – exhibits certain style biases such as value? We recommend that all investors scrutinize the so called point of reference when judging the characteristics of an index. Taking economic intuition and its “clean slate” index construction process into consideration, we conclude for ourselves that it would make sense to use an equal - weighted index rather than a market capitalization-weighted index as a point of reference when conducting various style and relative risk assessments of various indexing methods.","PeriodicalId":249249,"journal":{"name":"POL: Other Strategy & Macroeconomic Policy (Topic)","volume":"114 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132883441","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We find that information communicated through monetary policy statements has important business cycle dependent implications for stock prices. For example, during periods of economic expansion, stocks tend to respond negatively to announcements of higher rates ahead. In recessions, however, we find a strong positive reaction of stocks to seemingly similar signals of future monetary tightening. We provide evidence that the state dependence in the stock market's response is explained by information about the expected equity premium and future corporate cash flows contained in monetary policy statements. We also show state dependence in the average stock returns on days of scheduled FOMC meetings and in the impact of monetary policy statements on stock and bond return volatility.
{"title":"What Determines the Stock Market's Reaction to Monetary Policy Statements?","authors":"A. Kurov","doi":"10.2139/ssrn.2079651","DOIUrl":"https://doi.org/10.2139/ssrn.2079651","url":null,"abstract":"We find that information communicated through monetary policy statements has important business cycle dependent implications for stock prices. For example, during periods of economic expansion, stocks tend to respond negatively to announcements of higher rates ahead. In recessions, however, we find a strong positive reaction of stocks to seemingly similar signals of future monetary tightening. We provide evidence that the state dependence in the stock market's response is explained by information about the expected equity premium and future corporate cash flows contained in monetary policy statements. We also show state dependence in the average stock returns on days of scheduled FOMC meetings and in the impact of monetary policy statements on stock and bond return volatility.","PeriodicalId":249249,"journal":{"name":"POL: Other Strategy & Macroeconomic Policy (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126555972","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This article analyzes recent developments in the law of secondary party liability under the general antifraud provision of the Securities Exchange Act of 1934, section 10(b), and its corresponding Securities and Exchange Commission rule, Rule 10b-5. The article focuses on a specific type of secondary party, securities lawyers, who make their living representing securities issuers and face a myriad of challenges in doing so. Among those challenges are defrauded investors seeking recovery of their losses from both the issuer of the failed investment securities and from the lawyers who represent the issuer.These securities fraud actions against lawyers raise serious questions about the proper scope of liability under the federal securities laws. The recent developments discussed in the article indicate that the standard for secondary party liability is increasingly becoming one that attorneys acting in the traditional role of adviser and draftsperson to securities issuers will not satisfy.
{"title":"A Framework for Analyzing Attorney Liability Under Section 10(b) and Rule 10b-5","authors":"Gary M. Bishop","doi":"10.2139/SSRN.2014973","DOIUrl":"https://doi.org/10.2139/SSRN.2014973","url":null,"abstract":"This article analyzes recent developments in the law of secondary party liability under the general antifraud provision of the Securities Exchange Act of 1934, section 10(b), and its corresponding Securities and Exchange Commission rule, Rule 10b-5. The article focuses on a specific type of secondary party, securities lawyers, who make their living representing securities issuers and face a myriad of challenges in doing so. Among those challenges are defrauded investors seeking recovery of their losses from both the issuer of the failed investment securities and from the lawyers who represent the issuer.These securities fraud actions against lawyers raise serious questions about the proper scope of liability under the federal securities laws. The recent developments discussed in the article indicate that the standard for secondary party liability is increasingly becoming one that attorneys acting in the traditional role of adviser and draftsperson to securities issuers will not satisfy.","PeriodicalId":249249,"journal":{"name":"POL: Other Strategy & Macroeconomic Policy (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116827115","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
How do monopolistically competitive industries react to shocks in the context of a New Keynesian macro model? I bridge macroeconomics and trade theory by considering market dynamics. I use an analytically tractable closed-economy model with endogenous entry of firms and show the implications of markets structure for the transmission of real shocks on aggregate variables and welfare. Shock sources become crucial for the results: traditional productivity shocks cause an extensive effect on production; shocks on innovation cause an intensive impact. More patient populations bring the economy to a richer market, although it cushions the extensive effect after an innovation shock.
{"title":"Macroeconomics of Extensive Margins: A Simple Model","authors":"Marta Arespa","doi":"10.2139/ssrn.1966693","DOIUrl":"https://doi.org/10.2139/ssrn.1966693","url":null,"abstract":"How do monopolistically competitive industries react to shocks in the context of a New Keynesian macro model? I bridge macroeconomics and trade theory by considering market dynamics. I use an analytically tractable closed-economy model with endogenous entry of firms and show the implications of markets structure for the transmission of real shocks on aggregate variables and welfare. Shock sources become crucial for the results: traditional productivity shocks cause an extensive effect on production; shocks on innovation cause an intensive impact. More patient populations bring the economy to a richer market, although it cushions the extensive effect after an innovation shock.","PeriodicalId":249249,"journal":{"name":"POL: Other Strategy & Macroeconomic Policy (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129026615","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Building off research on the agenda setting relationship among the media, the president, and Congress. This poster examines whether the media, the president, and Congress influence one anothers issue framing, as well as, whether outside forces such as focusing events and economic trends influence these actors. I focus specifically on the issue area of biofuels. The results indicate that these actors had very little influence on one another. In contrast, framing by the media, the president, and Congress were highly influenced by focusing events and economic trends.
{"title":"Who and What Drive Issue Framing on Biofuels?","authors":"A. Delshad","doi":"10.2139/SSRN.1906829","DOIUrl":"https://doi.org/10.2139/SSRN.1906829","url":null,"abstract":"Building off research on the agenda setting relationship among the media, the president, and Congress. This poster examines whether the media, the president, and Congress influence one anothers issue framing, as well as, whether outside forces such as focusing events and economic trends influence these actors. I focus specifically on the issue area of biofuels. The results indicate that these actors had very little influence on one another. In contrast, framing by the media, the president, and Congress were highly influenced by focusing events and economic trends.","PeriodicalId":249249,"journal":{"name":"POL: Other Strategy & Macroeconomic Policy (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125631178","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The Securities and Exchange Commission (SEC) has asked whether credit rating agencies (CRA) committed fraud by misleading investors with respect to the default risk on mortgage backed securities (MBS). This paper argues that, to the detriment of investors, the CRA did not incorporate information available to securitizers in their ratings of subprime mortgage backed securities. A test of this proposition utilizes data on CRA ratings of 32 Goldman Sachs MBS issued in 2005-2007 and Moody’s Investor Services projections of loss for these mortgage pools. The percent of principal balances rated triple-A is relatively constant over this period. In contrast, projected losses increase substantially for 2006-2007 MBS issues. A Goldman Sachs presentation to its Board highlights factors that enhanced the risk of default in 2006-2007. Review of a select sample of 2006-2007 MBS prospectuses contain disclosures of market, originator and mortgage characteristics that the securitizer associates with an increased risk of default. These disclosures suggest that the risk of default increased step wise beginning in 2006. While the same information was available to the CRA, their credit risk ratings did not incorporate this information and remained flat. Should the SEC obtain data on the near term performance of these MBS they would be able to establish if this divergence in risk assessment was substantial and if the CRA chose to support their clients to the detriment of MBS investors.
{"title":"Assessing Risk on Subprime Mortgage Backed Securities: Did Credit Rating Agencies Misrepresent Risk to Investors?","authors":"Harold C. Barnett","doi":"10.2139/ssrn.1899631","DOIUrl":"https://doi.org/10.2139/ssrn.1899631","url":null,"abstract":"The Securities and Exchange Commission (SEC) has asked whether credit rating agencies (CRA) committed fraud by misleading investors with respect to the default risk on mortgage backed securities (MBS). This paper argues that, to the detriment of investors, the CRA did not incorporate information available to securitizers in their ratings of subprime mortgage backed securities. A test of this proposition utilizes data on CRA ratings of 32 Goldman Sachs MBS issued in 2005-2007 and Moody’s Investor Services projections of loss for these mortgage pools. The percent of principal balances rated triple-A is relatively constant over this period. In contrast, projected losses increase substantially for 2006-2007 MBS issues. A Goldman Sachs presentation to its Board highlights factors that enhanced the risk of default in 2006-2007. Review of a select sample of 2006-2007 MBS prospectuses contain disclosures of market, originator and mortgage characteristics that the securitizer associates with an increased risk of default. These disclosures suggest that the risk of default increased step wise beginning in 2006. While the same information was available to the CRA, their credit risk ratings did not incorporate this information and remained flat. Should the SEC obtain data on the near term performance of these MBS they would be able to establish if this divergence in risk assessment was substantial and if the CRA chose to support their clients to the detriment of MBS investors.","PeriodicalId":249249,"journal":{"name":"POL: Other Strategy & Macroeconomic Policy (Topic)","volume":"2012 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129103286","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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