Using the 2007–2009 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use an asset pricing framework with global and local factors to predict crisis returns, defining unexplained increases in factor loadings as indicative of contagion. We find evidence of systematic contagion from US markets and from the global financial sector, but the effects are very small.
We examine aggregate idiosyncratic volatility in 23 developed equity markets, measured using various methodologies, and we find no evidence of upward trends when we extend the sample until 2008. Instead, idiosyncratic volatility appears to be well described by a stationary autoregressive process that occasionally switches into a higher-variance regime that has relatively short duration. We also document that idiosyncratic volatility is highly correlated across countries. Finally, we examine the determinants of the time-variation in idiosyncratic volatility.
The performance of organizations depends partly on the reputations of their industries. Such reputations are “intangible commons.” Interest in protecting mutual welfare motivates members of an industry to engage in self-regulation. However, the current literature tends to have a pessimistic view of the efficacy of self-regulation in solving the problem of reputational commons. We argue that the obstacles forecasted by such pessimistic reasoning are context-bound and can be overcome if industry self-regulation includes effective sanctions and exclusion strategies.
The performance of organizations depends partly on the reputations of their industries. Such reputations are "intangible commons." Interest in protecting mutual welfare motivates members of an industry to engage in self-regulation. However, the current literature tends to have a pessimistic view of the efficacy of self-regulation in solving the problem of reputational commons. We argue that the obstacles forecasted by such pessimistic reasoning are context-bound and can be overcome if industry self-regulation includes effective sanctions and exclusion strategies.
We study the impact of the end of race-based busing in Charlotte-Mecklenburg schools ("CMS") on academic achievement, educational attainment, and young adult crime. In 2001, CMS was prohibited from using race in assigning students to schools. School boundaries were redrawn dramatically to reflect the surrounding neighborhoods, and half of its students received a new assignment. Using addresses measured prior to the policy change, we compare students in the same neighborhood that lived on opposite sides of a newly drawn boundary.
Significant work time in the U.S. is lost each year due to worker absence, but evidence on the productivity losses from absenteeism remains scant due to difficulties with identification. In this paper, we use uniquely detailed data on the timing, duration, and cause of absences among teachers to address many of the potential biases from the endogeneity of worker absence.
This paper extends the contextual perspective of network evolution to account for a more complete process of network evolution by showing that the impacts of fads and fashions on the formation and dissolution of interorganizational networks are asymmetric. Building on contact theory, this paper proposes that direct contact affords a flow of knowledge that counters tendencies to social conformity. Network dissolution differs from network formation in that partners have already obtained direct information.
Through a field experiment set in academia (with a sample of 6,548 professors), we found that decisions about distant-future events were more likely to generate discrimination against women and minorities (relative to Caucasian males) than were decisions about near-future events. In our study, faculty members received e-mails from fictional prospective doctoral students seeking to schedule a meeting either that day or in 1 week; students' names signaled their race (Caucasian, African American, Hispanic, Indian, or Chinese) and gender.
In organizations where agents face cognitive costs, communication patterns should reflect the relative value of their members to the organization. We propose to measure the impact factor of an agent by applying the Invariant Method — also known as Google's PageRank algorithm — to electronic communication data. To explore the validity of this measure, we analyze email exchanges among the top executives of a large retail company. We construct their individual impact factors based only on email patterns and we compare them to standard economic measures of organizational importance.