Research articles for the 2021-06-18
Dissecting Green Returns
SSRN
Green assets delivered high returns in recent years. This performance reflects unexpectedly strong increases in environmental concerns, not high expected returns. German green bonds outperformed their higher-yielding non-green twins as the "greenium" widened, and U.S. green stocks outperformed brown as climate concerns strengthened. To show the latter, we construct a theoretically motivated green factor|a return spread between environmentally friendly and unfriendly stocks and find that its positive performance disappears without climate-concern shocks. The factor lags those shocks, curiously, by about a month. A theory-driven two-factor model featuring the green factor explains much of the recent underperformance of value stocks.
SSRN
Green assets delivered high returns in recent years. This performance reflects unexpectedly strong increases in environmental concerns, not high expected returns. German green bonds outperformed their higher-yielding non-green twins as the "greenium" widened, and U.S. green stocks outperformed brown as climate concerns strengthened. To show the latter, we construct a theoretically motivated green factor|a return spread between environmentally friendly and unfriendly stocks and find that its positive performance disappears without climate-concern shocks. The factor lags those shocks, curiously, by about a month. A theory-driven two-factor model featuring the green factor explains much of the recent underperformance of value stocks.
Do Entrepreneur Behavioral Traits Explain Small Business Credit Outcomes?
SSRN
Using bank administrative data on entrepreneurs’ personal and business activities, we show that an entrepreneur’s personal behaviors, which are revealed from personal consumption, finance, and credit activities, can well predict the future credit outcome of her business. Utilizing advanced machine learning methods, we find the predictive power of entrepreneur personal behaviors significantly outperform the firm-specific characteristics. By incorporating entrepreneur personal features into credit assessment, lenders can reduce the predicted default rate of small business borrowers by about half. Our finding sheds light on the informational value of entrepreneur personal traits to creditors and investors.
SSRN
Using bank administrative data on entrepreneurs’ personal and business activities, we show that an entrepreneur’s personal behaviors, which are revealed from personal consumption, finance, and credit activities, can well predict the future credit outcome of her business. Utilizing advanced machine learning methods, we find the predictive power of entrepreneur personal behaviors significantly outperform the firm-specific characteristics. By incorporating entrepreneur personal features into credit assessment, lenders can reduce the predicted default rate of small business borrowers by about half. Our finding sheds light on the informational value of entrepreneur personal traits to creditors and investors.
How does the repo market behave under stress? Evidence from the Covid-19 crisis
RePEC
We examine how the repo market operates during liquidity stress by applying network analysis to novel transaction-level data of the overnight gilt repo market including the Covid-19 crisis. During this crisis, the repo network becomes more connected, with most institutions relying on existing trade relationships to transact. There are however significant changes in the repo volumes and spreads during the stress relative to normal times. We find a significant increase in volumes traded in the cleared segment of the market. This reflects a preference for dealers and banks to transact in the cleared rather than the bilateral segment. Funding decreases towards non-banks, only increasing for hedge funds. Further, spreads are higher when dealers and banks lend to rather than borrow from non-banks.
RePEC
We examine how the repo market operates during liquidity stress by applying network analysis to novel transaction-level data of the overnight gilt repo market including the Covid-19 crisis. During this crisis, the repo network becomes more connected, with most institutions relying on existing trade relationships to transact. There are however significant changes in the repo volumes and spreads during the stress relative to normal times. We find a significant increase in volumes traded in the cleared segment of the market. This reflects a preference for dealers and banks to transact in the cleared rather than the bilateral segment. Funding decreases towards non-banks, only increasing for hedge funds. Further, spreads are higher when dealers and banks lend to rather than borrow from non-banks.
Role of Rural Self Employment Training Institutes in Implementation of Prime Minister’s Employment Generation Programme
SSRN
In the context of the need for promoting self-employment for the unemployed rural youth, particularly those below the poverty line the periodic skill up gradation and financial assistance is very essential to keep them ready to exploit the available entrepreneurial opportunities. PMEGP is the credit linked subsidy programme aimed at generating self employment opportunities through establishment of MSMEs. The present study aimed at assessing the role of RSETIs in implementation of PMEGP. The study is conducted at Canara Bank RSETI, Tholahunase, Davangere with 30 respondents. The study revealed that there is a significant improvement in management, marketing, financial management skills and knowledge about Government Schemes among the candidates after training. Majority of respondents felt there is a requirement of attending PMEGP training and they influenced others to attend it. Finally it is suggested to update the training modules on the basis of present requirements and to increase the more off the campus training programmes.
SSRN
In the context of the need for promoting self-employment for the unemployed rural youth, particularly those below the poverty line the periodic skill up gradation and financial assistance is very essential to keep them ready to exploit the available entrepreneurial opportunities. PMEGP is the credit linked subsidy programme aimed at generating self employment opportunities through establishment of MSMEs. The present study aimed at assessing the role of RSETIs in implementation of PMEGP. The study is conducted at Canara Bank RSETI, Tholahunase, Davangere with 30 respondents. The study revealed that there is a significant improvement in management, marketing, financial management skills and knowledge about Government Schemes among the candidates after training. Majority of respondents felt there is a requirement of attending PMEGP training and they influenced others to attend it. Finally it is suggested to update the training modules on the basis of present requirements and to increase the more off the campus training programmes.
