|Marcus M. Opp|
Home | Curriculum Vitae | Research | Teaching | Finance Theory Group
(1) "Rybczynski's theorem in the
Heckscher-Ohlin world - anything goes," 2009, joint with Hugo
Sonnenschein and Christis Tombazos, Journal of International Economics, 79
(2) "Tariff wars in a Ricardian model
with a continuum of goods," 2010, Journal of International
Economics, 80 (2), 212-225.
risk and technology,'' 2012, Journal of Financial Economics, 103, 113-129. Winner of the 2008 John Leusner Award for the best dissertation at the University of Chicago in the field of Finance.
agencies in the face of regulation,'' 2013, joint with Christian C. Opp & Milton Harris, Journal of Financial Economics, 108, 46-61. Winner of the 2016 Emerald Citation Award.
(5) “Markup cycles, dynamic misallocation, and amplification," 2014, joint with Christine Parlour & Johan Walden, Journal of Economic Theory, 154, 126-161.
(6) “Impatience versus incentives,” 2015, joint with John Zhu, Econometrica, 83, 1601-1617. Presentation Slides from Econometric Society Meeting, Boston 2015.
(7) "Target Revaluation after Failed Takeover Attempts - Cash versus Stock," 2016, joint with Ulrike Malmendier and Farzad Saidi, Journal of Financial Economics, 119, 92-106. Winner of 2016 Jensen Prize for the best Corporate Finance paper published in the Journal of Financial Economics. Online Appendix
Main insight: Capital markets interpret a cash offer as a economically large and positive signal about the fundamental value of target resources (in contrast to a stock offer). We expose a significant look-ahead bias affecting the previous literature on this topic.
Completed working papers:
(8) “Bank capital, risk-taking, and the composition of credit,” January 2017, joint with Milton Harris and Christian Opp. See Video for intuition with graphical illustration.
Abstract: We propose a general equilibrium framework to analyze the cross-sectional distribution of credit and its exposure to shocks to the financial system, such as changes to bank capital, capital requirements, and interest rates. We characterize how over- and underinvestment in different parts of the borrower distribution are linked to the capitalization of the banking sector and the distribution of borrowers' risk characteristics and bank dependence. Our model yields a parsimonious asset pricing condition for firms' cost of capital that sheds light on heterogeneity in interest rate pass-through across borrower types, as well as its dependence on the health of the banking sector.
(9) “Only time will tell: a theory of deferred compensation and its regulation,” December 2016, joint with Florian Hoffmann and Roman Inderst, Presentation Slides.
Work in progress:
(10) “Regulatory reform and risk-taking: replacing ratings,” September 2014, joint with Bo Becker, Presentation slides. (major update soon, new data!)
Abstract: We expose that a reform of capital regulation for insurance companies in 2009/2010 eliminated (to a first-order approximation) capital requirements for holdings of non-agency mortgage backed securities. Post reform, insurance companies allocate 54% of their purchases of new MBS issues toward non-investment grade assets (as opposed to 6% pre reform), a large increase in risk-taking.
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June 13, 2017