世界経済・社会統計 = World development indicators

Background: Systematic literature studies have become common in software engineering, and hence it is important to understand how to conduct them efficiently and reliably.Objective: This paper presents guidelines for conducting literature reviews using a snowballing approach, and they are illustrated and evaluated by replicating a published systematic literature review.Method: The guidelines are based on the experience from conducting several systematic literature reviews and experimenting with different approaches.Results: The guidelines for using snowballing as a way to search for relevant literature was successfully applied to a systematic literature review.Conclusions: It is concluded that using snowballing, as a first search strategy, may very well be a good alternative to the use of database searches.

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Guidelines for snowballing in systematic literature studies and a replication in software engineering

During the 2008-2009 financial crisis, firms with high social capital, measured as corporate social responsibility (CSR) intensity, had stock returns that were four to seven percentage points higher than firms with low social capital. High-CSR firms also experienced higher profitability, growth, and sales per employee relative to low-CSR firms, and they raised more debt. This evidence suggests that the trust between the firm and both its stakeholders and investors, built through investments in social capital, pays off when the overall level of trust in corporations and markets suffers a negative shock.

https://onlinelibrary.wiley.com/doi/pdf/10.1111/jofi.12505

Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis

机构投资者作为证券市场中的重要力量,越来越受到理论界和实务界的关注。论文对宾夕法尼亚大学沃顿商学院会计学教授布赖恩-布希（Brian Bushee）的论文＂The influence of institutional investors on myopic R＆D investment behavior＂（机构投资者对企业短视研发投资行为的影响,以下简称Bushee（1998））进行评价并提出相关的建议和研究方向。

《The influence of institutional investors on myopic R＆D investment behavior》述评

This paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidityadjusted capital asset pricing model, a security s required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return and liquidity. In addition, a persistent negative shock to a security s liquidity results in low contemporaneous returns and high predicted future returns. The model provides a unified framework for understanding the various channels through which liquidity risk may affect asset prices. Our empirical results shed light on the total and relative economic significance of these channels and provide evidence of flight to liquidity. r 2005 Elsevier B.V. All rights reserved.

Market Liquidity: Asset Pricing with Liquidity Risk

This paper presents an industry equilibrium model where firms have a choice to engage in corporate social responsibility (CSR) activities. We model CSR as an investment to increase product differen...

http://www.labex-refi.com/wp-content/uploads/2015/05/Corporate-Social-Responsibility-and-Firm-Risk_Theory-and-Empirical-Evidence.pdf

Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence

This paper presents an industry equilibrium model where firms have a choice to engage in corporate social responsibility (CSR) activities. We model CSR activities as a product differentiation strategy allowing firms to benefit from higher profit margins. The model predicts that CSR decreases systematic risk and increases firm value and that these effects are stronger for firms operating in differentiated goods industries and when consumers' expenditure share on CSR goods is small. We find supporting evidence for our predictions. We address a potential endogeneity problem by instrumenting CSR using data on the political affiliation of the firm's home state.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID2984214_code1664187.pdf?abstractid=1961971&mirid=1&type=2

We develop a general model of lending in the presence of endogenous borrowing constraints. Borrowing constraints arise because borrowers face limited liability and debt repayment cannot be perfectly enforced. In the model, the dynamics of debt are closely linked with the dynamics of borrowing constraints. In fact, borrowing constraints must satisfy a dynamic consistency requirement: The value of outstanding debt restricts current access to short term capital, but is itself determined by future access to credit. This dynamic consistency is not guaranteed in models of exogenous borrowing constraints, where the ability to raise short term capital is limited by some prespecified function of debt. We characterize the optimal default-free contract - which minimizes borrowing constraints at all histories - and derive implications for firm growth, survival, leverage, and debt maturity. The model is qualitatively consistent with stylized facts on the growth and survival of firms. Comparative statics with respect to technology and default constraints are derived.

/pdf/optimal-lending-contracts-and-firm-dynamics-d3rvotg96p.pdf

Optimal Lending Contracts and Firm Dynamics

We develop a general model of lending in the presence of endogenous borrowing constraints. Borrowing constraints arise because borrowers face limited liability and debt repayment cannot be perfectly enforced. In the model, the dynamics of debt are closely linked with the dynamics of borrowing constraints. In fact, borrowing constraints must satisfy a dynamic consistency requirement: the value of outstanding debt restricts current access to short-term capital, but is itself determined by future access to credit. This dynamic consistency is not guaranteed in models of exogenous borrowing constraints, where the ability to raise short-term capital is limited by some prespecified function of debt. We characterize the optimal default-free contract—which minimizes borrowing constraints at all histories—and derive implications for firm growth, survival, leverage and debt maturity. The model is qualitatively consistent with stylized facts on the growth and survival of firms. Comparative statics with respect to technology and default constraints are derived. Borrowing constraints are an important determinant of firm growth and survival. 1 Such constraints may arise in connection to the financing of investment opportunities faced by firms or temporary liquidity needs, such as those required to survive a recession. This paper develops a theory of endogenous borrowing constraints and studies its implications for firm dynamics. In our model, debt is constrained by the firm’s limited liability and option to default. A lending contract specifies an initial loan size, future financing, and a repayment schedule. The choice of these variables in turn determines future growth, the firm’s future borrowing capacity, and its ability and willingness to repay. Hence, borrowing constraints and firm dynamics are jointly determined. We study this dynamic design problem. Our model builds on Thomas and Worral’s (1994) model of foreign direct investment. At time zero a risk neutral borrower (firm or entrepreneur) has a project which requires a fixed initial set-up cost. Every period the project yields revenues that increase with the amount of 1. There is considerable evidence suggesting that financing constraints are important determinants of firm dynamics. Gertler and Gilchrist (1994) argue that liquidity constraints may explain why small manufacturing firms respond more to a tightening of monetary policy than do larger manufacturing firms. Perez-Quiros and Timmermann (2000) show that in recessions smaller firms are more sensitive to the worsening of credit market conditions as measured by higher interest rates and default premia. Evans and Jovanovic (1989) show that the liquidity constraints are essential in the decision to become an entrepreneur. Fazzari, Hubbard and Petersen (1988), among others, view financial constraints as an explanation for the dynamic behaviour of aggregate investment, and Cabral and Mata (1996) are able to fit reasonably well the size distribution of Portuguese manufacturing firms by estimating a simple model of financing constraints. For surveys see Hubbard (1998) and Stein (2003).

/pdf/optimal-lending-contracts-and-firm-dynamics-5362eit69d.pdf

The COVID-19 pandemic and the subsequent lockdown brought about an exogenous and unparalleled stock market crash The crisis thus provides a unique opportunity to test theories of environmental and social (ES) policies This paper shows that stocks with higher ES ratings have significantly higher returns, lower return volatility, and higher operating profit margins during the first quarter of 2020 ES firms with higher advertising expenditures experience higher stock returns, and stocks held by more ES-oriented investors experience less return volatility during the crash This paper highlights the importance of customer and investor loyalty to the resiliency of ES stocks

/pdf/resiliency-of-environmental-and-social-stocks-an-analysis-of-4fhagvq3z4.pdf

Rui Albuquerque

Papers

Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence

Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence

Optimal Lending Contracts and Firm Dynamics

Optimal Lending Contracts and Firm Dynamics

Resiliency of Environmental and Social Stocks: An Analysis of the Exogenous COVID-19 Market Crash