Dion Bongaerts

Delimitation and coherence of functional and administrative regions

Cörvers F., Hensen M. and Bongaerts D. Delimitation and coherence of functional and administrative regions, Regional Studies. The paper tests whether functional regions in the Netherlands show more labour market coherence between the municipalities included in them than the Dutch administrative regions. It turns out that regional disparities are not significantly smaller within functional than within administrative regions with respect to income level, housing prices, employment rate, and unemployment rate. It is argued that the numerous functional delimitations of the labour market that have been made for many countries in other studies are only useful for policy-making if they clearly outperform the administrative delimitations with respect to some relevant indicators of labour market coherence or regional disparities. Cörvers F., Hensen M. et Bongaerts D. Délimitation et cohérence des régions fonctionnelles et administratives, Regional Studies. Nous vérifions si les régions fonctionnelles des Pays-Bas présentent davantage de cohérence dans le marché du travail entre les municipalités englobées dans celles-ci que les régions administratives néerlandaises. Il savère que les disparités régionales ne sont pas vraiment moindres dans les régions fonctionnelles que dans les régions administratives du point de vue du niveau de revenus, du prix des logements, du taux demploi et du taux de chômage. Nous soutenons que les nombreuses délimitations fonctionnelles du marché du travail qui ont été établies pour de nombreux pays dans dautres études ne sont utiles pour la prise des décisions politiques que si elles se montrent nettement plus performantes que les délimitations administratives par rapport à certains indicateurs pertinents de la cohérence du marché du travail ou des disparités régionales. Régions fonctionnelles u2003Migrations quotidiennes u2003Travel-to-work areas (TTWA – aires fonctionnelles urbaines) u2003Disparités régionales Cörvers F., Hensen M. und Bongaerts D. Abgrenzungen und Kohärenz von funktionalen und Verwaltungsregionen, Regional Studies. Wir überprüfen, ob die funktionalen Regionen der Niederlande hinsichtlich des Arbeitsmarkts mehr Kohärenz zwischen den Gemeinden der einzelnen Regionen aufweisen als zwischen den holländischen Verwaltungsregionen. Wie sich herausstellt, fallen die regionalen Disparitäten innerhalb der funktionalen Regionen nicht signifikant kleiner aus als innerhalb der Verwaltungsregionen, was das Einkommensniveau, die Hauspreise, das Beschäftigungsniveau und die Arbeitslosenzahlen angeht. Wir argumentieren, dass die zahlreichen funktionalen Abgrenzungen des Arbeitsmarkts, die in anderen Studien für viele Länder geschaffen wurden, zur politischen Gestaltung nur nützlich sind, wenn sie den verwaltungstechnischen Abgrenzungen hinsichtlich einiger relevanter Indikatoren für die Arbeitsmarktkohärenz oder die regionalen Disparitäten klar überlegen sind. Funktionale Regionenu2003Pendlerverkehru2003Arbeitsmarktregionenu2003Regionale Disparitäten Cörvers F., Hensen M. y Bongaerts D. La delimitación y coherencia de las regiones funcionales y administrativas, Regional Studies. En este artículo comprobamos si la coherencia del mercado laboral entre las municipalidades de las regiones funcionales de los Países Bajos es mayor que la coherencia entre las regiones administrativas holandesas. Observamos que las desigualdades regionales no son significativamente menores en las regiones funcionales que en las regiones administrativas con respecto al nivel de ingresos, los precios de la vivienda y las tasas de empleo y desempleo. Sostenemos que las numerosas delimitaciones funcionales del mercado laboral que se han realizado para muchos países en otros estudios son sólo útiles para la elaboración de políticas si claramente funcionan mejor que las delimitaciones administrativas con respecto a algunos indicadores relevantes de la coherencia del mercado laboral o de las desigualdades regionales. Regiones funcionalesu2003Desplazamientos diariosu2003Cuenca de empleou2003Desigualdades regionales

An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets

We use an asset pricing approach to compare the effects of expected liquidity and liquidity risk on expected U.S. corporate bond returns. Liquidity measures are constructed for bond portfolios using a Bayesian approach to estimate Roll’s measure. The results show that expected bond liquidity and exposure to equity market liquidity risk affect expected bond returns, and that these liquidity effects explain a substantial part of the credit spread puzzle. In contrast, we find robust evidence that exposure to corporate bond liquidity shocks carries an economically negligible risk premium. We develop a simple theoretical model that can explain this finding.

Alternatives for Issuer-Paid Credit Rating Agencies

This paper investigates the economic viability and welfare contribution of alternatives to issuer-paid credit rating agencies (CRAs). To this end, it introduces a heterogeneous competition model for credit and ratings markets. Frictions among issuers or investors induce rating inflation from issuer-paid CRAs. Investor-paid CRAs suffer from three sources of free-riding and are generally not economically viable when competing with issuer-paid CRAs. Only for very limited parameter ranges can investor-paid CRAs thrive and counter rating inflation. Other proposed alternatives such as investor-produced ratings and CRA co-investments employ skin-in-the-game to induce proper screening accuracy. However, as traditional issuer-paid CRAs can cater better to issuers, such alternatives generate little demand or are implemented ineffectively. Hence, this paper provides an explanation for the evolution, dominance and resiliency of issuer-paid CRAs. JEL Classification: G24, G28, L14

The Real Effects of Credit Ratings: Evidence from Corporate Asset Sales

What is the relative contribution of credit rating downgrades on financial distress and managerial discipline? We find that firms are more likely to conduct asset sales following a credit rating downgrade, particularly so if firms indicate the purpose is to use the proceeds to pay down outstanding debt or to raise cash. We find a smaller or no effect if the sale is motivated by concentrating on core assets or involves the sale of a loss making or bankrupt operation. Shareholder wealth effects of the asset sale following a credit rating downgrade are consistent with the event being perceived by the market as a successful mechanism by the seller to mitigate financial distress caused by the downgrade and where buyers benefit from discounted fire-sale prices and when the assets have greater asset redeployability. Asset sales following a downgrade are more likely to involve segments that are the most liquid, generate the least current cash flows, and have the highest growth opportunities. Peer-based performance, intrafirm performance, or relatedness to core activities, do not explain the choice for which segments are divested. Our results suggest that firms respond to credit rating downgrades with asset sales in an attempt to reduce financial distress and that downgrades, at the margin, exacerbate financial distress rather than induce managerial discipline.

High-Frequency Trading and Market Stability

StrategyDesk lets you create, test and execute your stock trading strategy — all using one powerful, downloadable desktop application. In just a few clicks, you can define strategy entry and exit rules, test your rules against historical market data and then activate them for live trading. You also get advanced charting and real-time screening capabilities to help you find, analyze and act on potential trading opportunities.We analyze how liquidity provision by high-frequency traders (HFTs) affects market stability, echoing recent regulatory concerns. Our model features a limit order market with informed trading and endogenous entry and exit. Liquidity is provided by traditional liquidity providers and HFTs with superior speed and/or information processing technology. Speed technology by itself leads to efficient resource allocation and maximizes liquidity. Information processing technology by itself generates mild inefficiencies due to a lemons problem. Yet, the combination of the two can lead to the implementation of inefficient speed technology, oligopolistic rents, or an amplified lemons problem with occasional market freezes.

Cross-Sectional Identification of Informed Trading

We propose a portfolio optimization approach to identifying private information. In our model, investors are exposed to liquidity and private information shocks and optimize their trading across stocks taking into account price impact (Kyles Lambda). We obtain a very simple expression for a stocks private information shock: Lambda x OIB (order imbalance). Intuitively, observed order imbalance is more likely to be information-driven when trading is expensive. Consistent with our measure capturing private information, we show empirically that it is greater for smaller firms with higher analyst dispersion, helps to explain return reversals, predicts return volatility, and increases before M&A announcements.