Thierry Wizman

Efforts to address climate change have generally been focused on deploying mitigation technologies. However, it is adaptation technologies (and climate risk transfer) that will have to gain an increasing share of an investment pool dedicated to climate if human systems are to stay resilient to climate forces. Just like mitigation projects, adaptation projects have a strong public goods aspect, wherein public returns exceed private returns, and thus call for the state’s involvement. We argue… Show more

Efforts to address climate change have generally been focused on deploying mitigation technologies. However, it is adaptation technologies (and climate risk transfer) that will have to gain an increasing share of an investment pool dedicated to climate if human systems are to stay resilient to climate forces. Just like mitigation projects, adaptation projects have a strong public goods aspect, wherein public returns exceed private returns, and thus call for the state’s involvement. We argue that sovereign climate funds (SCFs) - new types of sovereign wealth funds with a climate investment mandate - can be critical purpose-built conduits especially for undertaking the needed decades-long programs of allocating resources to adaptation projects, without hindrance from political biases or “short-termism”. They can also function as “cushions” against potential future climate funding shortfalls and dispense payouts when climate disasters strike. We discuss the various climate-related adaptation investments that SCFs would be particularly well-suited to undertake. Show less

Abstract: We use panel data on prices and net asset values to test whether dramatic country-specific news affects the response of closed-end country fund prices to asset value. In a typical week, prices underreact to changes in fundamentals; the (short-run) elasticity of price with respect to asset value is significantly less than one. In weeks with news appearing on the front page of The New York Times, prices react much more; the elasticity of price with respect to asset value is closer to… Show more

Abstract: We use panel data on prices and net asset values to test whether dramatic country-specific news affects the response of closed-end country fund prices to asset value. In a typical week, prices underreact to changes in fundamentals; the (short-run) elasticity of price with respect to asset value is significantly less than one. In weeks with news appearing on the front page of The New York Times, prices react much more; the elasticity of price with respect to asset value is closer to one. These results are consistent with the hypothesis that news events lead some investors to react more quickly. Show less

Abstract: Following the thrift crisis, the early 1990s witnessed a resurgence in conversion activity in the thrift sector. This paper compares the recent wave of mutual-to-stock conversions to the conversion wave which occurred in 1984–1988. We found that mutual-to-stock conversions in the 1990s were driven by different financial circumstances than those of the 1980s. Specifically, whereas mutuals in the 1980s were driven to convert as part of a general program to increase loanable funds for… Show more

Abstract: Following the thrift crisis, the early 1990s witnessed a resurgence in conversion activity in the thrift sector. This paper compares the recent wave of mutual-to-stock conversions to the conversion wave which occurred in 1984–1988. We found that mutual-to-stock conversions in the 1990s were driven by different financial circumstances than those of the 1980s. Specifically, whereas mutuals in the 1980s were driven to convert as part of a general program to increase loanable funds for the purpose of increasing investment returns, conversions in the 1990s were driven more by the need to raise equity capital. Show less

Abstract: This paper evaluates the ability of the empirical model of asset pricing of Campbell (1993a,b) to explain the time-series and cross-sectional variation of expected returns of portfolios of stocks. In Campbell's model, an alternative risk-return relationship is derived by substituting consumption out of the linearized first-order condition of the representative agent. We compare this methodology to models that use actual consumption data, such as the model of Epstein and Zin, 1989… Show more

Abstract: This paper evaluates the ability of the empirical model of asset pricing of Campbell (1993a,b) to explain the time-series and cross-sectional variation of expected returns of portfolios of stocks. In Campbell's model, an alternative risk-return relationship is derived by substituting consumption out of the linearized first-order condition of the representative agent. We compare this methodology to models that use actual consumption data, such as the model of Epstein and Zin, 1989, 1991, and the standard consumption-based CAPM. Although we find that Campbell's model fits the data slightly better than models which explicitly price consumption risk, and provides reasonable estimates of the representative agent's preference parameters, the parameter restrictions of the Campbell model, as well as its overidentifying orthogonality conditions, are generally rejected. The parameter restrictions of the Campbell model, and the overidentifying conditions, are marginally not rejected when the empirical model is augmented to account for the “size effect”. Show less

Abstract: The authors compare the effects of the business cycle on the cost of capital faced by small, distressed firms and their larger, more financially secure counterparts. The analysis draws on stock market returns data for a broad range of traded companies during the 1963-91 period.

Abstract: Prebuyout bondholders, on average, suffer statistically significant wealth losses in leveraged buyouts. Bonds with strong covenant protection, however, gain value, while those with no protection lose value. The disposition of bonds after buyouts, e.g., remained outstanding, called, tendered, defeased, is also strongly linked to type of covenant protection. We also document that covenant use declines for bonds issued after 1980. Finally, the losses to bondholders are small compared… Show more

Abstract: Prebuyout bondholders, on average, suffer statistically significant wealth losses in leveraged buyouts. Bonds with strong covenant protection, however, gain value, while those with no protection lose value. The disposition of bonds after buyouts, e.g., remained outstanding, called, tendered, defeased, is also strongly linked to type of covenant protection. We also document that covenant use declines for bonds issued after 1980. Finally, the losses to bondholders are small compared with the gains accruing to shareholders. Show less