This paper uses a recent first name list to improve on a previous Bayesian classifier, the Bayesian Improved Surname Geocoding (BISG) method, which combines surname and geography information to impute missing race and ethnicity. The proposed approach is validated using a large mortgage lending dataset for whom race and ethnicity are reported. The new approach results in improvements in accuracy and in coverage over BISG for all major ethno-racial categories. The largest improvements occur for non-Hispanic Blacks, a group for which the BISG performance is weakest. Additionally, when estimating disparities in mortgage pricing and underwriting among ethno-racial groups with regression models, the disparity estimates based on either BIFSG or BISG proxies are remarkably close to those based on actual race and ethnicity. Following evaluation, I demonstrate the application of BIFSG to the imputation of missing race and ethnicity in the Home Mortgage Disclosure Act (HMDA) data, and in the process, offer novel evidence that race and ethnicity are somewhat correlated with the incidence of missing race/ethnicity information.
Ioan Voicu Office of the Comptroller of the Currency (OCC)
On September 15, 2021, the U.S. Commission on Civil Rights published a report entitled Racial Disparities in Maternal Health (the “Report”). This Dissenting Statement and Rebuttal (the “Statement”) is a part of that report.
Among other things, the Statement points out several errors in Report. For example, the Report incorrectly states that maternal mortality has increased 50% over the last generation. What has actually happened is that changes in death certificates have caused more deaths to be classified as maternal in nature. The Report also emphasizes the theory that racism plays a prominent role in causing racial disparities in maternal mortality. The Statement points out in response that maternal mortality rates for Hispanic and Asian American mothers are lower than the rate for white mothers. This tends to detract from the theory that racism is what’s causing the disparities.
This paper introduces a real-time, continuous measure of national sentiment that is language-free and thus comparable globally: the positivity of songs that individuals choose to listen to. This is a direct measure of mood that does not pre-specify certain mood-affecting events nor assume the extent of their impact on investors. We validate our music-based sentiment measure by correlating it with mood swings induced by seasonal factors, weather conditions, and COVID-related restrictions. We find that music sentiment is positively correlated with same-week equity market returns and negatively correlated with next-week returns, consistent with sentiment-induced temporary mispricing. Results also hold under a daily analysis and are stronger when trading restrictions limit arbitrage. Music sentiment also predicts increases in net mutual fund flows, and absolute sentiment precedes a rise in stock market volatility. It is negatively associated with government bond returns, consistent with a flight to safety.
Alex Edmans London Business School – Institute of Finance and Accounting; European Corporate Governance Institute (ECGI); Centre for Economic Policy Research (CEPR)
Adrian Fernandez-Perez Auckland University of Technology
Alexandre Garel Audencia Business School
Ivan Indriawan Auckland University of Technology – Department of Finance
Publication Date: 14 Aug 2021
Publication Site: SSRN, Journal of Financial Economics (forthcoming)
I study how promotion incentives within the public sector affect financial regulation. I assemble individual data for all SEC enforcement attorneys between 2002 and 2017, including enforcement cases, salaries, and ranks. Consistent with tournament model, attorneys with stronger promotion incentives are involved in more enforcement, especially against severe financial misconduct, and in tougher settlement terms. For identification, I rely on cross-sectional tests within offices and ranks and on exogenous variation in salaries resulting from a rule-based conversion to a new pay system. The findings highlight a novel link between incentives and regulation and show that the regulator’s organizational design affects securities markets.