Welcome!
I'm an Assistant Professor of Finance at Paris Dauphine University and a PSL Junior Fellow. My research interests lie at the intersection of Corporate Finance, Asset Pricing, and Computational Finance. My two main research agendas study the impact of the offshore finance industry on corporate policies and the role of social media in investment decisions.
Working Papers
Social Media as a Bank Run Catalyst
Revise and Resubmit (2nd Round) at the Journal of Financial Economics
J. Anthony Cookson, Corbin Fox, Javier Gil-Bazo, Juan Felipe Imbet, Christoph Schiller
Abstract: After the run on Silicon Valley Bank (SVB), U.S. regional banks entered a period of significant distress. We quantify social media's role in this distress using comprehensive Twitter data. During the SVB run period, banks with high pre-existing exposure to Twitter lost 4.3 percentage points more stock market value. Moreover, Twitter pre-exposure interacts significantly with classical run risks to predict greater run severity and greater deposit outflows during Q1 2023, effects unexplained by other banking or market characteristics. At the hourly frequency during the run, high Twitter attention over the past four hours predicts stock market losses, especially for banks with high run risks. By contrast, we find that negative Twitter sentiment does not amplify bank run risks. Rather, our evidence points to a distinctive role of Twitter attention by tech community members who are likely depositors in SVB, as well as tweets that mention running and contagion.
Media mentions:
- A hat-trick of genuinely interesting papers relevant to the banking mess. FT 2023
- Wake up to the dangers of digital bank runs. FT 2023
- A social-media-powered bank run. The New York Times DEALBOOK 2023
- Study Finds Twitter Chatter Fueled SVB Collapse — and Other Banks Are at Risk. Money 2023
- Social media raises bank run risk, fueled Silicon Valley Bank’s collapse, paper says. CNBC 2023
- Twitter fueled run on Silicon Valley Bank, new paper finds. Axios 2023
- Twitter poses a risk to the financial system and helped fuel the SVB run, says first major study to investigate the topic. Fortune 2023
- Social Media Fueled the Run on Silicon Valley Bank: Study. TECHNEWSWORLD 2023
- Did Tweets Help Crash Silicon Valley Bank? Paper Shows New Social Media Risks. Kiplinger 2023
- The Surprising Risk That Turbocharged a $142 Billion Bank Run. WSJ 2023
- Hutchins Roundup: Bank runs and social media, rising wages and inflation, and more. Brookings 2023
- Twitter helped kill Silicon Valley Bank. Are other banks at risk? American Banker 2023
- Twitter, un motor que azuzó el miedo financiero y precipitó la caída de Silicon Valley Bank. Cinco días El Pais, 2023
- Pánico en la empresa: hablan las redes sociales. La Vanguardia 2023
- Review of DFPI's Oversight and Regulation of Silicon Valley Bank. Department of FInancial Protection and Innovation DFPI. May 2023
- Reporte de Estabilidad Financiera. Banco de la Republica de Colombia (2023)
Tweeting for Money: Social Media and Mutual Fund Flows
Revise and Resubmit (Minor Revision) at Management Science
Javier Gil-Bazo, Juan Felipe Imbet
Abstract: We unveil asset managers’ social media communications as a distinct new channel for attracting flows of money to mutual funds. Combining a database of more than 1.6 million posts on X/Twitter by U.S. mutual fund families with textual analysis, we find that flows of money to mutual funds respond positively to both the number and tone of the posts. The link between social media communications and flows of money is not explained by marketing efforts, but the two strategies reinforce each other. A high-frequency analysis that exploits intraday ETF trade data allows us to isolate the effect of tweets on investor decisions from potential confounders. We then consider and test four different economic mechanisms. The results of these tests do not support the hypothesis that asset managers’ social media communications reduce search costs for potential investors. The results do not support, either, that asset management companies’ Twitter activity increases investor attention or alleviates information asymmetries by communicating performance-relevant information to investors. In contrast, our evidence suggests that asset managers use social media as an effective persuasion tool.
Summary:
- Tweeting for Money: Impact on Money Flows When Mutual Funds Tweet. BSE Focus 2023
- Asset management companies use social media to persuade investors, according to a study. Focus UPF 2022
The Real Effects of Offshore Data Leaks: Evidence from Private Firms
Marcelo Ortiz M., Juan Felipe Imbet
Abstract: This study investigates the real effects of major offshore data leaks on private firms. By matching leaked data with firm-level information, we identify a large sample of small private firms involved in offshore activities in tax havens and analyze their corporate policies. Employing the sequence of leaks in a staggered difference-in-difference design, we observe that exposed firms invest more in fixed assets and labor pre-leaks but then significantly decrease their investments after the leaks. Our cross-sectional analyses show that unproductive firms and firms with faster deduction of investment expenditures benefit the most from offshore tax evasion before the leaks. The leaks also reduced corporate taxation, an effect that is not driven by fewer sales. Overall, our results suggest that offshore tax evasion boosts domestic investment among less productive firms, an effect that is muted or even reversed after the leaks.
Dynamic Contracting and Corporate Tax Strategies
Juan Felipe Imbet, Marcelo Ortiz M., Vincent Tena
Abstract: We investigate the optimal delegation of corporate tax strategy. We develop a dynamic model that incorporates moral hazard and random inspections by tax authorities. The firm's owner cannot directly observe either the firm's underlying gross profits process or the agent's continuous efforts to reduce tax expenses. Inspections are random, and while illegal strategies can be detected and penalized, the extent of evasion remains unobservable. In our setting, a risk-averse owner may avoid contracting tax strategies if the agent's effort costs or underlying profit volatility are too high, providing a contractual explanation for under-sheltering. The optimal tax strategy is a constant under-reporting of profits over time, which becomes more aggressive when the agent is less risk-averse and corporate tax rates are higher. The optimal compensation includes a fixed salary to ensure the agent's participation and a performance-based component that increases with the agent’s risk aversion and the reported profits. Under inspection risk, however, the optimal tax strategy is not constant and becomes progressively less aggressive as the expected penalty rises over time. The agent’s compensation includes an additional risk premium by bearing the inspection risk and a contingent loss in case of detection.
Stroke of a Pen: Investment and Stock Returns under Energy Policy Uncertainty
Juan Felipe Imbet
Abstract: Energy policy uncertainty - as measured by uncertainty about a U.S. President signing an energy related executive order in the future - covaries positively with corporate investment and aggregate consumption growth, and its innovations carry a negative price of risk. I propose and test a q-theory explanation in which firms invest in energy-efficient capital when facing energy policy uncertainty. This uncertainty amplifies differences in investment between growth and value companies as the benefits of substituting energy for capital increase with growth opportunities. As the benefits to invest increase, aggregate current consumption decreases relative to future consumption, creating time varying expected variation in aggregate market returns and consumption growth. Without an investment factor, uncertainty betas explain cross-sectional variation in stock returns across portfolios that differ in their growth opportunities. However, since investment reacts to uncertainty endogenously, an asset pricing model that accounts for an investment factor absorbs the cross-sectional differences in expected returns explained by this policy uncertainty. My findings suggest that uncertainty about future energy policies in the last four decades can explain firms' adoption of energy-efficient capital.
Publications
The Forecasting Power of Short-term Options
Accepted at the Journal of Derivatives
Arthur Böök, Juan Felipe Imbet, Martin Reinke, Carlo Sala