Anna Cororaton
I am an Assistant Professor of Finance at the Cox School of Business at Southern Methodist University. My research interests are in banking, financial institutions and household finance. I received my PhD in Finance from the Wharton School and my BA in Economics and Mathematics, both at the University of Pennsylvania. Prior to the PhD program, I worked in the Research Department at the Federal Reserve Bank of New York.
Email: cororaton@gmail.com
Working Papers
Public Firm Borrowers of the Paycheck Protection Program (joint with Sam Rosen)
We provide an initial assessment of the US Paycheck Protection Program by studying the 273 public firms that received a total of $929 million in loans between April 7-27, 2020. Despite receiving significant media coverage, these firms comprise 0.3% of the funds disbursed. Using guidelines specified by the US Small Business Administration, we document that about half of public firms were eligible to apply, of which 13% were eventual borrowers. Within the set of eligible firms, public firm borrowers tended to be smaller, have more employees, have fewer investment opportunities, have preexisting debt balances, and be located in a county with COVID-19 cases. Implementing additional eligibility requirements may help target funds towards the most constrained firms.
In the U.S., credit union lending grew by 15 percentage points more relative to commercial bank lending after the Great Recession. Comparing institutions that faced similar borrowers within narrowly-defined local credit markets and similar crisis exposures shows the effect is supply-driven. Balance sheet mechanisms, loan pricing, informational advantages, tax benefits, and regulation do not explain results. Rather, higher lending was sustained by lower profit margins. Results suggest member-oriented firm objectives that prioritize the provision of financial services led the $1.4 trillion dollar credit union industry to lend more relative to profit-maximizing banks.
Liquidity Risk and Bank Stock Returns (joint with Yasser Boualam)
We document that higher measures of liquidity risk on the bank's balance sheet are associated with lower expected stock returns. We first calculate a measure of liquidity risk, referred to as the liquidity gap (LG), which measures how much of a bank's volatile liabilities are covered by its stock of liquid assets. We show that the usual CAPM and Fama-French factor models do not fully explain the cross section of returns sorted according to this measure. A portfolio that is long in high liquidity risk banks and short on low liquidity risk banks delivers a statistically significantly of 6 percent annually. This effect is not driven by bank characteristics such as size, leverage or profitability, and appears to be driven solely by bank complexity.
Publications
Is the FHA Creating Sustainable Homeownership? (joint with Andrew Caplin and Joseph Tracy), Real Estate Economics, Vol. 43, Issue 4, 2015, 957-992
We produce first estimates of the sustainability of homeownership for recent Federal Housing Administration (FHA) borrowers. Unfortunately, the FHA does not produce its own statistics on sustainability. Neither does it permit researchers access to its data on internal refinances. This imposes significant barriers to entry for researchers who wish to track FHA borrower performance over time. We carefully construct the required tracking data to overcome this barrier. We forecast that no more than 75% of the 2007–2009 vintages of FHA borrowers will be able to successfully exit the FHA system. Our work raises questions about FHA's role, its accounting and its accountability.
Short Articles
Why Small Businesses Were Hit Harder by the Recent Recession (joint with Aysegul Sahin, Sagiri Kitao and Sergiu Laiu), Current Issues in Economics and Finance, Vol. 17, No. 4, 2011.
How Does Slack Influence Inflation? (joint with Richard Peach and Robert Rich), Current Issues in Economics and Finance, Vol. 17, No. 3, 2011.