工作论文 PAPERS
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Estimation of a Structural Break Point In Linear Regression Models
This study proposes a point estimator of the break location for a one-time st...
Yaein Baek*
Working Paper | No. 20210510 |
Keywords: Change point, parameter instability, structural change
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Q-Theory of Investment Revisited: Merton's q
An option pricing framework is utilized to estimate firms’ market value...
Hursit Selcuk Celil*, Mengyang Chi
Working Paper | No. 20210509 |
Keywords: Investment, Tobin’s
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Leave-One-Out Least Square Monte Carlo Algorithm for Pricing American Options
The least square Monte Carlo (LSM) algorithm proposed by Longstaff and Schwar...
Jeechul Woo, Chenru Liu, Jaehyuk Choi*
Working Paper | No. 20210508 |
Keywords: American option, Least square Monte Carlo, Look-ahead bias, Leave-one-out-crossvalidation
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The Financial Value of the Within-government Political Network: Evidence from...
This paper examines the effect of the political network of Chinese municipal ...
Jaehyuk Choi, Lei Lu, Heungju Park, Sungbin Sohn*
Working Paper | No. 20210507 |
Keywords: Political network, guanxi, local government financing vehicles, municipal corporate bonds, cred
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The Effect of Institutional Investor Portfolio Diversification on Corporate D...
Do institutional investors’ portfolio diversification strategies reveal...
Audra L. Boone, Hursit S. Celil, Seungjoon Oh, Srinivasan Selvam
Working Paper | No. 20210506 |
Keywords: Institutional ownership, indexing, portfolio diversification, corporate diversification, produc
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Investment Sensitivity to Lender Default Shocks
We investigate how idiosyncratic lender shocks impact corporate investment Le...
Hursit S. Celil, Brandon Julio*, Srinivasan Selvam
Working Paper | No. 20210505 |
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Asset Pricing with Misallocation
Misallocation reduces total factor productivity and economic growth, implying...
Winston Wei Dou, Yan Ji, Di Tian, Pengfei Wang*
Working Paper | No. 20210504 |
Keywords: Agency conflicts, distribution of firms, financial frictions, misallocation, endogenous growth,
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Firms’ Capital Structure Choices and Endogenous Dividend Policies
We analyze capital structure dynamics of publicly held firms within the conte...
Hursit Selcuk Celil*, Mengyang Chi
Working Paper | No. 20210503 |
Keywords: Cash flow identity, capital structure, dividend policy
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The Role of Information in the Rosen-Roback Framework
In this paper, we relax the underlying assumption of complete information in ...
Xuwen Gao*, Ran Song, Christopher Timmins
Working Paper | No. 20210502 |
Keywords: Information, Rosen Roback Theory, wage-hedonic model, compensating differential
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Policy Uncertainty and Peer Effects: Evidence from Corporate Investment in Ch...
This study investigates whether economic policy uncertainty (EPU) magnifies p...
Hyun Joong Im, Jane Liu, Young Joon Park*
Working Paper | No. 20210501 |
Keywords: Corporate investment policy, peer effects, economic policy uncertainty, underin-vestment, infor