工作论文 PAPERS
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Regime Shifts in a Long-run Risks Model of U.S. Stock and Treasury Bond Marke...
We study the joint determinants of stock and bond returns in a long-run risks...
Kai Li, Chenjie Xu
Working Paper | No. 20220705 |
Keywords: Regime shift, risks model, U S stock, treasury bond market
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The Unmeasured Finance in Misallocation
This paper documents a large overestimation of measured finance misallocation...
Weiwei Hu, Kai Li, Yiming Xu
Working Paper | No. 20220704 |
Keywords: Lease-induced debt, External finance, Misallocation of finance
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Turbulent Business Cycles
Recessions are associated with sharp increases in turbulence that reshuffle f...
Ding Dong, heng Liu, Pengfei Wang
Working Paper | No. 20220703 |
Keywords: Turbulence,heterogeneous firms, financial frictions, reallocation, productivity, business cycle
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Trust and Contracts: Empirical Evidence
Trust between parties should drive contract design: if parties were suspiciou...
Francesco D’Acunto, Jin Xie, Jiaquan Yao
Working Paper | No.20220702 |
Keywords: Empirical Contract Theory, Incomplete Contracts, Cultural Economics, Beliefs and Choice, Person
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Estimation of Characteristics-based Quantile Factor Models
This paper studies the estimation of characteristic-based quantile factor mod...
Liang Chen, Juan J. Dolado, Jesús Gonzalo, Haozi Pan
Working Paper | No. 20220701 |
Keywords: Quantile factor models, nonparametric quantile regression, principal component analysis
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EPS-Sensitivity and Mergers
Announcements of mergers very often discuss the immediate impact of the deal ...
Sudipto Dasgupta, Jarrad Harford, Fangyuan Ma
Working Paper | No. 20220503 |
Keywords: Earning per share, sensititvity, mergers
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Information Acquisition, Uncertainty Reduction and Pre-announcement Premium i...
We examine the stock market returns in an environment in which the dates of c...
Rui Guo, Dun Jia*, Xi Sun
Working Paper | No. 20220502 |
Keywords: Equity premium, macro announcement, central bank, information acquisition
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Revisiting Granger Causality of CO2 on Global Warming: A Quantile Factor Appr...
The relationship between global warming and CO2 is a long-standing question i...
Liang Chen, Juan J. Dolado, Jesús Gonzalo, Andrey Ramos
Working Paper | No. 20220501 |
Keywords: Global warming, CO2 emissions, quantile factor models, granger causality
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Short Squeezes
Building upon the premise that short squeezes are most likely to occur follow...
Zhiqian Jiang, Baixiao Liu, Andrew Schrowang, Wei Xu
Working Paper | No. 20220304 |
Keywords: Short selling, short squeezes, short sale constraint, price reversals
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Motivating Collusion
We examine how executive compensation can be designed to motivate product mar...
Sangeun Ha, Fangyuan Ma, Alminas Žaldokas
Working Paper | No. 20220303 |
Keywords: Product market collusion, corporate governance, managerial compensation