Shiyang Huang, Yang Song, and Hong Xiang ♦ We document and explain the sharp performance deterioration of smart beta indexes after the corresponding ETFs are launched for investment. While smart beta is purported to deliver excess returns through factor exposures, the market-adjusted…
Tri Vi Dang, Wei Li, and Yongqin Wang ♦ We use the 2015 Chinese stock market crash to study the effects of government stock purchases. The Chinese government purchased stocks to stabilize the markets through state-owned financial institutions known as the “National…
Tania Babina, Diego García, and Geoffrey Tate ♦ Using a novel dataset of over 3,500 public and private firms, we construct the network of executive and director connections prior to the 1929 financial market crash. We find that more connected firms have…
Matthew Linn and Daniel Weagley ♦ We use a random forest model to classify firms’ financial constraints using only financial variables. Our methodology expands the range of classified firms compared to text-based measures while maintaining similar levels of informativeness. We construct…
