Andrea Gamba and Alessio Saretto ♦ We show that a structural model incorporating firms’ real options and financial leverage decisions can generate forward-looking equity distributions of various shapes, resulting in highly flexible implied volatility surfaces. In contrast, exogenously specified models…
Yanyan Lin, Chongfeng Wu, Guofu Zhou, and Shunwei Zhu ♦ We introduce a novel decomposition of stock market returns into a permanent component (PC), capturing long-term growth, and a temporary component (TC), reflecting short-term fluctuations. The decomposition is explicit, straightforward…
Nils Lohmeier, Lennart Stitz, and Paul Drecker ♦ Can textual information from firm disclosures help to identify M&A targets? We employ two state-of-the-art transformer neural networks, RoBERTa and Longformer, based on 102,987 annual reports of publicly listed US firms to…
Paul Brockman, Donglai Ning, and Yukihiro Yasuda ♦ There is considerable disagreement about whether managers conduct share repurchases primarily for the long-term benefits of shareholders or for their own short-term gains. This study addresses this important issue by applying a…
Chunxin Jia, Ruichang Lu, Jay R. Ritter, Zhen Xie, and Donghang Zhang ♦ Until recently, analyst coverage before an IPO was common in China. We find that analyst coverage and optimism for an IPO before the offer price is set…
Fangyuan Ma, Linlin Ma, Yuan Wang, and Bo Xu ♦ We examine the incentives for mutual fund families to launch ESG funds. Our analyses reveal that introducing a new ESG fund is associated with a significant increase in capital inflows…
