Ilias Filippou, David E. Rapach, Mark P. Taylor, and Guofu Zhou ♦ The exchange rate predictability puzzle—that fundamentals fail to forecast short-horizon exchange rate movements out of sample—has long resisted resolution. We show that fundamentals do matter, but their effects…
Senay Agca, Pablo Slutzky, and Stefan Zeume ♦ We examine how strengthened anti-money laundering (AML) enforcement affects the U.S.-banking sector. Heightened enforcement raises compliance costs disproportionately for small banks, especially in counties more exposed to money laundering. In these areas,…
Huan Kuang, Bing Liang, Tianyi Qu, and Mila Getmansky Sherman ♦ Over the past decade, hedge funds have increasingly embraced green investing. We develop a novel return-based measure of fund greenness and find that greener funds earn higher average returns,…
Lifang Li ♦ I show that corporate bond momentum is profitable despite recent concerns regarding its sensitivity to data uncertainty. Trimming formation-period positive (negative) outliers systematically weakens (strengthens) momentum profitability for both investment-grade and non-investment-grade bonds. This asymmetry reveals stronger…
Tiago Loncan and Philip Valta ♦ We examine how domestic product market competition shapes firms’ foreign market expansion. Using a panel of U.S. public firms from 1997–2017 and text-based measures of output offshoring, we show that stronger domestic competition increases…
Jens Heckmann, Heiko Jacobs, and Patrick Schwarz ♦ We propose a novel approach to synthesize presumably information-driven insider trading signals for the cross-section of stocks. We find that the resulting straightforward composite strategy can often forecast returns in a global…
