Abhishek Bhardwaj and Saptarshi Mukherjee ♦ We document spillover effects of government policies promoting capital investment on household financial choices and wealth accumulation. Using individual-level data on employment outcomes and household balance sheets, we find that increase in accelerated depreciation…
Ali Sanati ♦ I develop a dynamic model to investigate how labor mobility impacts firms’ decisions. In the model, firms make investment and financing decisions, hire labor with different skill and mobility levels, and set wages through bargaining. The model…
Sohnke M. Bartram, Mark Grinblatt, and Yoshio Nozawa ♦ Corporate bonds’ book-to-market ratios predict returns computed from transaction prices. Senior bonds (even investment-grade) with the 20% highest ratios outperform the 20% lowest by 3%–4% annually after non-parametrically controlling for numerous…
Wolfgang Drobetz, Fabian Holstein, Tizian Otto, and Marcel Prokopczuk ♦ Machine learning-based market beta estimators outperform established benchmark models both statistically and economically. Analyzing the predictability of time-varying market betas of U.S. stocks, we document that machine learning-based estimators produce…
Wayne Ferson, Andrew F. Siegel, and Junbo L. Wang ♦ We develop methods for testing factor models when the weights in portfolios of factors and test assets can vary with lagged information. We derive and evaluate consistent standard errors and…
Xinjie Wang, Ge Wu, and Zhaodong (Ken) Zhong ♦ The CDS Big Bang introduced two standard coupons for CDS trading. We exploit the setting of the two standard coupons as a natural experiment to quantify the components of the bid-ask…
