Jarrad Harford, Xing Li, Jiaren Pang, Haibin Wu, and Liu Zheng ♦ We investigate the role of social capital in mitigating hold-up problems along the supply chain. We find that supplier firms are more willing to make relationship-specific investments (proxied…
Jie Cao, Gang Li, Xintong (Eunice) Zhan, and Guofu Zhou ♦ We examine time-series stock market excess return predictability by aggregate stock option order imbalance. While individual-level call order imbalance (CIB) captures informed trading and positively predicts cross-sectional stock returns,…
Jie (Jay) Cao, Amit Goyal, Xintong (Eunice) Zhan, and Weiming (Elaine) Zhang ♦ We find that option expensiveness, measured by delta-hedged option returns, is higher for low-ESG stocks, indicating that investors pay a premium in the options market to hedge…
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Elena Andreou, Patrick Gagliardini, Eric Ghysels, and Mirco Rubin ♦ We present a set of novel theoretical results providing a solution that address for the perils of beta dynamics misspecification in the estimation of conditional asset pricing models. We show…
Matthew Denes and James F. Albertus ♦ We study the effects of private equity fund debt on cash flows, performance, and agency relationships. Funds using debt delay capital calls, boosting performance measures sensitive to cash flow timing. We find that…
