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…
Steven Wei Ho, Clark Liu, and Shujing Wang ♦ We investigate whether bank loan financing conveys valuable private information from 1994 to 2018 using a sample of over 10,000 bank loan announcements identified from 8-K filings. We show that the positive…
S. Katie Moon and Giorgo Sertsios ♦ We examine how changes in foreign labor regulations affect U.S. multinationals’ operating strategies. We show that firms with integrated operations in countries where labor regulations become tighter tend to establish arm’s-length relations with…
Kevin Aretz and Anastasios Kagkadis ♦ We show that the negative relation between real investments and future stock returns is primarily driven by the subsample of firms building additional capacity. We develop a real options model to rationalize that evidence…
Zsolt Katona, Marcus O. Painter, Panos N. Patatoukas, and Jean Zeng ♦ We use the introduction of satellite coverage of major retailers to study the capital market implications of unequal access to big data. Satellite data enabled sophisticated investors with…
