Turan G. Bali, Avanidhar Subrahmanyam, and Quan Wen ♦ In this corrigendum, we address three issues in Bali, Subrahmanyam, and Wen (BSW) (2021). First, we included in BSW an inaccurate description of the database employed, which we now correct. Second,…
Sohnke Bartram, Leslie Djuranovik, Anthony Garratt, and Yan Xu ♦ Using real-time data, we show that currency excess return predictability is in part due to mispricing. First, the risk-adjusted profitability of systematic trading strategies decreases after dissemination of the underlying…
J. Benson Durham ♦ A novel arbitrage-free model of nominal U.S. Treasuries that decomposes yields into frictionless expected rates, frictionless term premiums, and liquidity premiums produces four key results from January 1987 through August 2023. First, liquidity loadings are larger…
Ming Zeng ♦ Returns to currency carry and momentum compensate for the risk of global interest rate volatility (IRV ), with risk exposures explaining 92% of the cross-sectional return variations. This unified explanation stems from its impact on FX intermediaries.…
Vicente Cuñat, Yiqing Lü, and Hong Wu ♦ We study how managers react to shareholder empowerment that makes votes on shareholder proposals binding. We empirically exploit staggered legislative changes that introduce such empowerment for proposals regarding majority voting in director…
Lars Norden, Chao Yin, and Lei Zhao ♦ We find firm cyclicality decreases by 40% after the inception of credit default swap (CDS) trading. The effect stems from CDS firms’ less aggressive asset growth in good times and is stronger…
