Ming Yuan and Guofu Zhou ♦ We show theoretically that the usual estimated investment strategies will not achieve the optimal Sharpe ratio when the dimensionality is high relative to sample size, and the 1/N rule is optimal in a one-factor…
Maik Schmeling and Christian Wagner ♦ This paper shows that changes in the tone of central bank communication havea significant effect on asset prices. Tone captures how the central bank frames economic fundamentals and its monetary policy. A positive tone…
Francesca Zucchi ♦ I develop a model revealing the interplay between a stock’s liquidity and the policies and value of the issuing firm. The model shows that bid-ask spreads increase not only the firm’s cost of capital but also the…
Yifei Zhang ♦ This study examines whether and how corporate venture capital (CVC) spurs changes in firm scope. Using two sets of text-based metrics about firm scope, I document that CVC investments are strongly associated with subsequent firm scope changes…
Karolis Liaudinskas ♦ This paper proposes a novel way to estimate consumer switching costs and uses Lithuanian credit register data and two bank closures to provide this estimate for the loan market. I show that when a distressed bank’s closure…
Harry Mamaysky ♦ The onset COVID-19 was characterized by voluminous, negative news. Higher narrativity news topics—measured by textual proximity to articles describing the 1987 stock market crash and textual distance from Federal Reserve communications—were systematically associated with contemporaneous market responses,…
