Huan Kuang, Bing Liang, Tianyi Qu, and Mila Getmansky Sherman ♦ Over the past decade, hedge funds have increasingly embraced green investing. We develop a novel return-based measure of fund greenness and find that greener funds earn higher average returns,…
Lifang Li ♦ I show that corporate bond momentum is profitable despite recent concerns regarding its sensitivity to data uncertainty. Trimming formation-period positive (negative) outliers systematically weakens (strengthens) momentum profitability for both investment-grade and non-investment-grade bonds. This asymmetry reveals stronger…
Tiago Loncan and Philip Valta ♦ We examine how domestic product market competition shapes firms’ foreign market expansion. Using a panel of U.S. public firms from 1997–2017 and text-based measures of output offshoring, we show that stronger domestic competition increases…
Jens Heckmann, Heiko Jacobs, and Patrick Schwarz ♦ We propose a novel approach to synthesize presumably information-driven insider trading signals for the cross-section of stocks. We find that the resulting straightforward composite strategy can often forecast returns in a global…
Kosha Modi, Nicola Pierri, Yannick Timmer, and Maria Soledad Martinez Peria ♦ Using a newly compiled measure, this paper studies the determinants and implications of US banks’ information technology (IT) investments. Exposure to fintech competition and novel economies of scale…
Qi Xu, Roman Kozhan, and Mark P. Taylor ♦ We empirically investigate the role of prospect theory in the foreign exchange market. A currency-level measure of prospect-theory value, constructed from the historical distribution of exchange rate returns, negatively forecasts future…
