Kris Jacobs, Sai Ke, and Xuhui (Nick) Pan ♦ Predictive regressions of market returns on option-implied moments measured before pre-scheduled FOMC meetings show that tail risks play an important role in understanding the market risk premium around FOMC announcement days. Skewness and…
Hearty congratulations to Ming Yuan and Guofu ZhouWinners of the 2024 William F. Sharpe Award for Scholarship in Financial Research for Why Naive 1/N Diversification Is Not So Naive, and How to Beat It?Vol. 59, No. 8, pp. 3601–3632 a…
Ying Mao, Zheng Wang, and Hong Zou ♦ We document that firms prefer counties with higher ethnic diversity in locating their interstate investments, especially for those pursuing innovation, seeking to establish service centers, or capable of managing a diverse workforce.…
Jonathan Brogaard, Davidson Heath, and Da Huang ♦ This paper shows that exchange-traded funds (ETFs) “sample” their indexes, systematically underweighting or omitting illiquid index stocks. As a result, arbitrage activity between the ETF and its index has heterogeneous effects on underlying…
John (Jianqiu) Bai, Massimo Massa, Chi Wan, and Yan Wang ♦ Using online job postings from 2007 to 2021, we create a firm-level metric of local labor market concentration. Firms in more concentrated labor markets tend to have higher financial…
Young Jun Cho, Holly Yang, and Yue Zhao ♦ We argue that cross-ownership increases the private information embedded in stock prices, improving their feedback to managers. Consistent with this, we find that greater cross-ownership heightens a firm’s investment-q sensitivity, especially…
