Wen Chen, Bo Hu, and Yajun Wang ♦ We study how asset managers’ benchmarking affects market efficiency under two learning technologies: separative and integrative. With integrative learning, investors process portfolio-wide signals, optimizing information allocation across assets instead of focusing on individual…
Allen N. Berger, Narjess Boubakri, Ruiyuan Chen, Omrane Guedhami, and Xinming Li ♦ Building on existing views of state ownership, we examine the impact of banks’ privatization on their liquidity creation, a comprehensive measure of net bank output from all…
Meng Gao ♦ This paper uses a regression discontinuity design to identify the effect of compensation shocks on insider trading. I find that CEOs who narrowly miss relative performance goals and hence suffer a loss in compensation subsequently earn higher…
Alexander David and Amel Farhat ♦ We provide robust evidence that the price of analysts’ disagreement risk in the cross-section of stock returns changes sign; it’s positive (negative) in periods of high (low) disagreement. We construct a general equilibrium model in…
Qianqian Huang, Feng Jiang, Yuhai Xuan, and Tao Yuan ♦ We examine how banks respond to natural disasters when borrowers are in proximity to affected areas. We find robust evidence that banks impose significantly higher loan spreads on firms in…
John Chalmers and Arash Dayani ♦ We document two mutual fund strategies: “Swinging for the Fences” (SF), where managers hold stocks with extreme style-adjusted returns on either tail of the return distribution, and “Batting for Average” (BA), where managers seek stocks…
