Jan K. Brueckner, James N. Conklin, N. Edward Coulson, and Moussa Diop ♦ We explore an overlooked phenomenon in mortgage markets: repayment of underwater mortgages. Using a sample of mortgages terminated between 2007 and 2016, we show that such repayment indeed occurs,…
Katja Kisseleva, Aksel Mjos, and David T. Robinson ♦ This paper investigates sample selection bias in early-stage investment. We use comprehensive administrative data on the universe of new firm starts in Norway, allowing us to compare venture-backed firms with ex ante similar…
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…
