Soon Heng Leong ♦ This paper offers two novel backtests to evaluate the adequacy of well-known systemic risk measures such as CoVaR, MES, SES, and SRISK. Both the new backtests are robust to estimation risk, that is, their null distributions…
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Jules H. van Binsbergen, Jeong Ho (John) Kim, and Soohun Kim ♦ We exploit heterogeneity in decreasing returns to scale parameters across mutual funds to analyze the importance of scalability for investors’ capital allocation decisions. We find strong evidence that…
Huaixin Wang ♦ This paper studies the making of return predictability among economically linked firms. I characterize an asymmetric cross-firm tug-of-war: (1) high peer overnight returns are followed by elevated overnight returns for focal stocks, which fully reverse during intraday;…
Mykola Babiak and Daniele Bianchi ♦ We examine the role of systematic mispricing and risk compensation in explaining cryptocurrency returns using instrumented principal component analysis. We demonstrate that both elements make meaningful contributions to the variation in returns through distinct…
Elena Andreou, Patrick Gagliardini, Eric Ghysels, and Mirco Rubin ♦ We present a set of novel theoretical results providing a solution that address for the perils of beta dynamics misspecification in the estimation of conditional asset pricing models. We show…
