Joost Driessen, Joren Koeter, and Ole Wilms ♦ We show that investors price short-term stock market outcomes very different from outcomes that occur further into the future. To this end, we introduce the expected forward pricing kernel, and decompose long-term…
Jana Boeckx, Kristof Struyfs, and Wouter Torsin ♦ In 2017, the European Union Emissions Trading System underwent a policy intervention which resulted in a surge in carbon prices. Using this setting as a quasi-natural experiment, we focus on employment, productivity,…
Yong Chen, Sophia Zhengzi Li, Yushan Tang, and Guofu Zhou ♦ We identify a parsimonious set of factors from a large set of candidates for explaining hedge fund returns, ranging from equity market, anomaly and trend-following factors to macroeconomic factors.…
Tarun Chordia, Tse-Chun Lin, and Vincent Xiang ♦ This paper provides the first comprehensive evidence that the return extrapolation behavior of investors leads to biases in the expectations of volatility. Lower past returns are associated with higher expectations of volatility…
Wei Jiao, G. Andrew Karolyi, and David Ng ♦ International equity funds attain superior subsequent performance by actively changing their country asset allocations, which we capture through a new measure of active country rotation intensity. Across funds, those that rotate…
Leonce Bargeron, Christopher P. Clifford, and Tian Qiu ♦ Filing agents, intermediaries used by 80% of U.S. firms, are associated with leakage of information that affects stock prices. Prior to the public release of a securities filing, most firms outsource…
