Huseyin Gulen and Michael Woeppel ♦ We document a strong negative relation between the curvature of stock price paths (i.e., price-path convexity) and future short-horizon returns at both the aggregate and firm levels. This relation obtains regardless of the cumulative return during…
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…
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…
