Guanglian Hu and Kris Jacobs ♦ Expected returns on market volatility, which can be obtained from VIX futures prices in closed form using standard models, positively predict subsequent realized volatility returns. Volatility returns are negative on average. Following increases in…
Kevin Aretz, Shuwen Yang, and Yafei Zhang ♦ We argue that firms’ ability to disinvest real assets helps rationalize the negative distress premiums in stocks, bonds, and, as we show, loans and firm assets. Using a real-options model in which…
Jaewoo Kim, Seyoung Park, and Ryan Wilson ♦ Using the Credit Rating Agency Reform Act of 2006, we examine the effect of the credibility of mandatory disclosure by credit rating agencies (CRAs) on market feedback. We find an increase in…
Jacques Olivier ♦ I ask whether hedgers who speculate should be regulated differently from other speculators in a model where information acquisition is endogenous and information has real effects. Hedging benefits and feedback effect generate strategic complementarities between market-maker, firm…
Xikai Chen, Jinjun (Ricky) Ke, and Yu Flora Kuang ♦ We examine whether free-speech protections influence corporate environmental performance. Using the staggered enactment of U.S. anti-SLAPP statutes in a stacked difference-in-differences design from 1990 to 2019, we find that these…
Mehmet Ihsan Canayaz ♦ China’s Belt and Road Initiative (BRI) aims to create economic corridors encompassing two-thirds of the world’s population and 40% of global GDP. Using the inauguration of a railway tunnel between Europe and Asia as a quasi-natural…
