Hui Guo, Qian Lin, and Yu-Jou Pai ♦ We propose a consumption-based model to explain the unstable (sometimes positive and sometimes negative) relations between stock market variance with stock market risk premia and prices. In the model, market risk premia…
Yizhe Deng, Yunqi Wang, and Ti Zhou ♦ Using the macroeconomic forecasts of professional economists, we construct a comprehensive macro condition index that summarizes subjective expectations of output, inflation, and labor and housing market conditions. The index predicts stock returns…
Suzanne S Lee and Minho Wang ♦ This paper examines how realized variances predict cryptocurrency returns in the cross-section using intraday data. We find that cryptocurrencies with higher variances exhibit lower returns in subsequent weeks. Decomposing total variances into signed…
Bei Chen, Quan Gan, and Aurelio Vasquez ♦ We show that firms’ left-tail risk positively predicts future returns of crash insurance. We proxy crash insurance with bear spreads, an option trading strategy that profits when extreme negative returns occur. Crash…
Kai Li, Qiyuan Peng, Rui Shen, and Gabriel Wong ♦ Using a hand-collected sample of 18,269 equity analysts from 42 countries over the period 2004-2019, we establish an intriguing negative association between a country’s institutional/economic development and its female share…
Inkee Jang and Kee-Youn Kang ♦ We develop a dynamic model of debt contracts with adverse selection. Entrepreneurs borrow investment goods from lenders to run businesses whose returns depend on entrepreneurial productivity and common productivity. Entrepreneurial productivity is the entrepreneur’s…
