Mahendrarajah Nimalendran, Praveen Pathak, Mariia Petryk, and Liangfei Qiu ♦ This study employs variance ratios (VRs) to assess the roles of regulation and liquidity on cryptocurrency market efficiency, focusing on crypto assets subject to varying degrees of regulation. Our findings reveal…
Po-Hsuan Hsu, Ioannis Kyriakou, Tren Ma, and Georgios Sermpinis ♦ We introduce a test to assess mutual funds’ “conditional” performance that is based on updated information and corrects data snooping bias. Our method, named the functional False Discovery Rate “plus”…
Ali Sanati ♦ I develop a dynamic model to investigate how labor mobility impacts firms’ decisions. In the model, firms make investment and financing decisions, hire labor with different skill and mobility levels, and set wages through bargaining. The model…
Abhishek Bhardwaj and Saptarshi Mukherjee ♦ We document spillover effects of government policies promoting capital investment on household financial choices and wealth accumulation. Using individual-level data on employment outcomes and household balance sheets, we find that increase in accelerated depreciation…
Sohnke M. Bartram, Mark Grinblatt, and Yoshio Nozawa ♦ Corporate bonds’ book-to-market ratios predict returns computed from transaction prices. Senior bonds (even investment-grade) with the 20% highest ratios outperform the 20% lowest by 3%–4% annually after non-parametrically controlling for numerous…
Wolfgang Drobetz, Fabian Holstein, Tizian Otto, and Marcel Prokopczuk ♦ Machine learning-based market beta estimators outperform established benchmark models both statistically and economically. Analyzing the predictability of time-varying market betas of U.S. stocks, we document that machine learning-based estimators produce…
