Jeffrey A. Busse, Jing Ding, Lei Jiang, and Yuehua Tang ♦ We document statistically significant relations between mutual fund betas and past market returns driven by fund feedback trading. Against this backdrop, evidence of “artificial” market timing emerges when standard market timing regressions are estimated…
Paul Marmora ♦ While the causal impact of limited attention to macroeconomic news is difficult to detect, this article proposes one solution: exploiting when foreign investors are “distracted” by risk factors in their home markets. I demonstrate that financial activity…
R. David McLean, Christo Pirinsky, and Mengxin Zhao ♦ Some U.S. firms have women directors and executives, while many do not. We seek to explain this heterogeneity. Using U.S. Census data from 1900, we find that U.S. counties with populations originating from…
Don H. Kim and Marcelo Ochoa ♦ This article investigates spillovers from foreign economies to the U.S. through changes in long-term Treasury yields. We document a decline in the contribution of U.S. domestic news to the variance of long-term Treasury yields…
Abhay Abhyankar, Ilias Filippou, and Pedro A. Garcia-Ares ♦ Momentum profits depend mainly on the short leg and therefore on barriers to shortsales. Our research indicates that the decline in momentum profitability in the past twodecades is driven partly by…
Toshinori Fukui, Todd Mitton, and Robert Schonlau ♦ Using a standardized methodology, we empirically evaluate 55 proposed determinants of capital structure in terms of statistical significance, economic significance, and identification. We find that robust and economically important determinants of debt ratios are…
