Qi Xu, Roman Kozhan, and Mark P. Taylor ♦ We empirically investigate the role of prospect theory in the foreign exchange market. A currency-level measure of prospect-theory value, constructed from the historical distribution of exchange rate returns, negatively forecasts future…
Richard B. Evans, Miguel Ferreira, and Michael Young ♦ We examine global variation in the disclosure of mutual fund manager identities using a comprehensive sample. 11% of mutual funds do not disclose their management teams. Anonymously managed funds underperform those…
Fotis Grigoris ♦ This study shows that municipal bond yields are informative about the risk exposures and expected returns of local firms. An investment strategy that buys (sells) firms located in states where the municipal-Treasury spread is high (low) earns…
Zhiqian Jiang, Baixiao Liu, Yuchen Xu, and Bohui Zhang ♦ We examine whether and how firms use connected social media outlets to counteract negative coverage in traditional media. Employing a sample of Chinese listed firms with ties to social media…
Buhui Qiu, Thomas To, and Gaiyan Zhang ♦ We provide novel international evidence that inflation is positively associated with corporate credit risk on average. A one-standard-deviation increase in inflation is associated with a 21-basis-point increase in next-year CDS spreads. Importantly,…
Gang Chu, Dehua Shen, and Zhaobo Zhu ♦ This paper uses machine learning models to construct a crypto-level measure of simulated investor belief disagreement (MFD) for cryptocurrencies. Simulated investors use their individual models and common data information to form their…
