Junye Li, Lucio Sarno, and Gabriele Zinna ♦ Using model-free skewness measures that exploit the asymmetry in semivariances and option data from the over-the-counter currency market, we find that buying currencies with a high skewness risk premium (SRP) and selling…
Claudia Custodio, Dragana Cvijanovic, and Moritz Wiedemann ♦ We study the impact of opioid abuse on real estate prices. We document that opioid death rates and excess prescription rates are negatively associated with house prices. Exploiting the staggered passage of…
Paula Cocoma ♦ We propose a theoretical explanation for the positive pre-announcement drift documented ahead of scheduled announcements, using the Federal Open Market Committee (FOMC) meetings as main example. The framework entails a general equilibrium model of disagreement (differences-of-opinion), where…
Matthew Baron and Isaac Green ♦ We study removals of “credit ceilings,” quantitative limits on bank credit supply imposed by many countries until the 1980s. Exploiting differences in loan types affected, we find that these removals predict increases in bank credit,…
Wei-Fong Pan ♦ This study examines the impact of recreational marijuana laws (RMLs) on firm-level employment using an imputation-based difference-in-differences approach across U.S. states. RMLs significantly reduce employment, particularly among firms with high-skilled labour, strong union presence, permissive corporate cultures,…
Andreas Ek, Gunes Gokmen, and Kaveh Majlesi ♦ This paper studies how cultural heritage influences the differences in risk taking in financial markets. We combine data on the asset allocation of second-generation immigrants in Sweden with risk taking culture in…
