Harry Mamaysky ♦ The onset COVID-19 was characterized by voluminous, negative news. Higher narrativity news topics—measured by textual proximity to articles describing the 1987 stock market crash and textual distance from Federal Reserve communications—were systematically associated with contemporaneous market responses,…
Marco Elia ♦ I show that hedge funds react to unrealized losses on their passive positions by engaging with the management. The hedge fund managers’ psychological response is consistent with cognitive dissonance: they blame the firms’ management and switch to…
Ahmed Elnahas, Lei Gao, Md Noman Hossain, and Jeong-Bon Kim ♦ This study investigates whether the management earnings forecasts of Republican and Democratic CEOs differ due to systematic differences in their information disclosure preferences. We find that Republican CEOs prefer…
Caio Almeida, Kym Ardison, Gustavo Freire, René Garcia, and Piotr Orlowski ♦ We propose a novel measure of the market return tail risk premium based on minimum-distance state price densities recovered from high-frequency data. The tail risk premium extracted from…
Yinglu Deng, Fangzhou Lu, Jiaheng Yu, and Hao Zheng ♦ Using data on nearly 20,000 restaurants in China during the COVID-19 outbreak, we find evidence that the government-sponsored rent reduction program reduced debt overhang problems. Rent reductions, which averaged 36,000…
Bjorn Eraker ♦ Dynamic equilibrium models based on present value computation imply that returns are predictable but also generate particular short-term patterns of predictability in asset returns. I take advantage of this to construct a set of tests of Equilibrium…
