While industry investors commonly view gold as a hedging asset, academic studies often find the opposite. We show that gold is a prominent hedging asset via three different approaches: a state-space model, predictive regressions, and principal component analyses. We find that, ceteris paribus, gold prices increase with expected stock market return μₜ and expected dividend growth rate gₜ. In bad times, μₜ rises while gₜ declines. It thus may seem that gold prices fall in bad times and that gold prices insignificantly or even negatively predict stock returns. However, after addressing the omitted-variable-bias introduced by gₜ, we find that gold prices significantly and positively predict stock returns.

We develop volatility risk premium (VRP) timing strategies that involve trading two assets: a volatility asset and

We examine the incentives motivating a mutual fund family to launch ESG funds, aiming to understand the supply-si

Durable capital is harder to finance not only due to its greater down payment, but also because of its larger

Industries with significant scale economies or learning-by-doing may come to be dominated by a single firm Econom

We study fare structure design and public transit use Leveraging a fare rise in the Beijing Subway that replaced a flat rate with one that varies by distance, time, and offers quantity discounts, we find inelastic demand, inflexible travel schedules, and

The domain of mutual fund management is characterized by an array of incentives that influence the decision-making of fund managers In this article, we provide a survey of the extensive literature on various types of incentives faced by mutual fund manag

Understanding the impacts of new technology and innovations on the banking sector is important and of growing interest However, there is limited research on the detailed channels of these impacts and, consequently, their evaluations with respect to th

Firms frequently lease capital, as indicated by the data; however, the impact of leasing on aggregate efficiency has seldom been studied In this paper, we demonstrate that leasing can mitigate the inefficiencies caused by pecuniary externalities in ec

We examine the price discovery process in the Chinese equity market Leveraging a unique feature of China’s market - the release of macroeconomic announcements that are often unscheduled, varying in time, and occur outside of regular trading hours