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Internal Capital Markets and the Transmission of Exchange-Rate Shocks
Liquidity-constrained large shareholders often reallocate capital within business groups to finance their own project

Kang Shi, Jin Xie, Juanyi (Jenny) Xu

Working Paper | No. 20220706 |

Keywords: Internal Capital Market, Corporate Governance, Collateral Constraint, Exchange Rates, Export Pricing

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Regime Shifts in a Long-run Risks Model of U.S. Stock and Treasury Bond Markets
We study the joint determinants of stock and bond returns in a long-run risks model framework with regime shifts

Kai Li, Chenjie Xu

Working Paper | No. 20220705 |

Keywords: Regime shift, risks model, U S stock, treasury bond market

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The Unmeasured Finance in Misallocation
This paper documents a large overestimation of measured finance misallocation (Whited and Zhao, 2021) when lease-induced debt is ignored among US manufacturing firms Appropriately accounting for leases on the liability side translates into a 5 5% real va

Weiwei Hu, Kai Li, Yiming Xu

Working Paper | No. 20220704 |

Keywords: Lease-induced debt, External finance, Misallocation of finance

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Turbulent Business Cycles
Recessions are associated with sharp increases in turbulence that reshuffle firms’ productivity rankings To s

Ding Dong, heng Liu, Pengfei Wang

Working Paper | No. 20220703 |

Keywords: Turbulence,heterogeneous firms, financial frictions, reallocation, productivity, business cycles

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Trust and Contracts: Empirical Evidence
Trust between parties should drive contract design: if parties were suspicious about each others’ reaction to

Francesco D’Acunto, Jin Xie, Jiaquan Yao

Working Paper | No.20220702 |

Keywords: Empirical Contract Theory, Incomplete Contracts, Cultural Economics, Beliefs and Choice, Personnel Economics, Organizational Economics, FinTech and Textual Analysis, Consulting, Management

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Estimation of Characteristics-based Quantile Factor Models
This paper studies the estimation of characteristic-based quantile factor models In these models, the factor loadi

Liang Chen, Juan J. Dolado, Jesús Gonzalo, Haozi Pan

Working Paper | No. 20220701 |

Keywords: Quantile factor models, nonparametric quantile regression, principal component analysis

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EPS-Sensitivity and Mergers
Announcements of mergers very often discuss the immediate impact of the deal on the acquirer’s earnings per

Sudipto Dasgupta, Jarrad Harford, Fangyuan Ma

Working Paper | No. 20220503 |

Keywords: Earning per share, sensititvity, mergers

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Information Acquisition, Uncertainty Reduction and Pre-announcement Premium in China
We examine the stock market returns in an environment in which the dates of central bank’s information supp

Rui Guo, Dun Jia*, Xi Sun

Working Paper | No. 20220502 |

Keywords: Equity premium, macro announcement, central bank, information acquisition

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Revisiting Granger Causality of CO2 on Global Warming: A Quantile Factor Approach
The relationship between global warming and CO2 is a long-standing question in the climate change literature In

Liang Chen, Juan J. Dolado, Jesús Gonzalo, Andrey Ramos

Working Paper | No. 20220501 |

Keywords: Global warming, CO2 emissions, quantile factor models, granger causality

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Short Squeezes
Building upon the premise that short squeezes are most likely to occur following a large one day price increase

Zhiqian Jiang, Baixiao Liu, Andrew Schrowang, Wei Xu

Working Paper | No. 20220304 |

Keywords: Short selling, short squeezes, short sale constraint, price reversals

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