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Partisan Depositor Responses to a Currency Shock
Depositor responses to a large currency shock vary depending on political views Triggered by a combination of ec

Xiaoyang Gao, Chen Lin, Vesa Pursiainen, Yuchen Xu

Working Paper | No. 20210701 |

Keywords: Currency shock, household behavior, bank deposits, exchange rate risk

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Estimation of a Structural Break Point In Linear Regression Models
This study proposes a point estimator of the break location for a one-time structural break in linearregression m

Yaein Baek*

Working Paper | No. 20210510 |

Keywords: Change point, parameter instability, structural change

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Q-Theory of Investment Revisited: Merton's q
An option pricing framework is utilized to estimate firms’ market value of assets, which are thenused to co

Hursit Selcuk Celil*, Mengyang Chi

Working Paper | No. 20210509 |

Keywords: Investment, Tobin’s

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Leave-One-Out Least Square Monte Carlo Algorithm for Pricing American Options
The least square Monte Carlo (LSM) algorithm proposed by Longstaff and Schwartz (2001) iswidely used for pricing

Jeechul Woo, Chenru Liu, Jaehyuk Choi*

Working Paper | No. 20210508 |

Keywords: American option, Least square Monte Carlo, Look-ahead bias, Leave-one-out-crossvalidation

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The Financial Value of the Within-government Political Network: Evidence from Chinese Municipal Corporate Bonds
This paper examines the effect of the political network of Chinese municipal leaders on the pricingof municipal c

Jaehyuk Choi, Lei Lu, Heungju Park, Sungbin Sohn*

Working Paper | No. 20210507 |

Keywords: Political network, guanxi, local government financing vehicles, municipal corporate bonds, credit risk

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The Effect of Institutional Investor Portfolio Diversification on Corporate Diversification
Do institutional investors’ portfolio diversification strategies reveal their preferences for aconstituent’s

Audra L. Boone, Hursit S. Celil, Seungjoon Oh, Srinivasan Selvam

Working Paper | No. 20210506 |

Keywords: Institutional ownership, indexing, portfolio diversification, corporate diversification, product similarity

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Investment Sensitivity to Lender Default Shocks
We investigate how idiosyncratic lender shocks impact corporate investment Lenders with recentdefault experience wri

Hursit S. Celil, Brandon Julio*, Srinivasan Selvam

Working Paper | No. 20210505 |
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Asset Pricing with Misallocation
Misallocation reduces total factor productivity and economic growth, implying substantial adversewelfare effects Misa

Winston Wei Dou, Yan Ji, Di Tian, Pengfei Wang*

Working Paper | No. 20210504 |

Keywords: Agency conflicts, distribution of firms, financial frictions, misallocation, endogenous growth, asset pricing

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Firms’ Capital Structure Choices and Endogenous Dividend Policies
We analyze capital structure dynamics of publicly held firms within the context of endogenouslydetermined payout po

Hursit Selcuk Celil*, Mengyang Chi

Working Paper | No. 20210503 |

Keywords: Cash flow identity, capital structure, dividend policy

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The Role of Information in the Rosen-Roback Framework
In this paper, we relax the underlying assumption of complete information in Rosen-Robacktheory and study the role

Xuwen Gao*, Ran Song, Christopher Timmins

Working Paper | No. 20210502 |

Keywords: Information, Rosen Roback Theory, wage-hedonic model, compensating differential

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