Annual Conference

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Investment Finance

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May 2025

Daily Momentum and New Investors in Emerging Stock Markets

Zhenyu GAO, Wenxi JIANG, Wei A. XIONG, Wei XIONG
Despite the dominance of retail investors, the Chinese stock market lacks price momentum in weekly and monthly returns. However, this study uncovers significant daily price momentum, driven by the attention and trading behaviors of new investors. This phenomenon, rooted in emerging markets’ unique...
Keywords: Momentum effect, retail investor, new investor, emerging markets
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2022

Currency Management by International Fixed Income Mutual Funds

Clemens SIALM, Qifei ZHU
Investments in international fixed income securities are exposed to significant currency risks. We collect novel data on mutual fund currency derivatives and document that around 90% of U.S. international fixed income funds use currency forwards to manage their foreign exchange exposure. Funds’ cu...
Keywords: currency risk, forward contracts, mutual funds, fixed-income securities, performance
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Annual Conference

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Investment Finance

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May 2019

Cryptocurrency Pump-and-Dump Schemes

Baolian WANG, Donghwa SHIN, Tao LI
Pump-and-dump schemes (P&Ds) are pervasive in the cryptocurrency market. We study these events using trade-by-trade data and a sample of P&Ds with precisely identified starting times. We find that P&Ds lead to short-term cryptocurrency bubbles featuring dramatic increases in prices, volu...
Keywords: Pump-and-dump scheme, Manipulation, cryptocurrency, overconfidence, gambling
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2015

Cross-Sectional Asset Pricing with Individual Stocks: Betas versus Characteristics

Tarun CHORDIA, Amit GOYAL, Jay SHANKEN
We develop a methodology for bias-corrected return-premium estimation from cross-sectional regressions of individual stock returns on betas and characteristics. Over the period from July 1963 to December 2013, there is some evidence of positive beta premiums on the profitability and investment facto...
Keywords: Asset Pricing, Individual Stocks, Factor Loadings, Characteristics, Errors-in-Variables
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Annual Conference

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Investment Finance

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May 2019

Credit Default Swaps Around the World

Jennifer CONRAD, Sohnke M. BARTRAM, Jongsub LEE, Marti G. SUBRAHMANYAM
We analyze the impact of the introduction of credit default swaps (CDS) on real decision making within the firm, taking into consideration differences in firms’ local economic and legal environments. We extend the model of Bolton and Oehmke (2011) to take into account uncertainty whether the actio...
Keywords: Credit default swaps, CDS, investment policy, financing policy, creditor rights, property rights, private credit, ownership concentration
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