Annual Conference

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Investment Finance

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May 2023

The Cryptocurrency Participation Puzzle

Ran DUCHIN, David H. SOLOMON, Jun TU, Xi WANG
We show that ongoing zero portfolio weights in cryptocurrency are surprisingly difficult to generate in a standard Bayesian portfolio theory framework. With ten years of prior data, equity market investors would need very pessimistic priors on mean returns to justify never having bought cryptocurren...
Keywords: Cryptocurrency, Bitcoin, Bayesian Portfolio Theory, Investments, Market Participation
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2017

The Collateralizability Premium

Kai LI, Jun LI, Hengjie AI, Christian SCHLAG
This paper studies the implications of credit market frictions for the cross-section of expected stock returns. A common prediction of macroeconomic theories of credit market frictions is that the tightness of financial constraints is countercyclical. As a result, capital that can be used as collate...
Keywords: Cross-Section of Returns, Financial Frictions, Collateral Constraint
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2021

The China-U.S. Equity Valuation Gap

Xiaoyan ZHANG, Shuojia KE, Geert BEKAERT
Before 2009, the market average price earnings ratio of Chinese firms is significantly higher than that of the U.S. firms, while after 2009, the valuation gap reverses. Using data from 1995 to 2018, we examine the dynamics and sources of valuation differentials between comparable Chinese and U.S. fi...
Keywords: Chinese stock prices, market integration, financial development, stock valuation, earnings yields, price earnings ratios, speculative trading.
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2022

Tax Evasion and Information Production: Evidence from the FATCA and Offshore Asset Management

Hong ZHANG, Massimo MASSA, Si CHENG
We examine how tax evasion affects offshore asset managers’ incentives for information production. Using the Foreign Account Tax Compliance Act (FATCA) as an exogenous shock, we document that affected funds significantly enhance their performance as a response. This improvement comes from better i...
Keywords: Tax evasion, FATCA, Mutual Funds, managerial incentives, market efficiency
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2015

Tax Efficient Asset Management: Evidence from Equity Mutual Funds

Clemens SIALM, Hanjiang ZHANG
We investigate the relation between tax burdens and mutual fund performance from both a theoretical and an empirical perspective. The theoretical model introduces heterogeneous tax clienteles in an environment with decreasing returns to scale and shows that the equilibrium performance of mutual fund...
Keywords: Dividend and Capital Gains Taxes, Mutual Fund Performance
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