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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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2015

Disguised corruption: Evidence from consumer credit in China

Jian ZHANG, Sumit AGARWAL, Wenlan QIAN, Amit SERU
Using a comprehensive sample of credit card data from a leading Chinese bank, we show that government bureaucrats receive 16% higher credit lines than non-bureaucrats with similar income and demographics, but their accounts experience a significantly higher likelihood of delinquency and debt forgive...
Keywords: Corruption, Credit Cards, Credit, Debt, Household Finance, Government, Bureaucrats, banking, Political Connections, China
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Annual Conference

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Accounting

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May 2015

Information Dissemination through Embedded Financial Analysts: Evidence from China

T.J. WONG, Zengquan LI, Gwen YU
When emerging market firms disclose relationship-based transactions, they face a tradeoff in which greater transparency may help lower their cost of capital at the cost of revealing proprietary information. We find that firms overcome this challenge by relying on analysts within their private networ...
Keywords: Financial analysts, Information spillover, social networks, Information advantage
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Annual Conference

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Corporate Finance

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May 2015

Do Corporate Taxes Hinder Innovation?

Abhiroop MUKHERJEE, Alminas ZALDOKAS, Manpreet SINGH
We exploit staggered changes in state-level corporate tax rates to show that an increase in taxes reduces future innovation. A variety of tests, including those based on policy discontinuity at contiguous counties straddling borders of politically similar states, show that local economic conditions ...
Keywords: innovation, patents, research and development, New Products, Corporate Taxes
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Annual Conference

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Corporate Finance

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May 2015

Does It Pay for Entertaining Your Stakeholders?

Haibing SHU, Ou-Yang HUI, Sonia WONG
Using a unique dataset on business entertainment expenditure (BEE) spent by Chinese public firms from 2004 to 2012, this paper performs the first systematic study on the effects of BEE on firm performance. We find that BEE can improve future firm performance and firm valuation, while it has not been...
Keywords: Business Entertainment Expenditure, Transaction costs, Favor-seeking, firm performance, Stakeholders
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