Annual Conference

|

Investment Finance, Senior Fellows/Fellows

|

May 2022

The Performance of Characteristic-Sorted Portfolios: Evaluating the Past and Predicting the Future

Sheridan TITMAN, Aydogan ALTI, Travis L. JOHNSON
The expected returns of most portfolios are likely to fluctuate over time. We present a statistical model that allows for such fluctuations and apply the model to analyze the returns of characteristic-sorted portfolios, such as value minus growth. We find that accounting for plausible magnitudes of ...
Keywords: Portfolio returns, time-variation, autocorrelation, standard errors, return predictability, Bayesian
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

International Macroeconomics, Money & Banking

|

May 2021

The Original Sin Redux: A Model Based Evaluation

Nikhil PATEL, Boris HOFMANN, Steve Pak Yeung WU
This paper studies the "Original sin redux" hypothesis in a two-country New Keynesian-DSGE framework. Emerging economies have been able to overcome the "original sin" and issue debt in local currency in recent years. We show that while this helps mitigate the vulnerability to external shocks, it doe...
Keywords: Foreign exchange, Currency mismatch, Emerging Economies
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

International Macroeconomics, Money & Banking

|

May 2014

The Offshore Renminbi Exchange Rate: Microstructure and Links to the Onshore Market

Yin-Wong CHEUNG, Dagfinn RIME
The offshore renminbi (CNH) exchange rate is the exchange rate of the Chinese currency transacted outside China. We study the CNH exchange rate dynamics and its links with onshore exchange rates. Using a specialized microstructure dataset, we find that CNH is significantly affected by its order flow...
Keywords: foreign exchange market microstructure, order flow, limit-order imbalance, CNH, CNY, central parity rate
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

Accounting, Senior Fellows/Fellows

|

May 2019

The Myth about Public versus Private Enforcement of Securities Laws - Evidence from Chinese Comment Letters

Kai LI, Ray ZHANG, Rafael ROGO, Tinghua DUAN
China presents a unique opportunity to study public enforcement of mandatory disclosure when private enforcement is largely absent. Using a hand-collected sample of comment letters (CLs) on annual reports issued by the Shanghai Stock Exchange, we first show that the price reaction to CL announcement...
Keywords: public enforcement, private enforcement, institutional environment, comment letters, disclosure, ear
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

Real Estate and Urban Economics

|

May 2021

The Missing Home Buyers: Regional Heterogeneity and Credit Contractions

Pierre MABILLE
This paper demonstrates that the protracted decrease in young homeownership since the Great Recession was driven by high-house price regions, despite credit standards changing mostly nationally. Using a panel of U.S. metro areas, I calibrate an equilibrium spatial macro-finance model with overlappin...
Keywords: Domestic violence, Intimate partner violence, Cannabis, Recreational marijuana legalization, Alcohol co-use
  • View
  • Download
  • Bookmark
  •    |