Senior Fellows/Fellows

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Senior Fellows/Fellows

Identifying stock connections by shared analyst coverage, we find that a connected-stock (CS) momentum factor generates a monthly alpha of 1.68% (t = 9.67). In spanning regressions, the alphas of industry, geographic, customer, customer/supplier industry, single- to multi-segment, and technology mom...
Keywords: cross-asset momentum, industry momentum, geographic momentum, customer momentum, supplier momentum, Technology momentum, complicated firms
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Webinar Series

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Capital Market Development: China and Asia

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Dec 2024

This paper connects share pledging with entrepreneurial activities in the context of China. Survey evidence shows that 33.0% of listed firms’ largest shareholders invested pledging funds in creating new firms. By linking firm registration data with pledging data, we show a positive relation betwee...
Keywords: Share pledging, Loans, Entrepreneurship, Listed firms, Economic growth
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Specialty Conference

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Specialty Conference

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Jan 2017

Keywords: Stijn Claessens (Federal Reserve System)
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Members' Digest

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2018

Predicted stock issuers (PSIs) are firms with expected “high-investment and low-profit” (HILP) profiles that earn unusually low returns. We carefully document important features of PSI firms to provide new insights on the economic mechanism behind the HILP phenomenon. Our results show top-PSI fi...
Keywords: Charles M.C. LEE, Ken LI
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Annual Conference

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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2016

We investigate the role of intermediary ownership form in providing reliable financial services to consumers. Exploiting a novel dataset of the universe of consumer complaints to state regulators, we find significant differences between stock and mutual insurers in the number of complaints made abou...
Keywords: Intermediary Transparency, Insurance, Consumer Financial Protection
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