Senior Fellows/Fellows

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Senior Fellows/Fellows

We argue, from an extensive literature review, that in the vast majority of research settings, biases in alternative expected-return proxies (ERPs) are irrelevant. Therefore, in most settings, the choice between alternative ERPs should be based on an evaluation of their relative measurement-error va...
Keywords: Expected-Return Proxies, finance, implied cost of capital, time-series
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Annual Conference

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Accounting

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May 2018

This paper examines the role that exchange-traded funds (ETFs) play in the transfer of information across firms around earnings announcements. Our analysis focuses on the differences in information transfer between broad-based and sector ETFs. We find that firms with sector ETF ownership are associa...
Keywords: ETF, Information transfer, Post earnings announcement drift, sector ETF
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2024

Both capital controls and domestic capital market regulations impose a cost on firms. By comparing Chinese firms listed at home and abroad, that takes into account the endogenous nature of the IPO locational choices, we estimate that for those overseas listed Chinese firms, entrepreneurs' willingnes...
Keywords: Overseas IPO, capital control, self-selection
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2021

We estimate a workhorse DSGE model with an occasionally binding borrowing constraint. First, we propose a new specification of the occasionally binding constraint, where the transition between the unconstrained and constrained states is a stochastic function of the leverage level and the constraint ...
Keywords: financial crises, Business Cycles, Endogenous Regime-Switching, Bayesian Estima- tion, Occasionally Binding Constraints, Mexico.
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Annual Conference

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Sustainable and Green Finance

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May 2023

We show that U.S. firms cut imports by 11.1% and are 4.2% more likely to terminate a trade relationship when their international suppliers are hit by environmental and social (E&S) scandals. These trade cuts are larger for publicly-listed U.S. importers facing high E&S investor pressure and ...
Keywords: ESG, environmental scandals, global supply chains, regulatory outsourcing, shareholder pressure
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