Annual Conference

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Economic Transformation of Asia

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May 2019

This paper studies how parental investment in children responds to changes in public education provision. Based on transactions of China UnionPay debit and credit cards, we identify two types of child-related expenditure: extra-curriculum training and other child support. We exploit a quasi-experime...
Keywords: parental investment, child-related expenditure, public education, district merger
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Annual Conference

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Corporate Finance

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May 2013

We study the out-of-sample and post-publication return-predictability of 97 variables that academic studies show to predict cross-sectional stock returns. Portfolio returns are 26% lower out-of-sample and 58% lower post-publication. The out-of-sample decline is an upper bound estimate of data mining...
Keywords: anomalies, arbitrage, limits of arbitrage, Short Selling, predicting stock returns
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Theories of customer supplier relationships hold that the private information of suppliers about buyers explains the use of trade credit even when there is a competitive banking sector. If suppliers possess private information about their buyers, then the buyer’s order size and ability to pay on t...
Keywords: trade credit, non-bank lending, customer-supplier relationships, Stock Returns, private information
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2017

The macroeconomic effect of term premiums is a controversial issue both theoretically and quantitatively. In this paper, we explore the possibility that term premiums affect inflation and the real economy via exchange rate dynamics. For this purpose, we construct a small open economy model with limi...
Keywords: exchange rate, Term Premium, Uncovered Interest Rate Parity
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Annual Conference

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Accounting

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May 2024

We find that after the initiation of Morningstar’s mutual fund ESG ratings, the implied returns from funds’ quarter-end holdings exhibit significantly higher ESG β than their actual returns. The increase in the ESG β gap between the two is greater for funds surrounding rating thresholds. ESG w...
Keywords: ESG Investing, Mutual Funds, Rating Agencies, Window-Dressing
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