Annual Conference

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Corporate Finance, Senior Fellows/Fellows

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May 2016

Anti-Corruption Reforms and Shareholder Valuations: Event Study Evidence from China

Randall MORCK, Bernard YEUNG, Chen LIN, Xiaofeng ZHAO
Chinese share prices rose sharply on the Politburo's Dec. 4th, 2012, announcement of its Eight-point Regulation, an uncharacteristically detailed and concrete Party policy, initiating an extensive anti-corruption campaign and announced surprisingly soon after a change in leadership. The reaction is ...
Keywords: Anti-Corruption, Marketization, Bribery Intensity, Firm Value
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Another Look at Currency Risk in International Stock Returns

Andrew KAROLYI, Ying WU
This paper offers new evidence on how currency risk is priced in the cross-section of international stock returns. Our experiment examines this long-standing question for a wide variety of test asset portfolios comprised of monthly returns for over 37,000 stocks from 46 countries over a two-decade p...
Keywords: International asset pricing, currency risk, exchange rates
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Annual Conference

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Investment Finance

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May 2016

Anomalies and News

Joseph ENGELBERG, R. David MCLEAN, Jeffrey PONTIFF
Using a sample of 97 stock return anomalies, we find that anomaly returns are 50% higher on corporate news days and are 6 times higher on earnings announcement days. These results could be explained by dynamic risk, mispricing via biased expectations, and data mining. We develop and conduct unique t...
Keywords: News, anomalies, Cross-sectional return predictability, earnings announcements, market efficiency
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2018

Anomalies and False Rejections

Tarun CHORDIA, Amit GOYAL, Alessio SARETTO
We use information from over 2 million trading strategies randomly generated using real data and from strategies that survive the publication process to infer the statistical properties of the set of strategies that could have been studied by researchers. Using this set, we compute t-statistic thres...
Keywords: Hypothesis Testing, Asset Pricing, Trading volume, Bond Interest Rates
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Webinar Series

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Capital Market Development: China and Asia

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Nov 2021

Angry Borrowers: Negative Reciprocity in a Financial Market

Li LIAO, Zhengwei WANG, Jun YANG, Congyi ZHOU, Hongjun YAN
We examine the consequences of an intrusive debt-collection tactic that targets delinquent borrowers’ social circles. Our identification strategy relies on the fact that some of the delinquent loans are not worked on due to collection agents’ excessive workload. We show that this tactic backfire...
Keywords: Behavioral finance, Reciprocity, Privacy Infringement, Social Pressure
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