In this paper, we examine the use of book-to-market equity (BE/ME) as a determinant of asset correlations in the Basel Accord on regulatory capital requirements. Utilizing an international sample from 38 countries during 1989–2017, we discover that asset correlations, controlling for firm size...

Corporate managers tend to preserve cash with an expectation of a worse economy while spend cash to exercise growth opportunities with a favorable economic condition. We hypothesize that there exists a real option component of aggregate corporate cash holdings, serving both functions of...

Among the 41 items from five corporate social responsibility dimensions: community, diversity, employee relations, environment, and human rights, we examine which corporate social deeds influence institutional investors' motivated equity ownership most in the U.S. We find that enforcing...

This paper investigates the market microstructure effects on client firms of equity holdings by relationship banks, i.e., lenders and/or underwriters, prior to the 2008 financial crisis. It intends to shed light on the need for “the Volcker Rule.” We find that banks' equity holdings of...

The consumption-based models have a lack of predictive power for explaining variability of stock returns. This paper examines two well-known models, Campbell and Cochrane (1999)'s habit model and Bansal and Yaron (2004)'s long-run risks model, to see whether they produce a significant power of...

This study examines how heterogeneous institutional ownership affects stock price delay. Our result shows higher total institutional ownership and the number of institutions reduce price delay. We further classify institution types from stock's perspective (top 5 and year-long) and institution's...

We examine the relationship between portfolio risk and equity returns over different investment horizons of institutional investors. Compared to long-term institutions, portfolios held by short-term institutions exhibit higher factor loadings in market, size, and momentum. In particular, they...