This paper investigates the impact of speculative trading on the commodity futures risk premium. We focus on speculators' spread positions, and study the asset pricing implications of spreading pressure on the cross-section of commodity futures returns. In an era of financialization of commodity...

This study investigates the relationship between corporate social performance (CSP) and investment inefficiency in the Chinese stock market. Using the unique CSP ratings scores from the Rankins CSP Ratings (RKS), we find that socially responsible firms are more efficient in their investment. We...

We obtain risk-neutral probabilities of the Brexit referendum using data from both the optionsand prediction markets. We then provide a risk-corrected measure of these probabilities usingboth non-parametric and parametric methods. While former correction marginally changes therisk-neutral...

The relationship between societal trust and stock price delay is examined across 33 countries for the period from 1985 to 2021. The results showed that societal trust positively impacts investors' perception of information credibility, resulting in a shortened stock price delay. This effect is...

This paper takes a perspective from foreign exchange (FX) to investigate the daily trading behavior and price impact of foreign investors in six Asian emerging equity markets over the past two decades. It exploits the unsolved interrelationship between capital flows and equity returns, and it...

We empirically gauge the relative importance of global and domestic determinants of foreign flows to 51 Emerging Markets across quantiles. We propose a quantile regression dynamic panel model with fixed effects, to reconcile mixed results in the literature. We find that push factors are...

We examine the implications of CEO gender for corporate debt structure. After controlling for endogeneity, firms with female CEOs issue less debt than firms with male CEOs. Although both risk aversion and overconfidence may serve as the channel of our main finding, we show that female CEOs being...