Expected idiosyncratic volatility and its positive relation to expected returns of Fu (2009) can be closely replicated, but only when we include information up to time t to estimate the idiosyncratic volatility at time t. Since this involves look-ahead bias, we re-estimate expected idiosyncratic...

This paper studies how people in certain country view their status relate to corporate investment decisions. Utilizing the data from the World Happiness Report published by the United Nations Sustainable Development Solutions Network, we find that country's overall happiness is positively...

We assess different effects of corruption on corporate activities depending on whether a firm operates in an advanced or emerging economy. In emerging economies, greater corruption is related to greater capital expenditures. In advanced economies, greater corruption is positively related to...

Should regulators require firms to confirm or deny rumours publicly? In a sequential trading model, such a regulation might enhance pricing efficiency through two mechanisms: (i) an increase to the number of informed traders brought about by the public inquiry, and (ii) a shortened information...

We study options market participants’ trading behavior before and after the options multiplier increases. After the options multiplier increases, the options market becomes more efficient. By analyzing the high-frequency microstructure dataset, we show that local retail and local institutional...