We investigate the effects of short sale constraints on asset mispricing in the corporate bond market. Consistent with Miller (1977)'s theory that short sale constraints can lead to asset overpricing, we document a significant positive relation between changes in ownership breadth (a proxy for...

There is no consensus on whether macroeconomic fundamentals have any predictive power for bond risk premia, either unconditionally or conditionally over bond yields. Using Adaptive Group LASSO, a machine learning algorithm, we are able to construct a new, parsimonious macro variable that is...

We document a strong low-price effect for Chinese initial public offerings (IPOs). Namely, IPOs with low offer prices have higher initial returns, followed by even stronger after-market performance. This low-price effect cannot be fully explained by risks and IPO undervaluation. A long-only...

This paper investigates the impact of debt covenant protection on the cross section of equity returns with a firm-level covenant index and four sub-indices. We find that firms with weaker covenant protection (lower covenant index levels) earn significantly higher risk-adjusted equity returns...

Hedge funds often hold illiquid assets whose true value is slowly reflected in reported returns. As a result, reported returns of a hedge fund can become a smoothed version of its true realized returns and, thus, can bias the evaluation of hedge fund performance. To address this problem, we...