traders face this sort of joint inference problem, the risk of selecting the wrong features can spill over and distort how … even if traders themselves are fully rational. Moreover, I show how modeling feature-selection risk leads to additional … predictions that are outside the scope of noise-trader risk. For instance, to discover pricing errors as quickly as possible, a …

re-default risk. We use loan-level data to trace the performance of loans with heavy modifications. We have three major … empirical findings. First, the empirical model shows that modified loans tend to have much higher re-default risk than otherwise … identical never-defaulted loans. Second, the re-default model shows that re-default hazard is less sensitive to traditional risk …

corporate bond risk assessment and pricing. We test this hypothesis and find that firms with poor environmental profiles or high … in states with stricter regulatory enforcement. Using the Paris Agreement as a shock to expected climate risk regulations …