The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and Frey (2000) where we permit a time-varying...

How do managers comment on merger transactions? By analyzing initial public announcements of Mergers and Acquisitions (M&As) between 1995-2020 and extracting the linguistic sentiment from statements made by acquirer and target firms, we provide new evidence on the information value of M&A...

We conjecture that a firm’s organization capital (OC) has a substitution effect on its executive pay-for-performance sensitivity (PPS) and empirically document a robust and significant substitution effect of OC on executive PPS. We use state-level unemployment insurance benefits as an...