Recent winners have temporarily higher loadings than recent losers on the growth rate of industrial production. The loading spread derives mostly from the positive loadings of winners. The growth rate of industrial production is a priced risk factor in standard asset pricing tests. In many...

Several recent empirical studies in the capital structure literature challenge the traditional trade-off theory. Specifically, these studies document that historical market-to-book and past returns can explain cross-sectional leverage. These findings seem to be inconsistent with the existence of...

An initial public offering (IPO) is one time when a company can legally lsquo;bribe' institutional investors to pay attention to it ndash; investors that regularly attend road shows and give reliable feedback can expect allocations of underpriced shares in hot offerings. Our model generates a...

Lacking the authority to raise debt on their own, Chinese local governments set up financing vehicles for urban construction and investment to issue the so-called chengtou bonds. While these bonds are commonly understood to carry implicit government guarantee, the identity of the guarantor is...

Models of political risk predict that increases in political uncertainty cause stock prices to fall, especially for politically sensitive firms. We use the event of the Bo Xilai political scandal in 2012 in China as an exogenous shock to identify the impact of political uncertainty on asset...

The relation between a firm's stock return and its intangible assets is derived under the intangible-asset-augmented q-theory framework. The structural estimation of the model leads to four main results. First, the q-theory augmented with intangible investments captures the value premium and the...

The neoclassical theory of investment implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...

We investigate the impacts of real estate price changes on firms' investment and financing using detailed real estate transaction data in China. China witnessed the real estate prices rise for more than a decade and recent "housing purchase restriction" policies enforced in 46 cities generated...

Contrary to recent accounts of off-balance sheet securitization by financial firms, we show that asset securitization by nonfinancial firms provides a valuable form of financing to shareholders without harming firms' debtholders. Using data from firms' SEC filings, we find that securitization is...

Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...