We study underwriting relationships in the floating rate debt market, where many issuers have a large number of offerings. We find that frequent issuers maintain close relationship with only three to five underwriters and pay significantly less underwriting fees than infrequent issuers. The...

We construct the five factors in Fama and French (FF, 2015) and the four factors in Hou, Xue, and Zhang (HXZ, 2015) for the Chinese stock market. Our objective is to identify a parsimonious factor model that builds on these factors and provides an adequate explanation for time-series and...

The answer is no. Investors hunt factor exposures and premium across the stock universe. However, the relation between factor exposures and returns is non-linear. Large-scale simulation shows that similar target factor exposures can be engineered using various portfolio construction...

This paper shows that the cross-sectional and time series momentum in currencies, which cannot be explained by carry and dollar factors, summarize the autocorrelation of these factors. These momentum strategies long currency factors following positive factor returns and short them following...

This paper establishes a causal link between the dollar exchange rate and international trade flows, employing a new instrument for the U.S. dollar that is based on domestic U.S. housing activity. In line with the dominant currency paradigm (Gopinath et al. (2020)), import prices and quantities...

China is the largest emerging market and attracts a great deal of attention from investors and researchers worldwide. The Fama-French three-factor model is the outcome of decades of research on U.S. stock returns. To what extent the three factors explain the variation in Chinese stock returns is...

This document is the Online Appendix to "Quality of PIN Estimates and the PIN-Return Relationship" by Yuxing Yan and Shaojun Zhang in Journal of Banking and Finance 43 (2014), pp 137-149. It includes two tables and four figures. The first table compares the two sets of quarterly PIN estimates...

The carbon premium refers to the excess return associated with the carbon-brown firms and is the focus of several recent influential studies. After accounting for the data release lag and with value weighting, less carbon-intensive firms earn higher returns in the U.S., while there is no excess...