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 (Ma and Zhang (2019)). In line with the dominant currency paradigm (Gopinath et al. (2020)), import...

This paper documents that the housing cycle, measured by the residential investment share, is a strong in-sample and out-of-sample predictor for the dollar up to twelve quarters. Housing construction is negatively associated with risk premia in equity and bonds, but positively with foreign...

The Split Share Structure Reform in China offers a unique opportunity to test whether the supply of tradable shares (i.e. float) has a significant impact on the degree of speculation. After firms completed the reform, their float increased by 31% on average, while turnover and trading volume...

This paper examines whether customer base composition in the U.S., i.e., whether a firm's major customers comprise of government entities or publicly traded companies, affects the properties of supplier's management earnings forecasts. Using a sample of 1,168 management earnings forecasts from...

Intangible capital has become an increasingly important factor for production in the knowledge economy. We use a large sample of U.S. firms and their major customers to test whether the presence of socially responsible customers can have an influence on suppliers' intangible capital investment...

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...

This study employs a non-parametric approach to investigate the volatility risk premium in the over-the-counter currency option market. Using a large database of daily delta-neutral straddle quotes in four major currencies—the British pound, the euro, the Japanese yen, and the Swiss franc—we...

We report evidence that boundary solutions can cause a bias in the estimate of the probability of informed trading (PIN). We develop an algorithm to overcome this bias and use it to estimate PIN for nearly 80,000 stock-quarters between 1993 and 2004. We obtain two sets of PIN estimates by using...

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...