No. Conditional autocorrelation in realized shocks due to misspecification in expected return process affects the relative performance of longer-horizon volatility predictions of models using different frequencies of data. This is because, for multi-step forecasts of volatility, small violations...

We compare publicly disclosed forecasts and internal forecasts collected by confidential government surveys using a sample of publicly-listed Japanese firms. Both forecasts are mandatory and meaningfully predict corporate policy but on average public forecasts are pessimistic relative to...

We study the impact of trade and economic policy uncertainty on supply chain networks of publicly-listed American firms. Beyond the actual trade and other economic policy, the uncertainty around these policies contributes to supply chain risk. Whether such policy uncertainty will bring...

The Dodd-Frank Act shifted regulatory jurisdiction over “mid-size” investment advisers from the SEC to state-securities regulators. Client complaints against mid-size advisers increased relative to those continuing under SEC oversight by 30%-40% of the unconditional probability. Complaints...

From January 2011 through March 2018, the Bank of Japan purchased equity index ETFs worth about 3.5% of GDP. Identification of the effect of central bank ETF purchases on stock valuations and corporate responses is via differently-weighted and changing stock indices. BOJ purchases lift...

From January 2011 through March 2018, the Bank of Japan purchased equity index ETFs worth about 3.5% of GDP. Identification of the effect of central bank ETF purchases on stock valuations and corporate responses is via differently-weighted and changing stock indices. BOJ purchases lift...

Using a dataset of public procurement auctions and registered shareholders of all bidding firms in Singapore, we study the effects of ownership networks on prices and efficiency in product markets. We document prevalent identical bidding that is positively correlated with ownership networks...

We develop a credit-risk model to study the informational role of investment in bankruptcy. Firms' investment decisions carry information about their asset quality, thereby mitigating informational frictions when firms enter bankruptcy. An increase in aggregate investment can reduce the...

We study non-performing loan (NPL) resolution using proprietary data on NPL transactions in China. We find these transactions – driven by tighter financial regulation – are consistent with banks concealing non-performing assets from regulators as (i) transaction prices do not compensate for...