Expected returns vary over time along with business cycles. Momentum payoffs are lack of rational explanation. This paper examines how the time-varying expected returns affect each individual firm differently, and hence what the cross-sectional phenomena are. The result shows that the model...

This paper investigates whether the relationship between investment banks and their affiliated funds helps the funds deliver superior performance due to the information advantage or whether it costs the funds due to the conflict of interest. Using firms with class-action lawsuits, I examine...

The behavioral finance literature attributes failed M&As to CEO overconfidence. We investigate the source of CEO overconfidence that leads to failed M&As. Among various determinants of CEO overconfidence, we propose that power-led CEO overconfidence delivers undesirable consequences in corporate...

The consumption-based models have a lack of predictive power for explaining variability of stock returns. This paper examines two well-known models, Campbell and Cochrane (1999)'s habit model and Bansal and Yaron (2004)'s long-run risks model, to see whether they produce a significant power of...

This paper investigates whether the proximity between mutual funds and their investments could explain corporate innovation. I find that mutual funds investing in local firms increase firms' R&D expenditure and productivity. More importantly, firms with greater local ownership produce more...

I investigate how a firm's underwriting relationship affects its value. Firms that rely on underwriters' reputation for equity issuance could damage themselves when the reputation is contaminated. Using firms with class action lawsuits, I demonstrate that disclosed misconduct of an underwriting...

This study investigates the impact of board diversity on disaster preparation by firms. The Covid-19 crisis showed the importance of firms’ disaster preparedness as the pandemic disrupted global economic activity. Using financial flexibility as a proxy for disaster preparation, we find that...