During the COVID-19 market crash, U.S. stocks with higher institutional ownership -- in particular, those held more by active, short-term, and more exposed institutions -- performed worse. Portfolio changes through the first quarter of 2020 reveal that institutional investors prioritized...

This presentation is about poverty and redistribution in emerging economics. It was prepared for the Asian Development Bank’s Distinguished Speakers Program held on 25 October 2011 at the ADB Headquarters. Various types of poverty alleviation programs are discussed, and the central role of...

Using trade-level data from the Taiwan Stock Exchange, we document an asymmetric pattern of liquidity provision by individual investors who serve as de facto market makers. Specifically, individual investors, on average, provide more liquidity during market downturns. We further investigate the...

Export risk occurs when trade shocks affect expected foreign currency earnings. Economies with low-quality exports, and exports concentrated in fewer categories, are riskier than other economies. These economies also exhibit higher interest rates. A hedge portfolio capturing this export risk...

This working paper is written by Pasquale Della Corte (Imperial College London) and Aleksejs Krecetovs (Imperial College London).We empirically study the relationship between currency excess returns and current account uncertainty, measured as forecast dispersion. We find that investment...

Does predatory pricing in an industry affect firm values? In this paper, we show that firms filing for antidumping benefit from this decision after controlling for endogeneity of filing decision. Firms with shrinking assets in the past are more likely to file an antidumping petition and market...

We investigate theoretically and empirically the relationship between the geographic structure of a multinational corporation and its risk premium. Our structural model suggests two channels. On the one hand, multinational activity offers diversification benefits: risk premia should be higher...

In a framework of a two-country monetary asset-pricing model with production the effects of stochastic and structural fiscal and monetary policy shocks are investigated. The model is kept simple enough to allow the derivation of closed form solutions of the functional equation system for the...

Credit spreads are large, volatile and countercyclical, and recent empirical work suggests that risk premia, not expected credit losses, are responsible for these features. Building on the idea that corporate debt, while safe in ordinary recessions, is exposed to economic depressions, this paper...

Which pricing kernel restrictions are needed to make low dimensional Markov models consistent with given sets of predictions on aggregate stock-market fluctuations? This paper develops theoretical test conditions addressing this and related reverse engineering issues arising within a fairly...