We investigate any similarity and dependence based on the full distributions of cryptocurrency assets, stock indices and industry groups. We characterize full distributions with entropies to account for higher moments and non-Gaussianity of returns. Divergence and distance between distributions...

We study the overall effect of environmental regulations on firm valuation and policies. Using the universe of effective Environmental Protection Agency (EPA) rules and the relevance of these regulations to each industry, we construct a time-varying and industry-specific measure of EPA...

Conventional theory for private information of adverse selection predicts a positive correlation between insurance coverage and ex post risk. This paper shows the opposite in the life insurance market despite the clear evidence of private information on mortality risk. The reason for this...

We find that three factors – cryptocurrency market, size, and momentum – capture the cross-sectional expected cryptocurrency returns. We consider a comprehensive list of price- and market-related factors in the stock market, and construct their cryptocurrency counterparts. Nine...

This study examines the effect of SEC regulations on firm valuations and corporate policies over the past 50 years. I build a time-varying and industry-specific measure of SEC regulatory restrictions, based on the universe of effective SEC rules and machine-learning relevance of the regulations...

This paper shows that regulations are automatic stabilizers for firms in the COVID-19 crisis. During the pandemic, more heavily regulated companies had stock and corporate bond returns that were four to five percent higher than less regulated firms. Prior to the crisis, highly regulated firms...

Information pertaining to new addresses is highly value-relevant in the cryptocurrency market. Innovations to the number of new addresses explain eight percent of the variations in cryptocurrency returns. Unlike traditional markets, we do not find evidence of pre- or post-drift around the...

We find that three factors - cryptocurrency market, size, and momentum - capture the cross-sectional expected cryptocurrency returns. We consider a comprehensive list of price- and market-related factors in the stock market, and construct their cryptocurrency counterparts. Nine cryptocurrency...