In the late 1990s, the Japanese government initiated a number of reforms that resulted in lower transaction costs and made the Japanese equity market more attractive for foreign institutions. Following these changes, foreign institutional holdings more than doubled, providing an opportunity to...

This paper shows a strong link between granular information contained in individual stock prices and sectoral movements. Using machine learning algorithms, we find that a predictor that aggregates the price movements of a broad cross-section of individual stocks predicts sector ETF returns...

We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is significantly correlated with tail risk measures...

Whenever a court enforces a bargain, it does so against someone who regrets having made it. Why should he be bound? Our thesis is that, in principle, a contract of exchange should be enforced when it is economically fair and voluntary. It is economically fair when the performance that each party...

We study the trading performance of actively-managed mutual funds from 16 domicile countries investing in 42 equity markets over the period 2001-2014. In the aggregate, funds achieve particularly poor returns in U.S. equity: after adjusting for style, the stocks they buy underperform those they...

In in re Trulia, Delaware Court of Chancery broke away from its tradition of routinely approving disclosure-only settlements and required disclosures to be material in order to cure the conflict of interest between plaintiff counsel and plaintiff class. I argue that fairness of settlement is the...

We propose a novel high-frequency decomposition of daily stock returns into news- and non-news-driven components, and uncover evidence of pervasive stock market underreaction to firm news. Prices tend to drift in the same direction as the initial market response for several days after the news...

This article is on the hidden state interest that article 52(§1) of the Chinese Contract Law protects and the questionable applicability of freedom of contract to Chinese state-owned enterprises (hereafter “SOEs”). In common law, fraud and duress make a contract voidable. In Western civil...

Upon the enactment of Chinese Civil Code, the previous rules that allowed for enlarged state power to annul contracts such as General Principles of Civil Law article 58 §3 and Contract Law article 52 §1-§2 were dropped. Chinese law has gone one step further in promoting freedom of contract....

Contemporary contract theories fail to escape their bondage to 19th century liberal philosophers. Some are based on utility or preference satisfaction, but they disregard justice. Others try to extract conclusions for general concepts such as liberty or autonomy but they cannot do so without...