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...

Investment in bond mutual funds has grown rapidly in recent years. With it, there is a growing concern that they are a new source of potential fragility. While there is a vast literature on flows in equity mutual funds, relatively little research has been done on bond mutual funds. In this...

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...

The Chinese Civil Code was enacted on May 28, 2020 and will become effective on January 1, 2021 as the first civil code in the Communist China. Half a century of codification effort finally resulted in this much anticipated code. It utilized state-of-the-art codification techniques and presents...

This paper studies the role of mutual fund yield in driving investor flows and performance of bond funds. Using two common measures, the SEC yield and 12-month distribution yield, we find strong evidence that investors tend to chase bond funds with higher yields, even after controlling for total...

This paper shows a strong link between granular information contained in individual stock prices and sectoral movements. Based on high-frequency data, we find that a simple LASSO predictor that aggregates high-frequency price movements of a broad universe of individual stocks predicts sector ETF...

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....

We study the network structure of the global supply chain, using trade in value-added data for 67 economies and 45 industries. We find that, in the global manufacturing network, a few hub economies such as China, US, Germany, Japan, and Russia drive the global and regional trade flows, but have...