Using non-agency securitization data consisting of mortgages originated between 1991 and 2007, we find that fraction of defaulted mortgages increases from 10.8% in the pre-crisis period (July 2007) to 19.6% in the post crisis period (July 2009). This paper then applies a split population hazard...

Different from prior research that studies weather related factors on equity returns from a behavioral perspective, we investigate air quality on stock returns from a risk perspective using Chinese data. When air-quality risk increases, it not only depresses economic activities of firms but also...

We study how institutional investors utilize potentially biased information by analyzing the effect of IPO underwriters' earnings forecasts on investors' bidding behaviors in Chinese IPO auctions. Despite the presence of upward biases in underwriters' earnings forecasts, we nd that investors'...

Is there quid pro quo in auctioned IPOs - an alternative to bookbuilding in U.S. and elsewhere? Using proprietary data on uniform-pricing IPO auctions from China, we show when the share allocation rule shifted from pro rata to lottery draw (that makes quid pro quo valuable to a bidder), fund...

There is quid pro quo in auctioned IPOs. Using proprietary data on uniform-pricing IPO auctions, we show when the share allocation rule shifted from pro rata to lottery draw, fund families having pre-shift stronger brokerage commission ties with the underwriter submit bids later, place more...

In this paper, we study inflation risk and the term structure of inflation risk premia in the U.S. nominal interest rates through the Treasury Inflation Protection Securities (TIPS) and an analytical two-factor Cox-Ingersoll-Ross (CIR) model with correlated real rate and inflation. The...

Winter weather affects hours worked. We examine how work hours reported in the monthly Current Population Survey (CPS) vary with respect to snowfall in 265 metropolitan areas over the years 2004-2014. The effects of snowfall on work hours vary across types of workers, occupation, industry, and...

Interactions between irrational individuals result in the emergence of different collective behaviors in economic and management systems, and the characteristics of these behaviors have an important impact on the nature of economic and management systems. To determine the characteristics and...