This paper uses machine learning tools to study the serial dependence (lead-lag relations) of commodity futures returns during the post financialization period (January 2004 – December 2019). We use LASSO (Least Absolute Shrinkage and Selection Operator) to select the predictors as the number...

This paper examines how the tournament-like progression in the CEO labor market influences corporate innovation strategies. By exploiting a text-based proxy for product innovation based on product descriptions from 10-Ks, we find a significant positive relation between industry tournament...

This paper identifies a trend factor that exploits the short-, intermediate-, and long-run moving averages of settlement prices in commodity futures markets. The trend factor generates statistically and economically large returns during the post-financialization period 2004-2020. It outperforms...

We show that firms reporting sustained increases in both earnings and revenues have (1) higher quality earnings and (2) larger earnings response coefficients (ERCs) in comparison to firms reporting sustained increases in earnings alone. With respect to earnings quality, firms with...

The financial motivation theory on mergers hypothesizes that mergers can create value by increasing debt capacity. Consistent with the increased debt capacity hypothesis, our results show that the average financial leverage (debtdivided by debt plus equity) increases significantly from 32.1% one...

We document a negative association between the market valuation of a target firm around the announcement date and the target firm's future performance predicted by Value Line. This result is robust after controlling for possible simultaneous equation bias. We provide evidence of a systematic...