The Chinese Ministry of Environmental Protection has enacted an environmental policy that restricts the investment activities of heavily polluting firms by increasing their financial constraints. In this paper, we examine the impact of environmental labeling on firms' financial constraints. We...

The paper presents a systematic theory for asymptotic inferences based on autocovariances of stationary processes. We consider nonparametric tests for se rial correlations using the maximum and the quadratic deviations of sample autocovariances. For these cases, with proper centering and...

We show that the call-put implied volatility spread (IVS) outperforms many well-known predictors of the U.S. equity premium at return horizons up to six months over the period from 1996:1 to 2017:12. The predictive ability of the IVS is unrelated to the dividend yield and is useful in explaining...

This paper studies the effect of remote working on the actively managed equity mutual fund returns and managerial skills. I use the staggered state-level stay-at-home orders in the U.S. as the difference-in-differences strategy. After working from home, fund daily net excess returns over market...

We identify a feedback loop between fire sales and equity option returns. The demand effect of fire sales induced by mutual fund extreme outflows decreases delta-hedged put option returns by 4-10% per year and increases the expensiveness by 2.5%. We address endogenous concerns using instrumental...