“...Using a novel information asymmetry index based on measures of adverse selection developed by the market microstructure literature, we test whether information...”

“...Using a variety of different definitions of "neutrality," this study presents significant evidence against the neutrality to market risk of hedge funds in a...”

“...We have developed Bayesian Markov chain Monte Carlo (MCMC) methods for inferences of continuous-time models with stochastic volatility and infinite-activity...”

“...Using earnings announcement events made by firms belonging to Korean chaebols, we examine propping within a chaebol. Consistent with the market's ex ante...”

“...We use a standard single-agent model to conduct a simple consumption growth accounting exercise. Consumption growth is driven by news about current and...”

“...We posit that screening IPOs requires specialized labor which is in fixed supply. A sudden increase in demand for IPO financing increases the compensation of...”

“...We present an economic model of systemic risk in which undercapitalization of the financial sector as a whole is assumed to harm the real economy, leading to a...”

“...Using a news-based index of policy uncertainty, we document a strong negative relationship between firm-level capital investment and the aggregate level of...”