We examine the role that the emotional and mental states of innovative workers have on firm value through the innovation channel. Analyzing a large inventor-level dataset, we find that sunshine-induced mood is positively associated with the economic value that inventors generate for their firms...

We find CEO power in acquiring firms can explain the occurrence of both large value creation and destruction deals in M&A. Specifically, we find firms with powerful CEOs make fewer deals and the returns on those deals are less dispersed. Firms with powerful CEOs are also less likely to do all...

How are trading activity and performance impacted by material events during individual investors' lifetimes? Using a unique dataset, we identify transfers of common stock initiated by the major event of divorce and analyze trading patterns and performance of divorced traders. In aggregate,...

This paper presents the construction of a particle filter, which incorporates elements inspired by genetic algorithms, in order to achieve accelerated adaptation of the estimated posterior distribution to changes in model parameters. Specifically, the filter is designed for the situation where...

Explicitly taking into account the risk incurred when borrowing at a shorter tenor versus lending at a longer tenor ("roll-over risk"), we construct a stochastic model framework for the term structure of interest rates in which a frequency basis (i.e. a spread applied to one leg of a swap to...

We study how globalization has changed the source and aggressiveness of inside trading around the world and identify its determinants. Using a sample of acquisitions of firms in 52 countries announced between 1991 and 2014, we find systematically higher likelihood of insider trading in target...

This paper suggests a novel approach for predicting aggregate stock returns at quarterly and annual frequencies. Weak return predictability is consistent with the view that a stationary component of stock prices is highly persistent. In such cases, expected returns are time-varying but also...

The paper proposes a new approach to model risk measurement based on the Wasserstein distance between two probability measures. It formulates the theoretical motivation resulting from the interpretation of fictitious adversary of robust risk management. The proposed approach accounts for all...

Spread options are multi-asset options whose payoffs depend on the difference of two underlying financial variables. In most cases, analytically closed form solutions for pricing such payoffs are not available, and the application of numerical pricing methods turns out to be non-trivial. We...

We investigate the term structure of sovereign yield spreads for five advanced economies against the US and provide novel insights on the key drivers of the term structure. We show that the spread term structure dynamics are driven by three latent factors, which can be labeled as spread level,...