Due to the government-driven mergers of large banks, many competing firms in Japan ended up borrowing from a common lender. Using firm-level data, we find that capital investments of competing firms that share a common lender decrease by 15% of the mean. When a common lender can exercise its...

The Bank of Japan (BOJ) purchased large amounts of equity index ETFs as part of its Quantitative Easing Policy. As the BOJ’s ETF includes a large proportion of price-weighted Nikkei 225 index ETFs, the BOJ’s holdings over-weight those shares relative to the market value weight. Thus, the...

The Bank of Japan (BOJ) purchased large amounts of equity index ETFs as part of its Quantitative Easing (QE) policy. As the BOJ’s ETF includes a large proportion of priceweighted Nikkei 225 index ETFs, the BOJ’s holdings over-weight those shares relative to the market value weight. Thus, the...

The winner-minus-loser (WML) momentum strategy carries an inherent downside as its returns have negative coskewness. We propose a coskewness-volatility-managed momentum strategy that reduces the reversal risk of the baseline WML strategy by 61% and that of the volatility-managed momentum...

This paper investigates the performance sensitivity of geographically diversified and non-diversified banks to local housing prices in the United States. We find that despite enduring the limitation of risk diversification, local banks experience a lower performance sensitivity to housing prices...

Unlike broad-based equity ownership by employees, ownership of company debt by rank-and-file employees has not received much attention. We argue that company debt held by employees in the form of in-company deposits can monitor risk-taking and facilitate risk discovery. Employee deposits have...

As part of its unconventional monetary policy, since 2010 the Bank of Japan (BOJ) has purchased equity index exchange-traded funds (ETFs). The total purchased amount reached 3% of GDP and the bank has become among the largest shareholders in over 40% of listed companies. Because of the reduction...

We find that increases in lending by Japanese Government Owned Bank (GOB) during the crisis in early 1990's had a strong incremental impact on firm level investment, especially for credit constrained firms. Firms have better future accounting performance when their investment is associated with...