WWe estimate the relative signal jump variance (RSJV) as the difference between the realized positive half-variance and negative half-variance divided by the realized variance using high-frequency intraday data and investigate its role in the cross-sectional pricing in the Chinese stock market....

Blockchain-based track and trace (BCT) is increasingly adopted in the retail supply chain. However, there is little rigorous empirical evidence quantifying the effects of BCT on consumer purchases or examining the heterogeneity of these effects with varying product-related characteristics....

This paper studies how non-common priors shape contract and information design, and investigates the benefits of selling information. The model features a bilateral trade framework where the trading parties hold different beliefs about the correlation between the buyer’s private information...

This study investigates the impact of low-quality political signals on the relationship between economic policy uncertainty and firms' capital structure decisions on leverage and debt maturity. We present compelling evidence that low-quality political signals significantly diminish the effect of...

We empirically examine the cash flow statements for Japanese banks and whether their managers engage in classification shifting to temper concerns about risk exposure. To create a buffer against liquidity shocks, they shift cash flows from investing and/or financing activities to operating...

Several labels for sustainable investment funds sponsored by government and nonprofit organizations (GNPOs) have emerged in Europe. This paper examines the coherence of the signals sent by these sustainable labels versus those from the private sector. While some GNPO-labeled funds are perceived...

This paper studies how the firm designs its internal information system when facing an adverse selection problem arising from unobservable managerial abilities. While more precise information allows the firm to make ex-post more efficient investment decisions, noisier information has an ex-ante...

This paper identifies exogenous monetary policy shocks based on the high frequency transaction data of China’s interest rate swap market, and explores the ‘signaling channel’ of monetary policy by investigating the transmission of different monetary policy instruments on economic...

I empirically study how confirmatory bias works for strong and contradictory signals using sell-side analysts’ data. I first model an agent who is prone to confirmatory bias and whose task is to value a stock based on a signal, and then introduce the effects of signal strength by relaxing...

We analyze takeover operations in which (i) bidding firms are risk-averse; (ii) offers can be made using cash or equity stakes; and (iii) acquirers have asymmetric information. We consider both non-competitive operations, in which a single acquirer initiates the takeover, and competitive...