Mutual funds are either run by a single manager or by a management team. Which management design is better has long been a topic of interest. In the early 2000s, the proportion of team-managed funds rose, but in 2007 it leveled off. Using the constant term from Carhart’s 4-factor model as a...

This paper investigates the nature and behavior of the domestic (local) currency market that existed in Florence (Italy) during the late 14th and early 15th centuries (a.k.a. Early Renaissance). We find that the extant volatility and microstructure models developed for modern asset markets are...

This paper investigates the nature and behavior of the domestic (local) currency market that existed in Florence (Italy) during the late 14th and early 15th centuries (a.k.a. Early Renaissance). We find that the extant volatility and microstructure models developed for modern asset markets are...

This paper examines how financial networks influence asset prices and trading performance. Consistent with theoretical studies on the role of communication networks in information dissemination, we posit that financial institutions with more extensive financial networks can more efficiently...

This paper develops a general equilibrium model and provides empirical support that the market volatility-of-volatility (VOV) predicts market returns and drives the time-varying volatility risk. In asset pricing tests with the market, volatility, and VOV as factors, the risk premium on VOV is...

We hypothesize that high stock price levels impede informed trading on the stocks and reduce price informativeness. This is because uninformed trading is needed to facilitate informed trading, and high stock prices may impose budget constraints on uninformed investors. Indeed, we find, for...

In this study, we propose a new rationale for firms' delisting and going private decision: voluntary delist then reissue shares and relist in the “home” country, because of favorable government economic policy and regulatory changes. 29 (27) out of 127 U.S.-listed Chinese ADRs announced...

We examine whether the emotional shocks associated with terrorist attacks affect local inventors' productivity. We find that high-fatality attacks make inventors less innovative, and low-fatality attacks make them more innovative. Inventors living in high risk-taking environments have greater...

Economic policy uncertainty (EPU) raises firms' incentive to lobby policymakers to access policy information and influence policy outcomes. Surprisingly, we find that non-lobbying firms are less likely to initiate lobbying during heightened EPU periods. The evidence is consistent with our...