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This paper considers predictive regressions, where y<sub>t </sub> is predicted by all p lags of x, here with x being autoregressive of order q, PR(p,q). The literature considers model properties in the cases where p=q. We demonstrate that the current augmented regression method can still reduce the bias in...
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We investigate the nexus between corporate social responsibility (CSR) and firms’ stock market liquidity. Using actual firm-level CSR expenditure data and a quasi-natural experiment setup of a mandated CSR regulation in India, we find that firms complying with the mandate and expending on CSR...
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