This paper considers predictive regressions, where y_t 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...

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...

We study the effect of corporate exposure to weather on bond yield spread. We construct three firm-level weather exposure measures and find that firms exposed to greater weather risk experience substantially higher yield spread on their bonds in the secondary and primary markets. Chanel tests...