Using intradaily order flows processed via the Lee and Ready (1991) algorithm for NYSE/AMEX-listed stocks over the past 27 years, I estimate a set of price-impact parameters. The results provide strong evidence that price impact is priced in the cross-section of stock returns, even after...

We propose a unified set of distance-based performance metrics that address the power and extreme-error problems inherent in traditional measures for asset-pricing tests. From a Bayesian perspective, the distance metrics coherently incorporate both pricing errors and their standard errors....

Many proxies of illiquidity have been used in the literature that relates illiquidity to asset prices. These proxies have been motivated from an empirical standpoint. In this study, we approach liquidity estimation from a theoretical perspective. Our method explicitly recognizes the analytic...

We propose that general purpose technologies (GPTs) — a class of technologies that have pervasive impacts on the economy and spill over across countries — are a source of non-diversifiable technology risk in international stock markets. We construct an empirical GPT factor from patent data...

This paper uses deep learning and natural language processing (NLP) methods on the US patent corpus to evaluate their predictive power in estimating two measures of patent value: (i) investor reaction to patent announcements as measured in Kogan et al., 2017 and (ii) forward citations. While...

This paper empirically examines the informational role of start-ups' patenting activities in venture capital (VC) financing, based on comprehensive patent data for VC-backed firms in the U.S. from 1976 through 2005. We find that start-ups' patenting activities before receiving VC investment...

This paper empirically examines the effects of industrial and geographic innovations on firm-level profitability and stock returns due to spillovers. Using the data of U.S. patents and patent inventors, we propose empirical proxies for industrial and geographic spillovers and find a positive...

This paper examines how financial frictions and policy uncertainty jointly influence firms' investments in pollution abatement. Our data analyses suggest that financially constrained firms are less likely to invest in pollution abatement and are more likely to release toxic pollutants, with this...