We provide evidence that the capitalization of taxes in share prices depends on investor attention and can create additional implicit taxes for inattentive investors. Interpreting a German capital gains tax reform as a natural experiment, we identify investor attention by the temporal distance...

Over the past four decades, China's real estate industry has experienced rapid growth, accompanied by frequent regulatory interventions. These shifts present an ideal context for examining the characteristics of private equity placements (PEPs) under varying industrial policy environments. This...

We extend the heteroskedasticity IV estimator of Rigobon and Sack (2004) from one to multiple monetary policy shocks by imposing recursive zero restrictions on the impact matrix. Unlike high-frequency identification, the approach requires neither intraday tick data nor precise announcement...

Most news stories contain both granular quantitative information and coarse categorizations. For instance, company earnings are reported as a dollar figure alongside categorizations, such as whether earnings beat or missed market expectations. We formalize and study the hypothesis that when a...

The predictability of monetary policy surprises based on past, public information has been interpreted in two related yet fundamentally different ways. The "Fed information effect" posits that it arises due to markets updating their view of the economy, based on signals implicitly revealed by...

Can government agencies in sanctioning countries deter their companies from violating laws that limit business transactions with sanctioned countries? To understand this issue, we study the Office of Foreign Assets Control (OFAC), which is the primary enforcer of sanctions in the United States....

This paper by Blueprint Director Joshua Angrist, Alberto Abadie, Brigham Frandsen, and Jörn-Steffen Pischke surveys econometric innovations related to differences-in-differences estimators and to event-study models with time-varying treatment effects. The researchers discussion highlights...

This paper leverages Google Trends search volume data from 2004 to 2008 as a proxy for investor information demand. The analysis documents that greater search activity prior to earnings announcements is positively associated with future market reaction to earnings announcements, pre-earnings...

We examine how Western sanctions imposed in response to Russia's 2022 invasion of Ukraine shaped firm-level stock market performance in the EU and the US. To measure sanction exposure, we link firms to the specific products targeted by US and EU sanctions at the HS6 level, producing a detailed,...

Exogenous shocks can affect equity markets by changing volatility and cross-market co-movement. This study examines how two U.S.-centred events, treated as different shock types, influence time-varying conditional correlations between the U.S. stock market and other G7 markets. The uncertainty...

Between 2017 and 2024, the main national stock market indices rose in the US and the five largest European economies. However, the average daily performance of all six indices turns from positive to negative when weighted by daily media coverage. A case in point is the average daily performance...

This paper investigates the behavior of stock prices around ex-dividend dates in Europe over the period 2018-2022. In the early months of the COVID-19 pandemic in 2020, a significant fraction of firms cut, suspended, or reduced their dividend payments, leading to a shortage. Using a...

We perform a quantitative synthesis of 807 estimates of the effect of macroeconomic news announcements on exchange rates, as reported in 25 studies. Estimates are tested for publication selection using visual examination of funnel plots, linear asymmetry tests, and recent non-linear testing...

We study the impact of climate-related news on asset prices in eight Latin American countries. We use both newspapers and official announcements to construct daily, country-specific indices via textual analysis, reflecting media coverage of transition risks, climate opportunities, regulatory...

This paper examines the responses of foreign exchange rates to the Federal Reserve's large-scale asset purchases (LSAPs) and forward guidance (FWG) from 2009 to 2022 using local projections. I confirm heterogeneous responses of examined foreign exchange rates to unconventional shocks, varying by...