Annual Conference

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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2019

Does fiscal policy matter for stock-bond return correlation?

Hao ZHOU, Ji ZHANG, Tao ZHA, Erica X.N. LI
We explore an important role of monetary-fiscal policy interactions in explaining three stylized facts: (1) a positive correlation of stock and bond returns in 1971-2001 and a negative one after 2001, (2) a negative correlation of consumption and inflation in 1971-2001 and a positive one after 2001,...
Keywords: Stock-bond return correlation, consumption-inflation correlation, fiscal-monetary policy regime, bond risk premium, technology shock, investment shock
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2018

Does Financial Globalization Propagate Managerial Skills? Lessons from the Mutual Fund Industry

Hong ZHANG, Massimo MASSA, Si CHENG
We examine whether globalization may unintendedly allow financial institutions with low managerial skills to grow. Using a complete sample of global mutual funds, we find that low-skilled fund companies may strategically differentiate their products by launching new funds that track less-explored fo...
Keywords: Globalization, Cross-border capital flows, Mutual Funds, Skills, market efficiency
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Annual Conference

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Corporate Finance, Senior Fellows/Fellows

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May 2013

Does Corporate Hedging Attract Foreign Investors? Evidence from International Firms

Massimo MASSA, Lei ZHANG
We study how corporate hedging affects the demand of foreign institutional investors. We collect measures of foreign exchange hedging and interest rate hedging for a comprehensive sample of international companies. We document a strongly positive relationship between foreign institutional demand and...
Keywords: hedging, foreign exchange hedging, interest rate hedging, foreign ownership, international institutional investors
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Annual Conference

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Real Estate and Urban Economics, Senior Fellows/Fellows

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May 2022

Does Climate Change Affect Real Estate Prices? Evidence from Government Announcement

Sumit AGARWAL, Yu QIN, Tien Foo SING, Changwei ZHAN
This paper investigates the relationship between climate change information and property prices. We employ datasets of home transactions and a novel climate change information shock in Singapore, the sea level rise (SLR) projections announced by the government. Based on Difference-in-Differences est...
Keywords: climate change, property prices, government announcement, Singapore
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Do Trade Creditors Possess Private Information? Evidence from Stock Returns

David HIRSHLEIFER, Ben LOURIE, Yifan LI, Thomas G. RUCHTI
Theories of customer supplier relationships hold that the private information of suppliers about buyers explains the use of trade credit even when there is a competitive banking sector. If suppliers possess private information about their buyers, then the buyer’s order size and ability to pay on t...
Keywords: trade credit, non-bank lending, customer-supplier relationships, Stock Returns, private information
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