Annual Conference

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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2015

Bond Vigilantes and Inflation: Do Domestic Bond Markets Promote Price Stability?

Andrew K. ROSE, Mark M. SPIEGEL
This paper explores the relationship between inflation and the existence of a local, nominal, publicly traded, longmaturity, domestic currency bond market. Domestic bond markets have an unclear effect on inflation; they present issuing governments with the opportunity to inflate away their debt obli...
Keywords: empirical, panel, long, maturity, domestic, currency, risk, fixed, effect, nominal, Debt
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Annual Conference

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Investment Finance

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May 2015

Can information be locked up? Informed trading ahead of macro-news announcements

Jianfeng HU, Gennaro BERNILE, Yuehua TANG
U.S. government agencies routinely allow pre-release access to macroeconomic data to accredited news agencies under embargo agreements. Using high frequency data, we find evidence consistent with informed trading during news embargoes of the Federal Open Market Committee’s (FOMC) scheduled announc...
Keywords: Media Lockup, News Embargo, Informed Trading, FOMC Announcement, Macroeconomic News
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Annual Conference

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Corporate Finance

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May 2015

Capital Gains Lock-In and Governance Choices

Stephen G. DIMMOCK, William C. GERKEN, Scott J. WEISBENNER , Zoran IVKOVIC
Differences in accrued gains and investors’ tax-sensitivity induce variation in a capital gains lock-in effect across mutual funds even for the same stock at the same time. Exploiting this variation, we show this effect influences funds’ governance decisions: higher capital gains decrease the li...
Keywords: Mutual fund, Proxy voting, Corporate governance, Capital-gains tax, Lock-in effect
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Annual Conference

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Accounting

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May 2015

Political Bias of Corporate News: Role of Conglomeration Reform in China

Joseph D. PIOTROSKI, Tianyu ZHANG, T.J. WONG
When emerging market firms disclose relationship-based transactions, they face a tradeoff in which greater transparency may help lower their cost of capital at the cost of revealing proprietary information. We find that firms overcome this challenge by relying on analysts within their private networ...
Keywords: Media, China, Commercialization, Conglomeration Reform, Bias in Corporate News
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2015

Cross-Sectional Asset Pricing with Individual Stocks: Betas versus Characteristics

Tarun CHORDIA, Amit GOYAL, Jay SHANKEN
We develop a methodology for bias-corrected return-premium estimation from cross-sectional regressions of individual stock returns on betas and characteristics. Over the period from July 1963 to December 2013, there is some evidence of positive beta premiums on the profitability and investment facto...
Keywords: Asset Pricing, Individual Stocks, Factor Loadings, Characteristics, Errors-in-Variables
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