Annual Conference

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Investment Finance

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May 2023

Alpha Go Everywhere: Machine Learning and International Stock Returns

Darwin CHOI, Chao ZHANG, Wenxi JIANG
We apply machine learning techniques to predict international stock returns using firm characteristics. Market-specific features are important, as neural network models (NNs) achieve stronger results when they are trained in each market separately than in a global model trained with U.S. data. NNs o...
Keywords: : International Asset Pricing, Cross-section of Stock Returns, Market Integration, Neural Networks,
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Annual Conference

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Investment Finance

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May 2023

Unlocking ESG Premium from Options

Amit GOYAL, Jie CAO , Xintong ZHAN, Weiming ZHANG
We find that option expensiveness, as measured by delta-hedged option returns, is higher for low-ESG stocks, indicating that investors pay a premium in the option market to hedge ESG-related uncertainty. We estimate this ESG premium to be about 0.3% per month. All three components of ESG contribute ...
Keywords: ESG, risk premium, delta-hedged option return
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Annual Conference

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Corporate Finance

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May 2023

The Value of Bankruptcy Court in Financial Distress: Evidence from Chinese Bond Market

Bo LI, Laura LIU, Mai LI, Songnan LI
This paper investigates the consequences of bankruptcy reform on creditor protection and credit market development in China amidst rising credit market defaults. We find that the introduction of specialized bankruptcy courts, characterized by better-trained judges and reduced government interference...
Keywords: Bankruptcy Resolution, Creditor Protection, Cost of Debt, China’s Bond Market
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Annual Conference

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Corporate Finance, Senior Fellows/Fellows

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May 2023

Political Partisanship and the Transmission of Fiscal Policy

Pulak GHOSH, Francesco DACUNTO, Alberto G. ROSSI
We document that support for the ruling party (“partisanship”) increases the take-up of government programs in which participation is costly. The take-up rates of a large-scale Indian loan-guarantee program, Mudra loans, diverge across low- and high-partisanship electoral districts but only mont...
Keywords: Heterogeneous Beliefs, Political Finance, Government Spending, Loans, Fiscal Policy, Government Prog
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Annual Conference

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Corporate Finance

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May 2023

Tax Incentives, Small Businesses, and Physical Capital Reallocation

Manpreet SINGH, Riddha BASU, Doyeon KIM
Our study presents novel evidence on the physical capital reallocation e↵ect of temporary federal tax incentives. Using data on equipment purchases by small businesses, we found that temporary tax subsidies on new equipment, specifically in accelerated depreciation, increase investment in old capi...
Keywords: Taxes, Bonus Depreciation, Old Capital, Capital Reallocation, Investment
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