High�Frequency Trading around Large Institutional Orders
ABSTRACT Liquidity suppliers lean against the wind. We analyze whether highâfrequency traders (HFTs) lean against large institutional orders that execute through a series of child orders. The...
View ArticleOn Equilibrium When Contingent Capital Has a Market Trigger: A Correction to...
ABSTRACT This paper identifies an error in Sundaresan and Wang (2015, hereafter SW) that invalidates its Theorem 1. The paper develops a model of contingent capital (CC) with a stock price trigger...
View ArticleG. William Schwert
The Journal of Finance, Volume 74, Issue 3, Page 1087-1089, June 2019.
View ArticleISSUE INFORMATION FM
The Journal of Finance, Volume 74, Issue 3, Page 1083-1085, June 2019.
View ArticleISSUE INFORMATION BM
The Journal of Finance, Volume 74, Issue 3, Page 1580-1581, June 2019.
View ArticleReport of the Editor of The Journal of Finance for the Year 2018
The Journal of Finance, EarlyView.
View ArticleCapital Share Risk in U.S. Asset Pricing
ABSTRACT A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic...
View ArticleCapital Share Dynamics When Firms Insure Workers
ABSTRACT Although the aggregate capital share of U.S. firms has increased, capital share at the firmâlevel has decreased. This divergence is due to megaâfirms that produce a larger output share...
View ArticleTime�Varying Asset Volatility and the Credit Spread Puzzle
ABSTRACT Most extant structural credit risk models underestimate credit spreadsâa shortcoming known as the credit spread puzzle. We consider a model with priced stochastic asset risk that is able to...
View ArticleReal Anomalies
ABSTRACT We examine the importance of crossâsectional asset pricing anomalies (alphas) for the real economy. To this end, we develop a novel quantitative model of the crossâsection of firms that...
View ArticlePrice Discovery without Trading: Evidence from Limit Orders
ABSTRACT We analyze the contribution to price discovery of market and limit orders by highâfrequency traders (HFTs) and nonâHFTs. While market orders have a larger individual price impact, limit...
View ArticleLabor�Technology Substitution: Implications for Asset Pricing
ABSTRACT This paper studies the asset pricing implications of a firm's opportunities to replace routineâtask labor with automation. I develop a model in which firms optimally undertake such...
View ArticleCEO Horizon, Optimal Pay Duration, and the Escalation of...
ABSTRACT This paper studies optimal contracts when managers manipulate their performance measure at the expense of firm value. Optimal contracts defer compensation. The manager's incentives vest over...
View ArticleCostly Information Acquisition, Social Networks, and Asset Prices:...
ABSTRACT We design an experiment to study the implications of information networks for incentives to acquire costly information, market liquidity, investors' earnings, and asset price characteristics...
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Risk, Uncertainty, and Expected Returns
Research Articles Turan G. Bali, Hao Zhou, Journal of Financial and Quantitative Analysis, Volume 51 Issue 03, pp 707-735Abstract
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Volume 51 Issue 03
Journal of Financial and Quantitative Analysis, Volume 51 Issue 03The Journal of Financial and Quantitative Analysis ( JFQA ) publishes theoretical and empirical research in financial economics. Topics...
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On the Style-Based Feedback Trading of Mutual Fund Managers
Research Articles Bart Frijns, Aaron Gilbert, Remco C. J. Zwinkels, Journal of Financial and Quantitative Analysis, Volume 51 Issue 03, pp 771-800Abstract
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The Price of Street Friends: Social Networks, Informed Trading, and...
Research Articles Jie Cai, Ralph A. Walkling, Ke Yang, Journal of Financial and Quantitative Analysis, Volume 51 Issue 03, pp 801-837Abstract
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