Digests

ETF Arbitrage, Non-Fundamental Demand, and Return Predictability
David C Brown, Shaun William Davies, Matthew C Ringgenberg
Review of Finance, Volume 25, Issue 4, July 2021, Pages 937–972, https://doi.org/10.1093/rof/rfaa027

Non-fundamental demand shocks have significant effects on asset prices, but observing these shocks is challenging.… Read more...

Spillovers in Prices: The Curious Case of Haunted Houses
Utpal Bhattacharya, Daisy Huang, Kasper Meisner Nielsen
Review of Finance, Volume 25, Issue 3, May 2021, Pages 903–935, https://doi.org/10.1093/rof/rfaa030

Exploiting the unique institutional setting of Hong Kong’s housing market, we uncover a curious ripple effect of haunted houses on the prices of nearby houses.… Read more...

Is Currency Risk Priced in Global Equity Markets?
George Andrew Karolyi, Ying Wu
Review of Finance, Volume 25, Issue 3, May 2021, Pages 863–902, https://doi.org/10.1093/rof/rfaa026

Whether currency risk is priced or not has challenged international asset pricing scholars for four decades.… Read more...

Managing Liquidity in Production Networks: The Role of Central Firms
Janet Gao
Review of Finance, Volume 25, Issue 3, May 2021, Pages 819–861, https://doi.org/10.1093/rof/rfaa025

In the U.S. economy, firms are closely connected in a production network and are exposed to the spillover effects of negative shocks from their connected firms.… Read more...

Equilibrium Asset Pricing in Directed Networks
Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag
Review of Finance, Volume 25, Issue 3, May 2021, Pages 777–818, https://doi.org/10.1093/rof/rfaa035

The existence of network linkages between firms, industries, or countries can turn microeconomic shocks into aggregate fluctuations.… Read more...

More is Less: Publicizing Information and Market Feedback
Andrew Bird, Stephen A Karolyi, Thomas G Ruchti, Phong Truong
Review of Finance, Volume 25, Issue 3, May 2021, Pages 745–775, https://doi.org/10.1093/rof/rfaa028

Financial markets are important to the real economy (Hayek 1945; Baumol 1965).… Read more...

Bank of Japan Equity Purchases: The (Non-)Effects of Extreme Quantitative Easing
Ben Charoenwong, Randall Morck, Yupana Wiwattanakantang
Review of Finance, Volume 25, Issue 3, May 2021, Pages 713–743, https://doi.org/10.1093/rof/rfaa029

With the onset of the Covid-19 pandemic, the financial press has reported that central banks around the world such as the European Central Bank and the Bank of Israel have contemplated buying equity to further boost economic growth.… Read more...

Intellectual Property Protection and Financial Markets: Patenting versus Secrecy
Nishant Dass, Vikram Nanda, Haemin Dennis Park, Steven Chong Xiao
Review of Finance, Volume 25, Issue 3, May 2021, Pages 669–711, https://doi.org/10.1093/rof/rfaa033

To create value, firms in technology–intensive industries must crucially protect their intellectual property (IP).… Read more...

The Externalities of Corruption: Evidence from Entrepreneurial Firms in China
Mariassunta Giannetti, Guanmin Liao, Jiaxing You, Xiaoyun Yu
Review of Finance, Volume 25, Issue 3, May 2021, Pages 629–667, https://doi.org/10.1093/rof/rfaa038

Firms around the world attempt to obtain political favors, such as land and other natural resources, government contracts, lenient taxation, relaxed regulatory oversight, or generous financing.… Read more...

Learning from Feedback: Evidence from New Ventures
Sabrina T Howell
Review of Finance, Volume 25, Issue 3, May 2021, Pages 595–627, https://doi.org/10.1093/rof/rfab006

Why do individuals persist in entrepreneurship? One important dimension of this question – which goes back at least to Knight (1921) – is the degree to which entrepreneurs learn in the sense of type revelation about whether to continue or abandon the venture.… Read more...