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Wharton Research Data Services (WRDS) Research Paper Series

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Viewing: 1 - 50 of 2,866 papers

1.

Who Wants to Be a Volatility Timer?

Number of pages: 51 Posted: 24 Nov 2020
Working Paper Series
University of Bristol - School of Economics, Finance and Management
Downloads 4
2.

The Materiality of Quantitative Disclosure in Annual Reports

Number of pages: 56 Posted: 24 Nov 2020
Working Paper Series
University of British Columbia - Sauder School of Business
Downloads 2
3.

Off Target: On the Underperformance of Target-Date Funds

Number of pages: 55 Posted: 23 Nov 2020
Working Paper Series
University of Arizona - Department of Finance and University of Colorado at Boulder - Leeds School of Business
Downloads 16
4.

Make Hay While the Sun Shines: An Empirical Study of Maximum Price, Regret and Trading Decisions

Number of pages: 36 Posted: 23 Nov 2020
Working Paper Series
University of Warwick, Bocconi University and IGIER and University of Warwick
Downloads 11
5.

Impacts of Sector and Company Size on Effective Factor Investing:Evidence from U.S. Equity Markets

Number of pages: 41 Posted: 23 Nov 2020
Working Paper Series
University of Texas at Arlington - College of Business Administration, The University of Texas At Arlington and affiliation not provided to SSRN
Downloads 6
6.

Financial Capacity and the Demand for Audit Quality

Accounting and Business Research, Forthcoming
Number of pages: 53 Posted: 20 Nov 2020
Working Paper Series
Singapore Management University - School of Accountancy, University of Houston - C.T. Bauer College of Business, Jinan University - Management School and Singapore Management University - School of Accountancy
Downloads 15
7.

Institutional Investors and Firm Performance: Evidence from IPOs

North American Journal of Economics and Finance, 2019
Number of pages: 50 Posted: 16 Nov 2020
Accepted Paper Series
Boston University, Questrom School of Business, Tel Aviv University - Coller School of Management and Boston University - Questrom School of Business
Downloads 11
8.

What Determines Institutional Investors’ Holdings in IPO Firms?

International Review of Finance, Forthcoming
Number of pages: 50 Posted: 16 Nov 2020
Accepted Paper Series
Boston University, Questrom School of Business, Tel Aviv University - Coller School of Management and Boston University - Questrom School of Business
Downloads 12
9.

Equity Return Forecasting Using Risk-Neutral Option-Implied Moments

Number of pages: 72 Posted: 14 Nov 2020
Working Paper Series
Concordia University, Quebec, John Molson School of Business, Students
Downloads 18
10.

The Power of Firm Fundamental Information in Explaining Stock Returns

Review of Accounting Studies, Forthcoming
Number of pages: 60 Posted: 12 Nov 2020
Working Paper Series
Zhejiang University, Columbia University - Columbia Business School and Yale School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 116
11.

Factor Investing, Learning from Prices, and Endogenous Uncertainty in Asset Markets

Number of pages: 59 Posted: 10 Nov 2020 Last Revised: 23 Nov 2020
Working Paper Series
Frankfurt School of Finance & Management, Frankfurt School of Finance & Management gemeinnützige GmbH and Frankfurt School of Finance & Management
Downloads 39
12.

Did Accrual Earnings Management Decline and Real Earnings Management Increase Post-SOX? A Re-examination and Replication

Number of pages: 53 Posted: 06 Nov 2020 Last Revised: 19 Nov 2020
Working Paper Series
University of California, Irvine, University of California, Irvine - Accounting Area and KPMG
Downloads 63
13.

Dissecting the Idiosyncratic Volatility Anomaly

Journal of Empirical Finance, Forthcoming
Number of pages: 50 Posted: 06 Nov 2020
Accepted Paper Series
University of Idaho, Washington State University, Gonzaga University and University of Iowa - Henry B. Tippie College of Business

Multiple version iconThere are 2 versions of this paper

Downloads 30
14.

Asset-side Bank Runs and Liquidity Rationing: A Vicious Cycle

Number of pages: 60 Posted: 06 Nov 2020
Working Paper Series
The Chinese University of Hong Kong, Shenzhen
Downloads 15
15.

Capital Market Effects of ESG Materiality Standards

Number of pages: 61 Posted: 04 Nov 2020
Working Paper Series
University of Hamburg - School of Business, Economics and Social Sciences, University of Hamburg and Smurfit Graduate Business School, University College Dublin
Downloads 69
16.

Deep Reinforcement Learning for Automated Stock Trading: An Ensemble Strategy

Number of pages: 9 Posted: 03 Nov 2020
Working Paper Series
Columbia University - Department of Statistics, Columbia University - Fu Foundation School of Engineering and Applied Science, Columbia University - Fu Foundation School of Engineering and Applied Science and Nokia Bell Labs
Downloads 1,489
17.

Does Bid-Ask Spread Affect Trading in Exchange Operated Dark Pool? – Evidence From a Natural Experiment

Number of pages: 41 Posted: 03 Nov 2020
Working Paper Series
Monash University - Department of Banking and Finance, La Trobe Business School and affiliation not provided to SSRN
Downloads 16
18.

Life Cycles of Firm Disclosures

Number of pages: 64 Posted: 03 Nov 2020 Last Revised: 14 Nov 2020
Working Paper Series
University of Southern California - Marshall School of Business, University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of Maryland - Robert H. Smith School of Business
Downloads 89
19.

Benchmarking Intensity

Number of pages: 72 Posted: 02 Nov 2020
Working Paper Series
London Business School and London Business School
Downloads 31
20.

Localized Information Acquisition

Number of pages: 71 Posted: 02 Nov 2020
Working Paper Series
Tilburg University - Tilburg School of Economics and Management and Tilburg University - CentER and Department of Accountancy
Downloads 72
21.

Two Stage Decumulation Strategies for DC Plan Investors: 'A Goal Properly Set Is Halfway Reached'

Number of pages: 28 Posted: 02 Nov 2020
Working Paper Series
University of Waterloo - David R. Cheriton School of Computer Science
Downloads 9
22.

Approximating Purchase Propensities and Reservation Prices from Broad Consumer Tracking

International Economic Review, Vol. 61, Issue 2, pp. 847-870, 2020
Number of pages: 24 Posted: 30 Oct 2020
Accepted Paper Series
Brandeis University - Department of Economics

Multiple version iconThere are 2 versions of this paper

23.

Innovation Disclosure in Times of Uncertainty

Journal of Economics & Management Strategy, Vol. 29, Issue 4, pp. 792-815, 2020
Number of pages: 24 Posted: 27 Oct 2020
Accepted Paper Series
Bocconi University - Department of Management and Technology
24.

Downside Risk and the Cross-section of Corporate Bond Returns

Number of pages: 29 Posted: 27 Oct 2020
Working Paper Series
McGill University, Desautels Faculty of Management, McGill University - Desautels Faculty of Management, Syracuse University - Whitman School of Management and ESSEC Business School
Downloads 24
25.

Elusive Safety: The New Geography of Capital Flows and Risk

CESifo Working Paper No. 8249
Number of pages: 57 Posted: 27 Oct 2020
Working Paper Series
Harvard University, Goethe University Frankfurt, affiliation not provided to SSRN and Board of Governors of the Federal Reserve System

Multiple version iconThere are 3 versions of this paper

Downloads 18
26.

Trends in Corporate Borrowing

Annual Review of Financial Economics 2020
Number of pages: 42 Posted: 25 Oct 2020
Working Paper Series
Frankfurt School of Finance & Management, New York University - Leonard N. Stern School of Business and Frankfurt School of Finance & Management
Downloads 70
27.

Who Benefits from Analyst “Top Picks”?

Fisher College of Business Working Paper No. 2020-03-024, Charles A. Dice Working Paper No. 2020-24
Number of pages: 74 Posted: 25 Oct 2020 Last Revised: 30 Oct 2020
Working Paper Series
Ohio State University (OSU) - Department of Finance, Department of Finance, Ohio University, Miami University of Ohio - Richard T. Farmer School of Business Administration and Ohio State University (OSU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 117
28.

Evidence of Accelerating Mismeasurement of Growth and Inflation in the U.S. In the 21st Century

FRB of Philadelphia Working Paper No. 20-41
Number of pages: 59 Posted: 23 Oct 2020
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of Philadelphia
Downloads 51
29.

Analyst Coverage and Managers’ Disclosure of Forward-Looking Information

Number of pages: 53 Posted: 22 Oct 2020
Working Paper Series
University of Georgia - J.M. Tull School of Accounting
Downloads 55
30.

Disclosures of CEO inside Debt Changes and the Timing of New Bond Issuance

Number of pages: 45 Posted: 21 Oct 2020
Working Paper Series
Department of Finance, The University of Melbourne
Downloads 5
31.

Trading Volume and Dispersion of Signals

Number of pages: 89 Posted: 21 Oct 2020 Last Revised: 27 Oct 2020
Working Paper Series
Indian Institute of Management (IIMB), Bangalore
Downloads 35
32.

Macroeconomics, Firm Dynamics and IPOs

Banco de Espana Working Paper No. 2030
Number of pages: 58 Posted: 19 Oct 2020
Working Paper Series
Banco de España
Downloads 8
33.

Stock Prices, Lockdowns, and Economic Activity in the Time of Coronavirus

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-156
Number of pages: 62 Posted: 19 Oct 2020 Last Revised: 05 Nov 2020
Working Paper Series
University of Chicago, American University - Department of Economics and American University
Downloads 33
34.

Modeling Multifactor Event Driven Trading Strategy

Number of pages: 7 Posted: 19 Oct 2020
Working Paper Series
Georgia Institute of Technology
Downloads 33
35.

The Cross-Section of Non-Professional Analyst Skill

Number of pages: 46 Posted: 19 Oct 2020
Working Paper Series
University of Virginia - Darden School of Business, University of Kentucky - Gatton College of Business and Economics and University of Kentucky - Gatton College of Business and Economics
Downloads 112
36.

An Analysis of the Performance of Target Date Funds

NBER Working Paper No. w27971
Number of pages: 37 Posted: 19 Oct 2020 Last Revised: 19 Oct 2020
Working Paper Series
Stanford University - Department of Economics and Stanford University
Downloads 5
37.

How to Talk When a Machine is Listening: Corporate Disclosure in the Age of Ai

NBER Working Paper No. w27950
Number of pages: 54 Posted: 19 Oct 2020 Last Revised: 20 Oct 2020
Working Paper Series
Georgia State University - J. Mack Robinson College of Business, Columbia Business School - Finance and Economics, Georgia State University - Robinson College of Business and Georgia State University - J. Mack Robinson College of Business

Multiple version iconThere are 2 versions of this paper

Downloads 6
38.

Supply Chain Bargaining Power and Cost Stickiness

Number of pages: 46 Posted: 19 Oct 2020
Working Paper Series
Southwestern University of Finance and Economics (SWUFE) - School of Accountancy
Downloads 39
39.

To Delegate or Not To Delegate? On the Quality of Voluntary Corporate Financial Disclosure and Its Market Impact

Number of pages: 101 Posted: 19 Oct 2020 Last Revised: 23 Nov 2020
Working Paper Series
Rutgers Business School at Newark and New Brunswick
Downloads 17
40.

Hedge Fund Redemption Restrictions and Stock Price Fragility

Number of pages: 43 Posted: 15 Oct 2020
Working Paper Series
University of Lugano - Institute of Finance
Downloads 34
41.

The Economic Value of Equity Implied Volatility Forecasting with Machine Learning

Number of pages: 59 Posted: 15 Oct 2020
Working Paper Series
University of Miami - Department of Finance and University of Wisconsin - Whitewater - College of Business and Economics
Downloads 81
42.

Aggregate Consumption and Wealth in the Long Run: The Impact of Financial Liberalization

IFN Working Paper nr 1339. Stockholm: Research Institute of Industrial Economics (IFN), 2020
Number of pages: 42 Posted: 15 Oct 2020
Working Paper Series
Research Institute of Industrial Economics (IFN) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 3
43.

ESG and CEO Turnover

Number of pages: 63 Posted: 14 Oct 2020
Working Paper Series
Hanken School of Economics, Aalto University - Aalto University School of Business, Department of Finance, Students and Hanken School of Economics
Downloads 33
44.

Anatomy of Corporate Credit Spreads: The Great Recession vs. Covid-19

FRB St. Louis Working Paper No. 2020-035
Number of pages: 27 Posted: 14 Oct 2020
Working Paper Series
affiliation not provided to SSRN, Federal Reserve Bank of St. Louis and New York University (NYU)
Downloads 13
45.

Common Ownership, Competition, and Top Management Incentives

CESifo Working Paper Series No. 6178
Number of pages: 86 Posted: 14 Oct 2020
Working Paper Series
University of Navarra, IESE Business School, Yale School of Management, IESE Business School, University of Navarra and University of Oxford - Finance

Multiple version iconThere are 3 versions of this paper

Downloads 206
46.

A Q-Theory of Banks

NBER Working Paper No. w27935
Number of pages: 110 Posted: 14 Oct 2020 Last Revised: 14 Oct 2020
Working Paper Series
Stanford University - Graduate School of Business, University of California, Los Angeles (UCLA) - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics and Government of Canada - Bank of Canada

Multiple version iconThere are 2 versions of this paper

Downloads 9
47.

Agency Conflicts and Investment: Evidence from a Structural Estimation

Number of pages: 49 Posted: 13 Oct 2020
Working Paper Series
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 22
48.

The Shape of the Pricing Kernel and Expected Option Returns

Swedish House of Finance Research Paper 20-25
Number of pages: 76 Posted: 12 Oct 2020 Last Revised: 29 Oct 2020
Working Paper Series
Goethe University Frankfurt and Swedish House of Finance
Downloads 67
49.

Backtesting Macroprudential Stress Tests

Number of pages: 41 Posted: 10 Oct 2020
Working Paper Series
University College London - Financial Computing and Analytics Group, Department of Computer Science, Deutsche Bundesbank and University College London

Multiple version iconThere are 2 versions of this paper

Downloads 11
50.

Beauty is Wealth: CEO Attractiveness and Firm Value

Financial Review, Vol. 55, Issue 4, pp. 529-556, 2020
Number of pages: 28 Posted: 09 Oct 2020
Accepted Paper Series
affiliation not provided to SSRN and University of Arkansas - Department of Finance
Downloads 1