In the context of global climate change, China is actively promoting the deep integration of
“digital economy" and a “low-carbon economy." Studying the impact of the digital economy …

Standard estimators of risk premia in linear asset pricing models are biased if some priced
factors are omitted. We propose a three-pass method to estimate the risk premium of an …

“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques
and evidence of modern empirical asset pricing. This book should be read and absorbed by …

A Guide to Modern Econometrics, 5th Edition has become established as a highly
successful textbook. It serves as a guide to alternative techniques in econometrics with an …

An introduction to the theory and methods of empirical asset pricing, integrating classical
foundations with recent developments. This book offers a comprehensive advanced …

It has become standard practice in the cross-sectional asset pricing literature to evaluate
models based on how well they explain average returns on size-B/M portfolios, something …

Aggregate consumption growth risk explains why low interest rate currencies do not
appreciate as much as the interest rate differential and why high interest rate currencies do …

We analyze the empirical power and specification of test statistics designed to detect
abnormal bond returns in corporate event studies, using monthly and daily data. We find that …

We provide evidence that firms with more transparent earnings enjoy a lower cost of capital.
We base our earnings transparency measure on the extent to which earnings and change in …

We explore the cross‐sectional pricing of volatility risk by decomposing equity market
volatility into short‐and long‐run components. Our finding that prices of risk are negative and …