This is the first paper to examine how the COVID-19 shock transmitted from the asset
markets to capital markets. Using a novel measure of the exposure of commercial real estate …

Identifying firm connections by shared analyst coverage, we find that a connected-firm (CF)
momentum factor generates a monthly alpha of 1.68%(t= 9.67). In spanning regressions, the …

We show that institutional investors are more likely to invest in firms from regions to which
they have stronger social ties but find no evidence that these investments earn a differential …

We re-examine the puzzling pattern of lead-lag returns among economically-linked firms.
Our results show that investors consistently underreact to information from lead firms that …

The global financial system is highly complex, with cross-border interconnections and
interdependencies. In this highly interconnected environment, local financial shocks and …

Cross-stock momentum builds on the asymmetry in lead-lag linkages and the difference
between long-run and short-run contemporaneous co-movements. Data-driven cross-stock …

This study explores whether NielsenIQ scanner data from US retailers contain incremental
information about the GAAP revenue of corresponding manufacturers. Using retail …

This study examines whether sell-side equity analysts engage in “social learning” in which
their earnings forecasts for certain firms are influenced by the forecasts and outcomes of …

We find that firms located in US counties with higher sea level rise (SLR) risk engage less in
future‐oriented activities, that is, lower corporate social responsibility performance, lower …

In this study, we analyze the lead-lag relationships between the US industry index and those
of six other major countries from January 1973 to May 2021. We identify the leading role …