ABSTRACT Investors may apply a liquidity premium to assets that are easy and cheap to trade, especially in times of stress. This paper tests for a causal relationship from market liquidity to prices in the government bond market for a small open economy (Australia). To identify this effect, I use a source of exogenous variation in liquidity that is driven by whether a particular bond is used to compute settlement prices for Australian interest rate futures contracts (“basket status”). Despite a strong link between basket status and market liquidity, I do not find clear evidence that higher market liquidity affects Australian government bond prices.

ABSTRACT In response to slowing growth and financial uncertainty, central banks have increasingly adopted unconventional monetary policies (UMPs). Using panel fixed‐effects models with financial data from listed firms in China, the United States, and Japan during 2011–2021, this paper examines the impact of UMPs on corporate financing and cross‐country heterogeneity. Robustness is confirmed through endogeneity checks, variable substitution, and external shocks. The results show that the use of UMPs in China and the United States can increase debt financing ratio of companies, but the similar policies in Japan have the opposite effect. Policy effects differ by firm size and age, with smaller and younger firms more sensitive. Financial and political efficiency could moderate transmission. Furthermore, through the variable slope model, among the three countries, the impact of UMP on corporate debt was the strongest in China, while it was weaker in the United States and Japan. Overall, the study highlights substantial cross‐country and institutional heterogeneity in UMP transmission, offering empirical evidence for differentiated policy design and insights into optimizing monetary policy tools.

ABSTRACT Should measures of investment returns focus on representative or non‐representative investors? Should we consider only the magnitude of accumulated portfolio value relative to investment, or should we highlight the series of withdrawals to fund real activities that an investment can sustain? Should we ignore the importance of the time ordering of returns (distinct from the overall level), or should we consider “return sequence risk”? I argue herein that we should be thinking more about these issues, and in particular should be less focused on arithmetic means of short horizon returns, as employed in Sharpe ratios, alphas, and portfolio comparisons. I discuss some candidate methods, and highlight the need for expanded econometric tools to allow inference regarding alternative measures of returns.

ABSTRACT The present paper investigates the effect of banking industry regulations on bank initial public offering (IPO) underpricing. We approach this question from both a micro‐level and macro‐level regulatory perspective. First, we conduct our analysis within a micro framework, focusing on the effect of disclosure rules on IPO underpricing. Second, we examine the effect of regulatory and supervisory indices on bank regulations related to the three Pillars of Basel II, as expanded by Basel III (i.e. capital requirements, supervisory power, and market discipline) as well as restrictions on bank activities constructed using the World Bank database. We employ a dataset of 948 bank common share IPOs across 41 countries, covering the period from January 1994 to December 2020. Our findings indicate that stronger banking regulations, both at the disclosure and supervisory levels, are associated with significantly lower IPO underpricing. By improving transparency and monitoring, regulatory frameworks that enhance market discipline and expand supervisory authority improve the integrity of the IPO process, leading to offer prices that more accurately reflect the underlying value of the issuing banks. IPOs listed under a strict regulatory framework experience lower levels of underpricing. We attribute our results to intense monitoring, where regulations that promote market discipline result in better outcomes for the banking sector. Consequently, economic rents are curtailed, and the benefits to investors increase. These results suggest that reducing information asymmetries through regulation contributes to more efficient capital allocation. To test the robustness of our findings, we conduct an additional analysis only for the U.S. banks’ IPO initial returns, subject to additional institutional reforms in the U.S. financial industry. These results corroborate our baseline conclusions, further reinforcing the observed negative relationship between IPO underpricing and the strength of the regulatory and supervisory framework.

ABSTRACT Using a network framework, we show that cross‐state mergers are more likely to occur in state pairs that trade more with each other. Moreover, mergers propagate across states along trade links: High merger activity in one state leads to subsequently high merger activity in its trading partner states. Exploiting state‐level shocks and oil price changes, we show that this relationship is likely to be causal. The state‐industry level analysis further indicates that merger propagation along trade links occurs not only within industries but also across industries in the supply chain. Finally, we show that the propagation effect is weaker in nontradable industries.

ABSTRACT We investigate the impact of a 2001 Nevada corporate law reform, which reduced the legal liability of corporate directors and officers, on stock price stability. Our analysis addresses previous conflicting evidence and reveals a significant decrease in stock price crash risk following this legal change, particularly among small, young, and weakly governed firms. We attribute this reduction primarily to diminished earnings management practices and improved quality of corporate information disclosures. Our findings underscore the influence of reduced managerial legal liability on shaping the corporate information landscape and mitigating stock price crash risk.

ABSTRACT Traditional measures of financial contagion rely on correlation shifts, overlooking higher moments such as skewness and kurtosis. We examine contagion during two major financial crises, incorporating lower‐ and higher‐moment measures. We analyze stock market returns from 22 major markets at different frequencies, offering a global perspective often missing in previous studies. Employing higher‐order dependence measures, we demonstrate that conventional methods risk losing valuable information. Our contagion networks highlight how shocks travel outward. We find no systematic differences between developed and less‐developed economies’ vulnerability and stress the need for utilizing higher‐order measures when assessing financial stability to avoid underestimating contagion risks.

ABSTRACT We place CEOs' formative experiences at the center of analyzing how firms respond to monetary policy. Specifically, we examine how early‐life exposure to natural disasters shapes CEOs’ investment behavior following monetary shocks. CEOs with exposure to moderate natural disasters during their formative years exhibit stronger risk‐taking tendencies: they invest more aggressively after expansionary shocks and cut back less during contractionary periods. These effects weaken when the exposure is to extreme disasters, leading to more conservative behavior. The patterns are especially pronounced in financially constrained firms and during periods of elevated monetary uncertainty. We also show that these behavioral predispositions have real consequences: the risk‐taking CEOs shaped by moderate exposure to natural disasters face a greater likelihood of forced turnover, suggesting that shareholders may perceive their decisions as excessively risky. This behavioral heterogeneity diminishes when monetary shocks are accompanied by FOMC press conferences, highlighting the role of clear communication in reducing uncertainty and standardizing firm responses.