Asset Pricing and Corporate Finance research receive recognition

WRDS-sponsored Best Paper Awards were presented during the SFS Cavalcade North America

Best Paper in Corporate Finance

Julia Selgrad (University of Chicago) and Kerry Siani (MIT) explore how monetary policy affects corporate investment decisions, and why there are long lags in transmission. The researchers hand-collected a firm-level dataset of U.S. investment plans and linked it to managers鈥� cash-flow expectations.

Best Paper in Asset Pricing

Philippe van der Beck, Harvard University | Lorenzo Bretscher, HEC Lausanne | Julie Zhiyu Fu, Washington University in St. Louis
High asset price volatility alongside low portfolio flows reveals a fundamental trade-off between investor disagreement and price impact: When volatility is high but flows are small, investors must either largely agree with each other or be insensitive to price changes, implying large price impacts from small flows. The researchers formalize this relationship in a price impact bound that depends on price volatility, flow volatility, and investor agreement.

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