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Option-Implied Information and Predictability of Extreme Returns
(2013-01-28)
We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market ...
Stock Ownership and Political Behavior: Evidence from Demutualizations
(2013-12-12)
A setting in which customer-owned mutual companies converted to publicly listed firms created a plausibly exogenous shock to salience of stock ownership. We use this shock to identify the effect of stock ownership on ...