The existing evidence for predictability of international bond risk premia raises questions

about whether significant statistical in-sample results can be translated into economic gains.

Moreover, limited information is provided for practical applicability of existing findings. This

study examines a broad set of existing bond risk premia models, extends it to international

markets, and highlights the benefits of using a global forecasting approach for investors. Such an

approach, combining information from multiple international markets, better captures drivers

in international bond risk premia than other approaches, including solely local information. The

out-of-sample findings show how government bond investors can utilize the presented approach

to improve their efficiency frontier, although achievable economic gains are rather limited.

This paper revisits and extends the dividend term structure model of Kragt et al. (2020), which consolidates dividend growth, the risk-free rate, and the risk premium into a unified discount factor. Employing recent data from four major indices (S&P 500, Eurostoxx 50, Nikkei 225, and FTSE 100), I evaluate the model’s performance under three specifications: an unconstrained version, a transversality-constrained version, and an unconstrained version excluding the pandemic period. Although the unconstrained estimates remain economically meaningful for the Eurostoxx 50, Nikkei 225, and FTSE 100, the US market persistently presents a puzzle: unconstrained estimates for the S&P 500 imply explosive long-run dividend projections unless constraints are imposed or pandemic data are removed. While either intervention restores theoretical coherence, it also uncovers a sharp divergence between model-implied and observed valuations, suggesting the omission of critical forces—long-run bubbles and convenience yields—that likely drive equity prices. Moreover, short-run dividend expectations exhibit strong sensitivity to inflationary shocks, whereas medium-term projections hinge on the yield curve and broader monetary policy.

We introduce a method to determine the investor's optimal portfolio size that maximizes the expected out-of-sample utility under parameter uncertainty. This portfolio size trades off between accessing investment opportunities and limiting the number of estimated parameters. Unlike sparse methods such as lasso that exclude assets during the optimization step, our approach fixes the optimal number of assets before computing the portfolio weights, which improves robustness and provides greater flexibility in practical implementations. Empirically, our restricted portfolios outperform their counterparts applied to all available assets. Our methodology renders portfolio theory valuable even when the dataset dimension and sample size are comparable.

This study evaluates the effectiveness of specialised large language models (LLMs) developed for accounting and finance. Empirical analysis demonstrates that these domain-specific models, despite being nearly 50 times smaller, consistently outperform state-of-the-art general-purpose LLMs in return prediction. By pre-training the models on year-specific financial datasets from 2007 to 2023, the study also mitigates look-ahead bias, a common limitation of general-purpose LLMs. The findings highlight the critical importance of addressing look-ahead bias to ensure reliable results. Extensive robustness checks further validate the superior performance of these models.

This study examines the impact of political control on corporate social responsibility (CSR) in China. Grounded in institutional theory and attention-based view, an analysis of 941 publicly listed firms finds that political control enhances CSR performance, particularly through party-building reforms. Specifically, the Party committee strengthens its leadership role by amending corporate charters to include clauses affirming their authority. This effect is more pronounced in larger firms but weaker in heavily polluting industries. The findings remain robust after addressing endogeneity concerns through various methods such as difference-in-differences (DID) estimation, the Heckman two-stage model, and instrumental variable (IV) estimation. By distinguishing political control from traditional political connections, this study contributes to the literature on political governance and corporate sustainability. Additionally, it provides practical insights into China’s distinctive corporate governance model, which differs from conventional Western frameworks.

This paper conducts a historical analysis of political and charitable donations made by publicly listed firms in the UK since 1967, and it explores the factors influencing shareholder votes on political contributions. Our findings indicate that regulatory measures have tightened for political donations while becoming more relaxed for charitable donations. Despite their low but increasing levels, political donations have shown a positive correlation with firm performance. We argue that the introduction of shareholder voting on political donations was unnecessary. This measure led to a significant reduction in political donations, which subsequently became negatively correlated with performance. It also imposed unnecessary costs and drove donations from public firms to individuals and private entities, thus decreasing transparency. Additionally, we find that shareholder voting is influenced not only by political but also by charitable donations. We propose reversing of the 2014 removal of the requirement for the disclosure of charitable donations and recommend implementing shareholder approval for such donations.

Chinese state-owned enterprises (SOEs), within the framework of multi-level principal-agent relationships, are often subject to excessive insider control, unclear managerial responsibilities, and insufficient oversight of managerial decision-making, thereby leading to inefficient investments. We focus on SOEs to examine, for the first time in the existing literature, the impact of accountability on their investment efficiency. We find robust, causal evidence that enhanced accountability improves investment efficiency of SOEs. Moreover, inherent investment stimuli, such as industrial growth potential, corporate growth prospect, financing efficiency, financial reporting quality, corporate governance and managerial experience, complement accountability in boosting investment efficiency. Yet, accountability can substitute external stimuli, such as government support and external monitoring, in driving investment efficiency. By contrast, at the regional level, higher economic growth, greater financial development, more intense anti-corruption and stronger legal environment amplify the positive effect of accountability on investment efficiency. Further analysis reveals that accountability enhances SOE investment efficiency primarily via reducing under-investment and has limited effect in curbing over-investment. Our study provides new insights into the real effect of accountability on investments as well as the interplay between accountability and various investment stimuli in improving investment efficiency, and thereby offers valuable implications for internal governance within firms.

Voting outcomes can differ from underlying preferences due to selection into voting. We document substantial and varying discretionary voting participation of 26% in the US and 7% outside the US. We explain how lower participation of shareholders with popular preferences (freerider effect) relative to that of those with unpopular preferences (underdog effect) can lead to voting outcomes that diverge from the underlying preferred choice. We illustrate these strategic effects in a rational choice model in which the voting participation decision depends on the probability of being pivotal and the costs and benefits of voting. Based on the model, we structurally estimate unobservable shareholder preferences. We show that strategic selection into voting is relevant: 10% of voting outcomes in non-routine proposals in the US and 11% outside the US do not represent the majority of the shareholder base. Our model also shows that reducing the cost of voting may not lead to more representative outcomes. Instead, we document in which circumstances reforms of the cost of voting increase rather than decrease representativeness.