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Author:Palazzo, Berardino 

Working Paper
Equity Financing Risk

A risk factor linked to aggregate equity issuance conditions explains the empirical performance of investment factors based on the asset growth anomaly of Cooper, Gulen, and Schill (2008). This new risk factor, dubbed equity financing risk (EFR) factor, subsumes investment factors in leading linear factor models. Most importantly, when substituted for investment factors, the EFR factor improves the overall pricing performance of linear factor models, delivering a significant reduction in absolute pricing errors and their associated t-statistics for several anomalies, including the ones ...
Finance and Economics Discussion Series , Paper 2020-037

Discussion Paper
The post-COVID stock listing boom

In the aftermath of the Covid-19 pandemic, the U.S. equity markets have witnessed a surge in the number of publicly listed companies. Using data for the three major U.S. stock exchanges (AMEX, NYSE, and NASDAQ), we find that the number of publicly traded companies went from 4,144 at the end of August 2020 to 5,301 at the end of December 2021, a staggering increase of about 28 percent.
FEDS Notes , Paper 2022-06-17-1

Discussion Paper
Spike in 2019Q1 Leverage Ratios: The Impact of Operating Leases

In this note, we show that the key driver of the 2019:Q1 increase in the leverage ratio appears to be a change in accounting rules – which requires the inclusion of operating leases as financial liabilities on U.S. corporations' balance sheets – and also provide a methodology for adjusting the leverage ratio to allow for cleaner historical comparisons.
FEDS Notes , Paper 2019-12-13-2

Discussion Paper
Macroeconomic News and Stock Prices Over the FOMC Cycle

We develop novel macroeconomic surprise indices to identify the impact of macroeconomic releases on aggregate stock market returns over the FOMC cycle. We find that the aggregate stock prices are positively correlated with our real economic activity news index and negatively correlated with our price news index.
FEDS Notes , Paper 2020-10-14-1

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