-
作者：Bryzgalova, Svetlana; Pavlova, Anna; Sikorskaya, Taisiya
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; University of Chicago
摘要：We propose a model in which arbitrageurs act strategically in markets with entry costs. In a repeated game, arbitrageurs choose to specialize in some markets, which leads to the highest combined profits. We present evidence consistent with our theory from the options market, in which suboptimally unexercised options create arbitrage opportunities for intermediaries. We use transaction-level data to identify the corresponding arbitrage trades. Consistent with the model, only 57% of these opport...
-
作者：Hou, Ai Jun; Sarno, Lucio; Ye, Xiaoxia
作者单位：Stockholm University; University of Cambridge; Centre for Economic Policy Research - UK; University of Cambridge; University of Nottingham
摘要：We introduce in the theory of Gabaix and Maggiori (2015) a network structure to capture the complexity of the balance sheets of financial intermediaries, using the Leontief inverse-based centrality. We use this framework in a multi-country world with imperfect financial markets to study how currency risk premia are connected to financiers' risk bearing capacity. Guided by the theory, we construct a Centrality Based Characteristic (CBC), based on the centrality of the trade imbalance network an...
-
作者：Fisman, Raymond; Ghosh, Pulak; Sarkar, Arkodipta; Zhang, Jian
作者单位：Boston University; Indian Institute of Management (IIM System); Indian Institute of Management Bangalore; National University of Singapore; University of Hong Kong
摘要：We study whether access to local pollution information causes investors to make greener portfolio allocations, exploiting the rollout of air quality monitoring stations in India. Using a triple-differences framework on the trading records of 19 million investors, we show that retail investors' holdings in brown stocks become more negatively related to local pollution after a nearby station appears. This effect is more pronounced on alert dates when air quality is reported to be harmful. The ef...
-
作者：Lopez-Lira, Alejandro; Tang, Yuehua
作者单位：State University System of Florida; University of Florida
摘要：We document the capability of large language models (LLMs) like ChatGPT to predict stock market reactions from news headlines without direct financial training. Using post-knowledge-cutoff headlines, GPT-4 captures initial market responses, achieving approximately 90% portfolio-day hit rates for the non-tradable initial reaction. GPT-4 scores also significantly predict the subsequent drift, especially for small stocks and negative news. Forecasting ability generally increases with model size, ...
-
作者：Fardeau, Vincent
作者单位：HSE University (National Research University Higher School of Economics)
摘要：Using a new equilibrium representation, I characterize dynamic, nonstationary risk sharing in a complete-information setting among strategic traders submitting demand schedules and heterogeneous in risk aversion. In equilibrium, more risk-averse (smaller) traders diversify more aggressively due to endogenously lower price impact. This creates term structure effects, where smaller traders dynamically hedge the persistent order flow of larger, slower traders and become the marginal pricers at sh...
-
作者：Dickerson, Alexander; Julliard, Christian; Mueller, Philippe
作者单位：University of New South Wales Sydney; University of London; London School Economics & Political Science; University of Warwick; Centre for Economic Policy Research - UK
摘要：We analyze 18 quadrillion models for the joint pricing of corporate bond and stock returns. Strikingly, we find that equity and nontradable factors alone suffice to explain corporate bond risk premia once their Treasury term structure risk is accounted for, rendering the extensive bond factor literature largely redundant for this purpose. While only a handful of factors, behavioral and nontradable, are likely robust sources of priced risk, the true latent stochastic discount factor is dense in...
-
作者：Blonz, Joshua; Tran, Brigitte Roth; Troland, Erin
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：We use individual-level credit data to study how recent declines in Appalachian coal mining affected household finances between 2011 and 2018. Using exogenous variation in electricity sector demand for coal, we find declines in coal demand decreased credit scores and increased financial distress within two years of coal shocks. These effects cannot be explained solely by job losses in coal mine worker households. Credit score declines and financial distress were largest among older individuals...
-
作者：Schnorpfeil, Philip; Weber, Michael; Hackethal, Andreas
作者单位：Goethe University Frankfurt; Purdue University System; Purdue University; National Bureau of Economic Research
摘要：We study how investors respond to inflation combining a customized survey experiment with trading data at a time of historically high inflation. Investors' beliefs about the stock return-inflation relation are very heterogeneous in the cross section and on average too optimistic. Moreover, many investors appear unaware of inflation-hedging strategies despite being otherwise well-informed about prevailing inflation rates and asset returns. Consequently, whereas exogenous shifts in inflation exp...
-
作者：Aiello, Darren; Bernstein, Asaf; Kargar, Mahyar; Lewis, Ryan; Schwert, Michael
作者单位：Brigham Young University; University of Colorado System; University of Colorado Boulder; University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research; University of Pennsylvania
摘要：We study how state pension windfalls affect property prices near state borders, where theory suggests real estate reflects the value of additional public resources. Windfalls, representing a source of state revenue about half the size of total taxes, provide economically significant and plausibly exogenous variation in fiscal conditions. We find that each dollar of pension asset returns increases border house prices by approximately two dollars, suggesting that governments allocate additional ...
-
作者：Lyu, Yuanzhen
作者单位：Peking University
摘要：I document robust U.S. and international evidence that aggregate corporate cash savings negatively forecast future excess market returns, with economic uncertainty an important driver of this relation. In a calibrated neoclassical dynamic model featuring precautionary savings, I show that fixed financing costs, firm exit, and an uncertainty-driven time-varying price of risk are crucial to replicating this return predictability. The model further implies that the well-known positive return pred...
