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作者：Guo, Hongye
作者单位：University of Hong Kong
摘要：The U.S. stock market's return during the first month of a quarter correlates strongly with returns in future months, but the correlation is negative if the future month is the first month of a quarter, and positive if it isn't. These correlations offset, consistent with the well-known near-zero unconditional autocorrelation, yet they are pervasive, present across industries and countries. The pattern accords with a model in which investors extrapolate announced earnings to predict future earn...
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作者：Goldstein, Itay; Spatt, Chester S.; Ye, Mao
作者单位：University of Pennsylvania; National Bureau of Economic Research; Carnegie Mellon University; Cornell University
摘要：The second special issue on big data in finance showcases advancements in research related to data of large size, high dimension, and complex structure since the first NBER/RFS big data conference. The papers published in this next chapter address some questions that were proposed in the initial special issue in 2021. Other papers are more directly connected to recent developments in the markets. We discuss some new research directions, following on the papers published here. They include eval...
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作者：Ouazad, Amine; Kahn, Matthew E.
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作者：Rodemeier, Matthias
作者单位：Bocconi University
摘要：This paper estimates willingness to pay (WTP) for carbon mitigation from demand for carbon offsets in a field experiment with an online supermarket. The experiment randomizes whether the firm subsidizes the price of the offset or matches the offset's impact on carbon mitigation. Consumers are price-elastic but fully impact-inelastic, implying that they buy the offset but their WTP for the carbon it mitigates is zero. If the firm informs consumers that it contributes to the offset costs, WTP in...
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作者：Chen, Hailiang; Hwang, Byoung-Hyoun; Peng, Zhuozhen
作者单位：University of Hong Kong; Nanyang Technological University; Central University of Finance & Economics
摘要：Our paper examines analyst reports and online stock opinion articles which recommend buying stocks that, based on the literature, trade at high prices and earn low future returns (short-leg securities). Using a textual analysis, we test whether the justifications primarily (1) emphasize safe-haven qualities, (2) indicate exuberance, or (3) highlight lottery-like features. Our results strongly point to (3). We subsequently validate our text-based inferences through a survey of institutional and...
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作者：Hillenbrand, Sebastian
作者单位：Harvard University
摘要：This paper documents a striking fact: a narrow window around Fed meetings captures the entire secular decline in U.S. Treasury yields. Yield movements outside this window are transitory and wash out over time. This is surprising because the forces behind the secular decline are thought to be independent of monetary policy. Long-term bond yields decline when the Fed cuts the short rate and when the Fed lowers its long-run forecast of the federal funds rate (the dot plot). These results are cons...
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作者：Davila, Eduardo; Parlatore, Cecilia
作者单位：Yale University; National Bureau of Economic Research; New York University; Center for Economic & Policy Research (CEPR)
摘要：We identify and estimate price informativeness, a necessary step in testing theories of information aggregation. Starting from a pricing equation and a stochastic process for payoffs, we show how to recover relative price informativeness from regressions of asset price changes on changes in payoffs. Applying our identification results, we estimate a panel of stock-specific measures of informativeness for U.S. stocks. In the cross-section, large stocks with high turnover, idiosyncratic volatili...
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作者：Fang, Xiang; Liu, Yang; Roussanov, Nikolai
作者单位：University of Hong Kong; University of Pennsylvania; National Bureau of Economic Research
摘要：Do real assets protect against inflation? Stocks' core inflation betas are negative, while their energy betas are positive. Currencies, commodities, and real estate mostly hedge against energy inflation, but not core inflation. These hedging properties are reflected in the prices of inflation risks: only core inflation carries a negative risk premium, and its magnitude is consistent within and across asset classes, uniquely among macroeconomic risk factors. Energy inflation has become more pro...
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作者：Voss, Paul
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：According to existing theories, short-term creditors promote corporate governance by responding quickly to new information. I show that this very feature of short-term debt can also undermine corporate governance. Though moderate levels of short-term debt improve the efficacy of blockholder exit and increase blockholders' incentives to engage with the firm, high levels of short-term debt impair governance. In particular, high levels of short-term debt render the threat of exit noncredible, mak...
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作者：Davis, Carter
作者单位：University System of Ohio; Ohio State University
摘要：What is the demand elasticity of statistical arbitrageurs that invest according to the advice of modern cross-sectional asset pricing models? Thirteen models from the literature exhibit strikingly inelastic demand, in contrast to classical models that rely on statistical arbitrageurs to create elastic market demand for assets. This inelasticity arises from the difficulty of trading against price changes. A quantitative equilibrium model shows that aggregate demand remains inelastic even with t...
