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作者：Bali, Turan G.; Kelly, Bryan T.; Morke, Mathis; Rahman, Jamil
作者单位：Georgetown University; Yale University; National Bureau of Economic Research; Yale University
摘要：We propose a statistical model of heterogeneous beliefs wherein investors are represented as different machine learning model specifications. Investors form return forecasts from their individual models using common data inputs. We measure disagreement as forecast dispersion across investor-models (MFD). Our measure aligns with analyst forecast disagreement but more powerfully predicts returns. We document a large and robust association between belief disagreement and future returns. A decile ...
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作者：Egan, Mark; MacKay, Alexander; Yang, Hanbin
作者单位：Harvard University; University of Virginia; University of London; London Business School
摘要：We present a portfolio choice demand model that allows for the nonparametric estimation of investors' (subjective) expectations and risk preferences. Using comprehensive 401(k)-plan-level data from 2009 through 2019, we explore heterogeneity in asset allocations using our empirical framework. We recover investors' beliefs about each asset and examine the implications and potential sources of those beliefs. Heterogeneity in expectations across investors accounts for twice as much variation in p...
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作者：Ernst, Thomas; Spatt, Chester
作者单位：University of Maryland College Park; University System of Maryland; University of Maryland College Park; Carnegie Mellon University
摘要：Option wholesalers specialize in purchasing and executing against retail option order flow. Orders are internalized via auctions (which provide price improvement) and the limit order book. Designated market makers (DMMs) have a key advantage in internalizing limit order book trades: they obtain the first five contracts of any order they bring to an exchange where they are a DMM. We exploit variation in DMM assignments and allocation rules to highlight how these rules create a barrier to entry ...
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作者：Backman, Claes; Moran, Patrick; Van Santen, Peter
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of London; London School Economics & Political Science; University of Groningen
摘要：How does the design of debt repayment schedules affect household borrowing? To answer this question, we exploit a Swedish policy reform that eliminated interest-only mortgages for loan-to-value ratios above 50%. We document substantial bunching at the threshold, leading to 5% lower borrowing. Wealthy borrowers drive the results, challenging credit constraints as the primary explanation. We develop a model to evaluate the mechanisms driving household behavior and find that much of the effect co...
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作者：Andries, Marianne; Bonelli, Maxime; Sraer, David
作者单位：University of Southern California; University of London; London Business School; University of California System; University of California Berkeley
摘要：We study an intervention by a brokerage firm providing advisory services to high-net-worth investors. In 2018, the firm changed the information displayed on its internal platform, so that financial advisors could no longer observe which clients' holdings were in paper gain or loss. Using data on portfolio stock transactions between 2016 and 2021, we show that, while all investors exhibit a significant disposition effect before 2018, that is, a greater propensity to realize gains than losses, h...
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作者：Horenstein, Alex; Vasquez, Aurelio; Xiao, Xiao
作者单位：University of Miami; Instituto Tecnologico Autonomo de Mexico; University of Cambridge
摘要：We explore the factor structure in delta-hedged equity option returns. A sparse latent factor model generates a correlation of 0.90 or higher between average and predicted option returns. A comparable performance is achieved with a characteristic-based model containing four factors: the equally weighted option portfolio, a factor based on the difference between historical and implied volatilities, a factor based on the ratio of corporate cash holdings to the total value of the firm's assets, a...
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作者：John, Kose; Rivera, Thomas J.; Saleh, Fahad
作者单位：New York University; McGill University; State University System of Florida; University of Florida
摘要：We develop an economic model to compare equilibrium security of Proof-of-Work (PoW) versus Proof-of-Stake (PoS) blockchains. We derive general conditions to determine when PoW blockchains are more secure than otherwise equivalent PoS blockchains and vice versa. Applying real-world parameter values to these conditions, we demonstrate that PoS blockchains are more secure than otherwise equivalent PoW blockchains. Furthermore, we demonstrate that PoS's security advantage over PoW is particularly ...
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作者：Andries, Marianne; Bianchi, Milo; Huynh, Karen K.; Pouget, Sebastien
作者单位：University of Southern California; Communaute d'universites et etablissements de Toulouse (Comue); Universite Toulouse 1 Capitole; Toulouse School of Economics
摘要：In an investment experiment, we show variations in information affect beliefs and decision-making within the information-beliefs-decisions chain. Subjects observe the time series of a risky asset and a signal that, in random rounds, helps predict returns. Subjects form extrapolative forecasts following a signal they perceive as useless, and their investment decisions underreact to their beliefs. If the same subjects perceive the signal as predictive, they rationally use it in their forecasts, ...
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作者：Sammon, Marco; Shim, John J.
作者单位：Harvard University; University of Notre Dame
摘要：We find that firms are the primary sellers who clear the market for index fund buying, providing shares at a nearly one-for-one rate. Most demand-side institutions trade in the same direction as index funds rather than accommodating passive demand. We use two instruments for index fund demand and show that firms causally respond to exogenous passive demand, with prices serving as the coordinating mechanism. Firms satisfy passive demand mostly through nonprimary market issuance, for example, th...
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作者：Driessen, Joost; Ebert, Sebastian; Koeter, Joren
作者单位：Tilburg University; Ruprecht Karls University Heidelberg; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We propose a new asset pricing model that generalizes the mean-variance framework by including probability weighting, specifically the overweighting of rare, high-impact events. Our model-the $ \Pi $-CAPM-generates several new predictions: (i) skewness has a positive price effect, amplified by volatility; (ii) the price effect of volatility is negative for left-skewed assets but positive for right-skewed assets; and (iii) option-implied variance premiums for stocks have a U-shaped relation to ...
