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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：Ozdagli, Ali; Weber, Michael
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Dallas; Purdue University System; Purdue University; National Bureau of Economic Research
摘要：We study the importance of production networks for the transmission of monetary policy using the stock market reaction as laboratory. We attribute 55% to 85% of the overall response to network effects. Large network effects are a robust feature of the data; we document similar patterns in realized fundamentals. Matching sparsity and the first two outdegrees industry-by-industry can explain large network effects. A simple model with intermediate inputs predicts the reaction of stock returns fol...
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作者：Jha, Manish; Liu, Hongyi; Manela, Asaf
作者单位：University System of Georgia; Georgia State University; Washington University (WUSTL)
摘要：We measure popular sentiment toward finance by applying a large language model to millions of books published in eight countries over hundreds of years. We extensively validate this measure both internally and externally. We document persistent differences in finance sentiment across countries despite ample time-series variation. Books written in the languages of more capitalist countries discuss finance in a more positive context. Finance sentiment is correlated with survey-based measures of ...
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作者：Antolin-Diaz, Juan; Petrella, Ivan; Rubio-Ramirez, Juan
作者单位：Massachusetts Institute of Technology (MIT); Collegio Carlo Alberto; University of Turin; Emory University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
摘要：A long tradition in macro-finance studies the dynamics of aggregate stock returns and dividends using vector autoregressions, imposing the restrictions implied by the Campbell-Shiller (CS) identity to sharpen inference. We develop Bayesian methods that encode a priori skepticism about return predictability while imposing the restrictions. We highlight that persistence in dividend growth induces dividend momentum, a previously overlooked channel for return predictability. By combining Bayesian ...
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作者：O'Hara, Maureen; Rapp, Andreas C.; Zhou, Xing (Alex)
作者单位：Cornell University; Federal Reserve System - USA; Southern Methodist University
摘要：We examine the role of insurance companies in supporting resiliency in the corporate bond market. We show that during the COVID-19 liquidity crisis, insurers increased their corporate bond positions, particularly in bonds facing fire sales by mutual funds. Insurers with more stable funding were more likely to buy, and they bought more from dealers with whom they had prior trading relationships. Dealers improved their bond liquidity provision when they had trading relationships with insurers wi...
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作者：Eisenbach, Thomas M.; Phelan, Gregory
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Williams College
摘要：In March 2020, safe asset markets experienced surprising and unprecedented price crashes. We explain how strategic investor behavior can create such market fragility in a model with investors valuing safety, investors valuing liquidity, and constrained dealers. While safety investors and liquidity investors can form a symbiotic relationship with offsetting trades during times of stress, strategic interactions among liquidity investors harbor the potential for self-fulfilling fragility. When th...
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作者：van Binsbergen, Jules H.; Han, Xiao; Lopez-Lira, Alejandro
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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：Ozdagli, Ali; Weber, Michael
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Dallas; Purdue University System; Purdue University; National Bureau of Economic Research
摘要：We study the importance of production networks for the transmission of monetary policy using the stock market reaction as laboratory. We attribute 55% to 85% of the overall response to network effects. Large network effects are a robust feature of the data; we document similar patterns in realized fundamentals. Matching sparsity and the first two outdegrees industry-by-industry can explain large network effects. A simple model with intermediate inputs predicts the reaction of stock returns fol...
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作者：Jha, Manish; Liu, Hongyi; Manela, Asaf
作者单位：University System of Georgia; Georgia State University; Washington University (WUSTL)
摘要：We measure popular sentiment toward finance by applying a large language model to millions of books published in eight countries over hundreds of years. We extensively validate this measure both internally and externally. We document persistent differences in finance sentiment across countries despite ample time-series variation. Books written in the languages of more capitalist countries discuss finance in a more positive context. Finance sentiment is correlated with survey-based measures of ...
