Results 1 to 10 of about 84,200 (47)

Are bond returns predictable with real-time macro data?

Journal of Econometrics, 2023
We examine whether bond returns are predictable with real-time macro variables by using two supervised learning methods, scaled PCA (sPCA) and partial least squares (PLS) instead of the usual PCA.
Dashan Huang, Fuwei Jiang, Kunpeng Li, Guoshi Tong, Guofu Zhou   +4 more
semanticscholar   +1 more source

Bank Competition and Bargaining over Refinancing

Social Science Research Network
We model mortgage refinancing as a bargaining game involving the borrowing household, the incumbent lender, and outside banks. We show that bargaining can provide a competitive advantage to the incumbent bank.
M. Emiris, Francois Koulischer, Christophe Spaenjers   +2 more
semanticscholar   +1 more source

The Value of Growth: Changes in Profitability and Future Stock Returns

Journal of Banking & Finance, 2023
The dividend-discount model predicts a positive relation between expected changes in a firm’s profitability, or profitability growth, and stock returns. We find this prediction to be borne out in the data. Across U.S.
Bryan Lim, Juan Sotes-Paladino, J. Wang, Yaqiong Yao   +3 more
semanticscholar   +1 more source

Assessing Bitcoin and Gold as Safe Havens Amid Global Uncertainties: A Rolling Window DCC-GARCH Analysis

NMIMS Management Review
We examine the roles of Gold and Bitcoin as a hedge, a safe haven, and a diversifier against the coronavirus disease 2019 (COVID-19) pandemic and the Ukraine War.
Anoop S Kumar, Meera Mohan, P. S. Niveditha   +2 more
semanticscholar   +1 more source

Return Predictability, Expectations, and Investment: Experimental Evidence

The Review of financial studies
In an investment experiment, we show variations in information afect 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 ...
Marianne Andries, Milo Bianchi, Karen Huynh, S. Pouget   +3 more
semanticscholar   +1 more source

The Gender Gap in Household Bargaining Power: A Revealed-Preference Approach

The Review of financial studies
When members of the same household have different risk preferences, whose preference matters more for investment decisions and why? We propose an intrahousehold model that aggregates individual preferences at the household level as a result of ...
Ran Gu, Cameron Peng, Weilong Zhang
semanticscholar   +1 more source

The Gender Investment Gap over the Life Cycle

The Review of financial studies
Single women invest less in risky assets than do single men. This paper analyzes the determinants of the “gender investment gap” based on a structural life-cycle framework.
A. Bacher
semanticscholar   +1 more source

Designing Pension Plans According to Consumption-Savings Theory

The Review of financial studies
We derive optimal characteristics of contribution rates into defined contribution pension plans based on consumption-savings theory. Contribution rates should increase with age and decrease with the balance-to-income ratio. Using Swedish registry data,
Kathrin Schlafmann, Ofer Setty, Roine Vestman   +2 more
semanticscholar   +1 more source

Innovation in Decentralized Markets: Technology versus Synthetic Products

American Economic Journal: Microeconomics
Advances in market-clearing technology for multiple assets and synthetic products present alternative ways to leverage complementarities and substitutabilites in asset payoffs. This paper compares their equilibrium and welfare effects.
M. Rostek, J. Yoon
semanticscholar   +1 more source

The Geography of Investor Attention

Social Science Research Network
Local companies attract significantly more attention from investors than nonlocal companies, especially at times of news releases and high volatility.
Stefano Mengoli, M. Pagano, Pierpaolo Pattitoni   +2 more
semanticscholar   +1 more source