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Cross-Sectional Identification of Private Information

Review of Asset Pricing Studies
We propose a new private information measure based on a model of strategic trade optimization in the cross section of securities. Investors receive liquidity and private information shocks and optimize trading across securities, accounting for price ...
Dion Bongaerts   +2 more
semanticscholar   +1 more source

The Role of Taxes in the Rise of ETFs

The Review of financial studies
This paper argues that a lesser known yet economically significant tax-deferral feature of ETFs’ security design is crucial to their success. By relying on the in-kind redemption exemption, authorized participants help ETFs avoid distributing capital ...
R. Moussawi, Ke Shen, Raisa Velthuis
semanticscholar   +1 more source

Investment Option Switching Behaviour and Impact for Pension Fund Members Around the COVID Pandemic

Social Science Research Network
We study the switching of investment options by defined contribution pension fund members using a unique data set provided by a large Australian superannuation fund that spans the market volatility associated with the COVID-19 pandemic.
Adam Butt   +4 more
semanticscholar   +1 more source

Mutual Funds’ Strategic Voting on Environmental and Social Issues

Review of Finance
Environmental and social (ES) funds in non-ES families must balance incorporating the stakeholders’ interests they advertise and maximizing shareholder value favored by their families. We find that these funds support ES proposals that are far from the
Roni Michaely   +2 more
semanticscholar   +1 more source

Beliefs about the Stock Market and Investment Choices: Evidence from a Survey and a Field Experiment

The Review of financial studies
We survey retail investors at an online bank to study how beliefs about the autocorrelation of aggregate stock returns shape investment decisions measured in administrative account data.
Christine Laudenbach   +3 more
semanticscholar   +1 more source

The Effects of Macroeconomic Shocks: Household Financial Distress Matters

The Review of financial studies
When a macroeconomic shock arrives, variation in household balance sheet health (captured by the presence of financial distress, or “FD”) leads to differential access to credit and hence a distribution in consumption responses.
José Mustre-del-Ŕıo   +3 more
semanticscholar   +1 more source

Renewable Energy and Equilibrium Hedging in Electricity Forward Markets

Energy Journal
We study the impact of renewable energy on forward markets for electricity. Previous literature shows that forward prices are determined by time-varying demand and volatile spot prices.
Sebastian Schwenen, Karsten Neuhoff
semanticscholar   +1 more source

Financial Reporting and Consumer Behavior

Accounting Review
We show that financial reporting influences consumer behavior by drawing consumer attention to announcing firms. Analyzing global positioning system (GPS) data, we document upticks in foot traffic to firms’ commercial locations immediately following ...
Suzie Noh, Eric C. So, Christina Zhu
semanticscholar   +1 more source

Hazard Stocks and Expected Returns: JEL classification:G10, G11, G12

, 2021
Jared DeLisle   +3 more
semanticscholar   +1 more source

Equity Return Predictability with the ICAPM

Review of Asset Pricing Studies
This paper highlights a positive and significant beta-return relationship in high expected market return states, as suggested by the ICAPM. The ICAPM has strong out-of-sample predictive power for equity returns.
Michael Hasler, Charles Martineau
semanticscholar   +1 more source

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