Results 1 to 10 of about 78,464 (44)

Short- and Long-Horizon Behavioral Factors

The Review of financial studies, 2017
We propose a theoretically motivated factor model based on investor psychology and assess its ability to explain the cross-section of U.S. equity returns. Our factor model augments the market factor with two factors that capture long- and short-horizon
Kent Daniel, D. Hirshleifer, Lin Sun
semanticscholar   +1 more source

Working Remotely and the Supply-Side Impact of COVID-19

Review of Asset Pricing Studies, 2020
We analyze the supply-side disruptions associated with COVID-19. We find that sectors in which a higher fraction of the workforce is not able to work remotely experienced greater declines in employment and expected revenue growth, worse stock market ...
D. Papanikolaou, Lawrence D. W. Schmidt
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

Global Political Uncertainty and Asset Prices

The Review of financial studies, 2019
We show that global political uncertainty, measured by the U.S. election cycle, on average, leads to a fall in equity returns in fifty non-U.S. countries.
Jonathan Brogaard, Lili Dai, P. Ngo, Bohui Zhang   +3 more
semanticscholar   +1 more source

Monetary Policy, Segmentation, and the Term Structure

Social Science Research Network
We develop a segmented markets model which rationalizes the effects of monetary policy on the term structure of interest rates. As in the preferred habitat tradition, habitat investors and arbitrageurs trade bonds of various maturities.
Rohan Kekre, Moritz Lenel, F. Mainardi
semanticscholar   +1 more source

Optimal Inference for Spot Regressions

Social Science Research Network
Betas from return regressions are commonly used to measure systematic financial market risks. “Good” beta measurements are essential for a range of empirical inquiries in finance and macroeconomics.
Tim Bollerslev, Jia Li, Yuexuan Ren
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, Ji Hee 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

The Relevance of the Value Relevance Literature for Financial Accounting Standard Setting

, 2000
Robert W. Holthausen, R. Watts
semanticscholar   +1 more source

Are Sticky Prices Costly? Evidence from the Stock Market

, 2013
Y. Gorodnichenko, Michael Weber
semanticscholar   +1 more source