Results 1 to 10 of about 87,674 (48)
Trade networks and firm value: Evidence from the U.S.-China trade war
Journal of International Economics, 2023 We study the financial implications of the 2018-2019 U.S.-China trade war for global supply chains. Around the dates when higher tariffs are announced, U.S.
Yi Huang +3 more
semanticscholar +1 more source
Corporate Climate Risk: Measurements and Responses
The Review of financial studiesThis paper conducts a textual analysis of earnings call transcripts to quantify climate risk exposure at the firm level. We construct dictionaries that measure physical and transition climate risks separately and identify firms that proactively respond
Qing Li +3 more
semanticscholar +1 more source
Short- and Long-Horizon Behavioral Factors
The Review of financial studies, 2019 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 D. Daniel +2 more
semanticscholar +1 more source
An Analysis of the Literature on International Unconventional Monetary Policy
Journal of Economic Literature, 2022 This paper evaluates the literature on international unconventional monetary policies (UMPs). Introducing market segmentation, limits-to-arbitrage, and time-consistent policy in standard models permits a theoretical role for UMP.
Saroj Bhattarai, Christopher J. Neely
semanticscholar +1 more source
Work From Home and the Office Real Estate Apocalypse
Social Science Research Network, 2022 We show remote work led to large drops in lease revenues, occupancy, and market rents in the commercial office sector. We revalue New York City office buildings, taking into account both the cash flow and discount rate implications of these shocks, and ...
Arpita Gupta +2 more
semanticscholar +1 more source
What Drives Variation in Investor Portfolios? Estimating the Roles of Beliefs and Risk Preferences†
The Review of financial studiesWe 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 ...
Mark L. Egan, A. Mackay, Hanbin Yang
semanticscholar +1 more source
Passive Investing and the Rise of Mega-Firms
The Review of financial studiesWe study how passive investing affects asset prices. Flows into passive funds disproportionately raise the stock prices of the economy’s largest firms, especially those large firms in high demand by noise traders.
Hao Jiang, Dimitri Vayanos, Luyao Zheng
semanticscholar +1 more source
Why does options market information predict stock returns?
Journal of Financial EconomicsSeveral influential studies show that options volatilities and trading volume predict stock returns. This predictability is puzzling because market participants can readily observe options market data.
D. Muravyev +2 more
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
Machine Learning for Continuous-Time Finance
Social Science Research NetworkWe develop an algorithm for solving a large class of nonlinear high-dimensional continuous-time models in finance. We approximate value and policy functions using deep learning and show that a combination of automatic differentiation and Ito’s lemma ...
Victor F. Duarte +2 more
semanticscholar +1 more source