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Corporate Climate Risk: Measurements and Responses
Social Science Research Network, 2020This 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
A Theory of the Term Structure of Interest Rates under Limited Household Risk Sharing
Social Science Research Network, 2021We present a theory in which the interaction between limited sharing of idiosyncratic labor income risk and labor adjustment costs (that endogenously arise through search frictions) determines interest rate dynamics.
Indrajit Mitra, Yu Xu
semanticscholar +1 more source
Work From Home and the Office Real Estate Apocalypse
Social Science Research Network, 2022We 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
Institutional Corporate Bond Pricing
The Review of financial studiesWe propose an equilibrium corporate bond pricing model that accommodates the heterogeneity in institutional investors’ preferences and mandates in an empirically tractable way.
Lorenzo Bretscher +3 more
semanticscholar +1 more source
In Safe Hands: The Financial and Real Impact of Investor Composition over the Credit Cycle
The Review of financial studiesI show that investor composition affects bond price dynamics and capital allocation during crises. Using large-scale holdings data and within-firm ownership variation across near-identical bonds, I causally identify bond returns’ investor composition ...
Antonio Coppola
semanticscholar +1 more source
The New Keynesian Model and Bond Yields
Journal of Financial and Quantitative AnalysisThis paper presents a New Keynesian model to capture the linkages between macro fundamentals and the nominal yield curve. The model explains bond yields with a low level of news in expected ination and plausible term premia.
M. M. Andreasen
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Predicting Future Earnings Changes Using Machine Learning and Detailed Financial Data
Journal of Accounting Research, 2022We use machine learning methods and high-dimensional detailed financial data to predict the direction of one-year-ahead earnings changes. Our models show significant out-of-sample predictive power: the area under the Receiver Operating Characteristics ...
XI CHEN +3 more
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
The ECB's Asset Purchase Programme: An Early Assessment
Social Science Research Network, 2016This paper analyses the effects of the European Central Bank's expanded asset purchase programme (APP) on yields and on the macroeconomy, and sheds some light on its transmission channels.
P. Andrade +4 more
semanticscholar +1 more source
The Fed and the Secular Decline in Interest Rates
The Review of financial studiesThis paper documents a striking fact: a narrow window around Fed meetings captures the entire secular decline in U.S. Treasury yields. Yield movements outside this window are transitory and wash out over time.
Sebastian Hillenbrand
semanticscholar +1 more source