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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
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
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 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
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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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
Analyst Coverage and Expected Crash Risk: Evidence from Exogenous Changes in Analyst Coverage
Accounting Review, 2018Using brokerage mergers and closures as two sources of exogenous shock to analyst coverage, this study explores the causal effect of analyst coverage on ex ante expected crash risk as captured by the options implied volatility smirk.
Jeong‐Bon Kim, L. Lu, Yangxin Yu
semanticscholar +1 more source
Optimal Security Design for Risk-Averse Investors
The American Economic ReviewWe use the tools of mechanism design combined with the theory of risk measures to analyze how a cash-constrained owner of an asset with known, stochastic returns raises capital from a population of investors who differ in their risk aversion and budget ...
Alex Gershkov +3 more
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