Results 31 to 40 of about 87,674 (48)
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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
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Short-Term Reversals and Longer-Term Momentum around the World: Theory and Evidence
The Review of financial studiesStock returns exhibit reversals at short horizons but slowly transition to momentum over longer horizons. To help understand this pattern, we develop a multiperiod model with short- and long-horizon noise traders, and active investors who underreact to
Narasimhan Jegadeesh +3 more
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Man versus Machine Learning Revisited
The Review of financial studiesBinsbergen, Han, and Lopez-Lira (2023) predict analysts’ forecast errors using a random forest model. A strategy that trades against this model’s predictions earns a monthly alpha of 1.54% (t-value = 5.84).
Ying-Guang Zhang +2 more
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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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Asset Pricing in the Information Age: Employee Expectations and Stock Returns
Review of Asset Pricing StudiesFirms with more positive employee expectations tend to earn higher future returns, delivering annualized abnormal returns ranging from 8% to 11%. Employees’ forward-looking expectations are a stronger return predictor than employee satisfaction, which ...
Jin-Fei Sheng
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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
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Effects of Credit Expansions on Stock Market Booms and Busts
The Review of financial studiesThere is causal evidence that mortgage credit expansions increase house prices. Does an expansion of margin lending increase stock prices? Because unconstrained arbitrageurs are more important for pricing stocks than homes, the impact is not obvious ...
Christopher Hansman +4 more
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Market-Wide Predictable Price Pressure
The American Economic ReviewWe demonstrate that predictable uninformed cash flows forecast aggregate market stock returns. Buying pressure from dividend payments (announced weeks prior) predicts higher value-weighted market returns, with returns for the top quintile of payment days
Samuel M. Hartzmark, David H. Solomon
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Common Pricing of Decentralized Risk: A Linear Option Pricing Model
The Review of financial studiesThis paper proposes a top-down linear option pricing model that unifies the pricing of different option contracts not by assuming common dynamics but by imposing common pricing on each risk source in proportion to decentralized risk estimates.
Liu-Ren Wu, Yu-Zhao Zhang
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Market Opacity and Fragility: Why Liquidity Evaporates When It Is Most Needed
The American Economic ReviewLack of market transparency can impair the liquidity provision of nonstandard liquidity suppliers and make liquidity demand increasing in illiquidity. This can yield strategic complementarities and induce multiple equilibria.
Giovanni Cespa, Xavier Vives
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