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Benmelech, Efraim; Zator, Michal - National Bureau of Economic Research - 2022

data from Germany with information on firm-level automation decisions. Our findings suggest that the impact of robots on …, robot adoption by firms endogenously responds to labor scarcity, alleviating potential displacement of existing workers …

Persistent link: https://www.econbiz.de/10012814451

Industrial Robots, Workers' Safety, and Health

Gihleb, Rania; Giuntella, Osea; Stella, Luca; Wang, Tianyi - National Bureau of Economic Research - 2022

. Employing longitudinal data from Germany, we exploit within-individual changes in robot exposure and document that a one … establishment-level data on injuries, we find that a one standard deviation increase in our commuting zone-level measure of robot … to robot penetration experience a significant increase in drug- or alcohol-related deaths and mental health problems …

Persistent link: https://www.econbiz.de/10013334398

A Model of Momentum

Liu, Laura Xiaolei - 2011

Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...

Persistent link: https://www.econbiz.de/10012461911

On the Scholes Liquidation Problem

Brown, David B. - 2009

How should an investor unwind a portfolio in the face of recurring and uncertain liquidity needs? We propose a model of portfolio liquidation in two periods to investigate this question, initially posed by Myron Scholes following the fall of Long Term Capital Management. We show that when the...

Persistent link: https://www.econbiz.de/10012463269

Dynamic Trading with Predictable Returns and Transaction Costs

Garleanu, Nicolae B. - 2009

We derive a closed-form optimal dynamic portfolio policy when trading is costly and security returns are predictable by signals with different mean-reversion speeds. The optimal strategy is characterized by two principles: 1) aim in front of the target and 2) trade partially towards the current...

Persistent link: https://www.econbiz.de/10012463444

Liquidity Shocks and Order Book Dynamics

Biais, Bruno - 2009

We propose a dynamic competitive equilibrium model of limit order trading, based on the premise that investors cannot monitor markets continuously. We study how limit order markets absorb transient liquidity shocks, which occur when a significant fraction of investors lose their willingness and...

Persistent link: https://www.econbiz.de/10012463640

Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds

Da, Zhi - 2008

We show that a mutual fund's "stock selection skill" computed using the Daniel, Grinblatt, Titman and Wermers (1997) procedure can be decomposed into additional components that include impatient "informed trading" and "liquidity provision," thereby helping us understand how a fund creates value....

Persistent link: https://www.econbiz.de/10012464038

High Frequency Market Microstructure Noise Estimates and Liquidity Measures

Ait-Sahalia, Yacine - 2008

Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate these statistical measurements of market microstructure...

Persistent link: https://www.econbiz.de/10012464822

What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation

Barberis, Nicholas - 2006

One of the most striking portfolio puzzles is the "disposition effect": the tendency of individuals to sell stocks in their portfolios that have risen in value since purchase, rather than fallen in value. Perhaps the most prominent explanation for this puzzle is based on prospect theory. Despite...

Persistent link: https://www.econbiz.de/10012466268

The Disposition Effect and Momentum

Grinblatt, Mark - 2002

Prior experimental and empirical research documents that many investors have a lower propensity to sell those stocks on which they have a capital loss. This behavioral phenomenon, known as 'the disposition effect,' has implications for equilibrium prices. We investigate the temporal pattern of...

Persistent link: https://www.econbiz.de/10012469981

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