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Identifying Shocks to Systematic Risk in Times of Crisis

Boudoukh, Jacob; Liu, Yukun; Moskowitz, Tobias J.; … - National Bureau of Economic Research - 2024

We characterize how risk evolves during a crisis. Using high-frequency data, we find that the first two principal components (PCs) of the covariance matrix of global asset returns experience large, sudden, and temporary spikes coinciding with well-known crises - Covid-19 pandemic, Global...

Persistent link: https://www.econbiz.de/10014635656

Monetary Policy without Moving Interest Rates : The Fed Non-Yield Shock

Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2024

-announcement times. We use a heteroskedasticity-based procedure to estimate a "Fed non-yield shock", which is orthogonal to yield changes … and is identified from excess volatility in the S&P 500 and various dollar exchange rates. A positive non-yield shock …-yield shock is essentially uncorrelated with previous monetary policy shocks and its effects are large in comparison. Its strong …

Persistent link: https://www.econbiz.de/10014576665

Dark Trading at the Midpoint : Pricing Rules, Order Flow, and High Frequency Liquidity Provision

Bartlett, Robert P, III. - 2015

Using over eight trillion observations of market data, we use a regression discontinuity design to analyze the effect of increasing the minimum price variation (MPV) for quoting equity securities in light of recent proposals to increase the MPV from $0.01 to $0.05. We show that a larger MPV...

Persistent link: https://www.econbiz.de/10012457381

High Frequency Traders : Taking Advantage of Speed

Aït-Sahalia, Yacine - 2013

We propose a model of dynamic trading where a strategic high frequency trader receives an imperfect signal about future order flows, and exploits his speed advantage to optimize his quoting policy. We determine the provision of liquidity, order cancellations, and impact on low frequency traders...

Persistent link: https://www.econbiz.de/10012459130

The Disappearing Index Effect

Greenwood, Robin; Sammon, Marco C. - National Bureau of Economic Research - 2022

The abnormal return associated with a stock being added to the S&P 500 has fallen from an average of 3.4% in the 1980s and 7.6% in the 1990s to 0.8% over the past decade. This has occurred despite a significant increase in the percentage of stock market assets linked to the index. A similar...

Persistent link: https://www.econbiz.de/10013477240

Long Term Expectations and Aggregate Fluctuations

Bordalo, Pedro; Gennaioli, Nicola; La Porta, Rafael; … - National Bureau of Economic Research - 2023

In line with Keynes' intuition, volatility in the stock market and in real economic activity are linked by expectations of long term profits. We show that analysts' optimism about the long term earnings growth of S&P 500 firms is associated with a near term boom in major US financial markets,...

Persistent link: https://www.econbiz.de/10014337811

Forecasting the Impact of Racial Uprisings, Market versus Stakeholders' Expectations

Ba, Bocar A.; Rivera, Roman; Whitefield, Alexander - National Bureau of Economic Research - 2023

Given police abolitionism's new visibility after the 2020 racial justice protests, we assess stakeholder beliefs on the protests' stock impacts on police-affiliated firms. Experts generally underestimate the firms' stock gains, except situated experts like community organizers and police...

Persistent link: https://www.econbiz.de/10014436988

War Discourse and Disaster Premia : 160 Years of Evidence from Stock and Bond Markets

Hirshleifer, David; Mai, Dat; Pukthuanthong, Kuntara - National Bureau of Economic Research - 2023

Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse...

Persistent link: https://www.econbiz.de/10014287305

How Rigged Are Stock Markets? : Evidence From Microsecond Timestamps

Bartlett, Robert P, III. - 2016

We use new timestamp data from the two Securities Information Processors (SIPs) to examine SIP reporting latencies for quote and trade reports. Reporting latencies average 1.13 milliseconds for quotes and 22.84 milliseconds for trades. Despite these latencies, liquidity-taking orders gain on...

Persistent link: https://www.econbiz.de/10012456128

Using Social Media to Identify the Effects of Congressional Partisanship on Asset Prices

Bianchi, Francesco; Kung, Howard; Cram, Roberto Gómez - National Bureau of Economic Research - 2021

We measure the individual and collective viewpoints of US Congress members on various economic policies by scraping their Twitter accounts. Tweets that criticize (support) a particular company are associated with a significant negative (positive) stock price reaction in a narrow time window...

Persistent link: https://www.econbiz.de/10012510628

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