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Recent Developments in Financial Risk and the Real Economy

Dew-Becker, Ian; Giglio, Stefano - National Bureau of Economic Research - 2023

-term decline - in the variance risk premium, and time variation in conditional skewness. We also introduce two new data series …: implied volatility from one-day options on grains for the period 1906-1936, and on cliquet options, which provide insurance …-dated options. Finally, we discuss new avenues for future research …

Persistent link: https://www.econbiz.de/10014437009

Forward Return Expectations

Gandhi, Mihir; Gormsen, Niels; Lazarus, Eben - National Bureau of Economic Research - 2023

We measure investors' short- and long-term stock-return expectations using both options and survey data. These …

Persistent link: https://www.econbiz.de/10014372444

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

No Ground Truth? : No Problem : Improving Administrative Data Linking Using Active Learning and a Little Bit of Guile

Tahamont, Sarah; Jelveh, Zubin; McNeill, Melissa; Yan, Shi - National Bureau of Economic Research - 2023

While linking records across large administrative datasets ["big data"] has the potential to revolutionize empirical social science research, many administrative data files do not have common identifiers and are thus not designed to be linked to others. To address this problem, researchers have...

Persistent link: https://www.econbiz.de/10014250118

Bond Market Views of the Fed

Bocola, Luigi; Dovis, Alessandro; Jørgensen, Kasper; … - National Bureau of Economic Research - 2024

This paper uses high frequency data to detect shifts in financial markets' perception of the Federal Reserve stance on inflation. We construct daily revisions to expectations of future nominal interest rates and inflation that are priced into nominal and inflation-protected bonds, and find that...

Persistent link: https://www.econbiz.de/10014576649

Analyst Bias and Mispricing

Grinblatt, Mark; Jostova, Gergana; Philipov, Alexander - National Bureau of Economic Research - 2023

Cross-sectional forecasts of conservative and optimistic biases in analyst earnings estimates predict a stock's future returns, especially for firms that are hard to value. Trading strategies--whether based on the component of analyst bias that is correlated with major return anomalies or the...

Persistent link: https://www.econbiz.de/10014248012

Equity Term Structures without Dividend Strips Data

Giglio, Stefano; Kelly, Bryan T.; Kozak, Serhiy - National Bureau of Economic Research - 2023

We use a large cross-section of equity returns to estimate a rich affine model of equity prices, dividends, returns and their dynamics. Using the model, we price dividend strips of the aggregate market index, as well as any other well-diversified equity portfolio. We do not use any dividend...

Persistent link: https://www.econbiz.de/10014250137

Segmented Arbitrage

Siriwardane, Emil N.; Sunderam, Adi; Wallen, Jonathan L. - National Bureau of Economic Research - 2022

We use arbitrage activity in equity, fixed income, and foreign exchange markets to characterize the frictions and constraints facing intermediaries. The average pairwise correlation between the 29 arbitrage spreads that we study is 21%. These low correlations are inconsistent with canonical...

Persistent link: https://www.econbiz.de/10013435123

Real-Time Forward-Looking Skewness over the Business Cycle

Dew-Becker, Ian - National Bureau of Economic Research - 2022

This paper measures option-implied skewness for individual firms and the overall stock market between 1980 and 2021 …, giving real-time measures of conditional micro and macro skewness. There are three key results: 1. Micro skewness is … significantly procyclical, while macro skewness is acyclical; 2. Micro skewness leads the business cycle and is strongly linked to …

Persistent link: https://www.econbiz.de/10013388834

Strategic Real Option Exercising and Second-mover Advantage

Dai, Min; Jiang, Zhaoli; Wang, Neng - National Bureau of Economic Research - 2022

their entry options too soon (Grenadier, 1996). We obtain closed-form value functions and entry strategies for both mixed …

Persistent link: https://www.econbiz.de/10013334369