Similar Search Results

Bali, Turan G.; Kelly, Bryan T.; Mörke, Mathis; … - National Bureau of Economic Research - 2023

machine learning model specifications. Each investor forms return forecasts from their own specific model using data inputs … that are available to all investors. We measure disagreement as dispersion in forecasts across investor-models. Our measure … aligns with extant measures of disagreement (e.g., analyst forecast dispersion), but is a significantly stronger predictor of …

Persistent link: https://www.econbiz.de/10014337816

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

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

on policing products and no effect of exposure to narratives about the protests on forecast alignment. National data show …

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

Recent Developments in Financial Risk and the Real Economy

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

This paper reviews recent developments in macro and finance on the relationship between financial risk and the real economy. We focus on three specific topics: the term structure of uncertainty, time variation - and specifically the long-term decline - in the variance risk premium, and time...

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

Supply and Demand and the Term Structure of Interest Rates

Greenwood, Robin; Hanson, Samuel G.; Vayanos, Dimitri - National Bureau of Economic Research - 2023

We survey the growing literature emphasizing the role that supply-and-demand forces play in shaping the term structure of interest rates. Our starting point is the Vayanos and Vila (2009, 2021) model of the term structure of default-free bond yields, which we present in both discrete and...

Persistent link: https://www.econbiz.de/10014437010

Sequential Search for Corporate Bonds

Kargar, Mahyar; Lester, Benjamin; Plante, Sébastien; … - National Bureau of Economic Research - 2023

. Leveraging data from the leading trading platform for corporate bonds, we offer evidence about the search process: we analyze … analysis offers insights into the sources of trading delays in OTC markets …

Persistent link: https://www.econbiz.de/10014437035

Portfolio Management in Private Equity

Brown, Gregory W.; Fei, Celine Yue; Robinson, David T. - National Bureau of Economic Research - 2023

General Partners (GPs) in private equity face a trade-off between focusing their skills and effort on fewer investments to earn higher returns, or investing more broadly to reduce risk through diversification. Using a novel, deal-level dataset of 5,925 global investments from 1999 to 2016, we...

Persistent link: https://www.econbiz.de/10014372421

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 expectations at different horizons reveal what investors think their own short-term expectations will be in the future, or forward return expectations. While contemporaneous short-term...

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

Complexity in Factor Pricing Models

Didisheim, Antoine; Ke, Shikun; Kelly, Bryan T.; … - National Bureau of Economic Research - 2023

We theoretically characterize the behavior of machine learning asset pricing models. We prove that expected out-of-sample model performance--in terms of SDF Sharpe ratio and test asset pricing errors--is improving in model parameterization (or "complexity"). Our empirical findings verify the...

Persistent link: https://www.econbiz.de/10014372446

Artificial Intelligence Asset Pricing Models

Kelly, Bryan T.; Kuznetsov, Boris; Malamud, Semyon; Xu, … - National Bureau of Economic Research - 2025

The core statistical technology in artificial intelligence is the large-scale transformer network. We propose a new asset pricing model that implants a transformer in the stochastic discount factor. This structure leverages conditional pricing information via cross-asset information sharing and...

Persistent link: https://www.econbiz.de/10015194996

Financial Conditions Targeting

Caballero, Ricardo J.; Caravello, Tomás E.; Simsek, Alp - National Bureau of Economic Research - 2024

We present evidence that noisy financial flows influence financial conditions and macroeconomic activity. How should monetary policy respond to this noise? We develop a model where it is optimal for the central bank to target and (partially) stabilize financial conditions beyond their direct...

Persistent link: https://www.econbiz.de/10015145157