Narrow search
Showing 1 - 10 of 1,074
Cover Image
Risk-On Risk-Off : A Multifaceted Approach to Measuring Global Investor Risk Aversion
Chari, Anusha; Stedman, Karlye Dilts; Lundblad, Christian - National Bureau of Economic Research - 2023
This paper defines risk-on risk-off (RORO), an elusive terminology in pervasive use, as the variation in global investor risk aversion. Our high-frequency RORO index captures time-varying investor risk appetite across multiple dimensions: advanced economy credit risk, equity market volatility,...
Persistent link: https://www.econbiz.de/10014437038
Cover Image
What Drives Investors' Portfolio Choices? Separating Risk Preferences from Frictions
Choukhmane, Taha; De Silva, Tim - National Bureau of Economic Research - 2024
retirement accounts are due to participation frictions rather than non-standard preferences such as loss aversion …
Persistent link: https://www.econbiz.de/10014544754
Cover Image
Non-Fundamental Flows and Foreign Exchange Rates
Aldunate, Felipe E.; Da, Zhi; Larrain, Borja; Sialm, Clemens - National Bureau of Economic Research - 2022
Frequent, yet uninformed, fund flows in Chilean pension plans generate substantial trading in currency markets due to the high allocation to international securities. These non-fundamental flows have a significant impact on the Chilean peso, which is estimated to have a relatively low price...
Persistent link: https://www.econbiz.de/10013477245
Cover Image
Enhancing the Efficacy of Teacher Incentives through Loss Aversion : A Field Experiment
Fryer, Roland G, Jr - 2012
this paper, we demonstrate that exploiting the power of loss aversion--teachers are paid in advance and asked to give back … arm, identical to the loss aversion treatment but implemented in the standard fashion, yields smaller and statistically … insignificant results. This suggests it is loss aversion, rather than other features of the design or population sampled, that leads …
Persistent link: https://www.econbiz.de/10012460423
Cover Image
Mental Accounting, Loss Aversion, and Individual Stock Returns
Barberis, Nicholas - 2001
We study equilibrium firm-level stock returns in two economies: one in which investors are loss averse over the … fluctuations of their stock portfolio and another in which they are loss averse over the fluctuations of individual stocks that …
Persistent link: https://www.econbiz.de/10012470536
Cover Image
Can Myopic Loss Aversion Explain the Equity Premium Puzzle? Evidence from a Natural Field Experiment with Professional Traders
Larson, Francis - 2016
combining myopia and loss aversion. Complementing the behavioral theory is evidence from laboratory experiments, which provide … strong empirical support consistent with myopic loss aversion (MLA). Yet, whether, and to what extent, such preferences …
Persistent link: https://www.econbiz.de/10012456074
Cover Image
Divestment and Engagement : The Effect of Green Investors on Corporate Carbon Emissions
Kahn, Matthew E.; Matsusaka, John G.; Shu, Chong - National Bureau of Economic Research - 2023
This paper studies whether green investors can influence corporate greenhouse gas emissions through capital markets, either by divesting their stock and limiting polluters' access to capital, or holding polluters' stock and engaging with management. We focus on public pension funds, classifying...
Persistent link: https://www.econbiz.de/10014421217
Cover Image
Dollar Shortages, CIP Deviations, and the Safe Haven Role of the Dollar
Bacchetta, Philippe; Davis, Scott; Van Wincoop, Eric - National Bureau of Economic Research - 2023
Since 2007, an increase in risk or risk aversion has resulted in a US dollar appreciation and greater deviations from covered interest parity (CIP). In contrast, prior to 2007, risk had no impact on the dollar, and CIP held. To explain these phenomena, we develop a two-country model featuring...
Persistent link: https://www.econbiz.de/10014447258
Cover Image
Dollar Asset Holdings and Hedging Around the Globe
Du, Wenxin; Huber, Amy W. - National Bureau of Economic Research - 2024
We analyze a large number of industry- and company-level filings of global institutional investors to provide the first comprehensive estimate of foreign investors' U.S. dollar (USD) security holdings and currency hedging practices. We document four stylized facts. First, driven by increasing...
Persistent link: https://www.econbiz.de/10014544731
Cover Image
When do Treasuries Earn the Convenience Yield? : A Hedging Perspective
Acharya, Viral V.; Laarits, Toomas - National Bureau of Economic Research - 2023
We document that the convenience yield of U.S. Treasuries exhibits properties that are consistent with a hedging perspective of safe assets. The convenience yield tends to be low when the covariance of Treasury returns with the aggregate stock market returns is high. A decomposition of the...
Persistent link: https://www.econbiz.de/10014436994