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Narrative Asset Pricing : Interpretable Systematic Risk Factors from News Text

Bybee, Leland; Kelly, Bryan T.; Su, Yinan - 2021

We seek fundamental risks from news text. Conceptually, news is closely related to the idea of systematic risk, in … drives the current pricing kernel. This paper demonstrates a way to extract a parsimonious set of risk factors and eventually … attention allocated to different news narratives. As a result, the risk factors attain clear text-based interpretability as well …

Persistent link: https://www.econbiz.de/10013217295

Cross-sectional Examination of the Corporate Bond Market Performance - The Rise of the Momentum and Contrarian Unidentified Factor Mimicking Corporate Bond Portfolios!

Verma, Himanshu - 2020

We examine momentum and reversal anomalies in corporate bond returns at the firm-level employing a novel dataset, SoKat Credit, comprising bonds of 323 of the largest and liquid companies over the period from 2002 to 2020. Our study documents significant short-term reversal in the...

Persistent link: https://www.econbiz.de/10012823588

The Efficiency of Negotiations with Uncertainty and Multi-Dimensional Deals

Jackson, Matthew O. - 2020

We develop a theory of negotiation in which deals have multiple dimensions that can be bundled together. We use theory …

Persistent link: https://www.econbiz.de/10012852563

Threat of Entry and Organizational-Form Choice : The Case of Franchising in Retailing

Nishida, Mitsukuni - 2020

Retail expansion is led by multi-store firms, which often mix two organizational forms: franchised and company-owned outlets (“franchising decisions”). The authors examine whether strategic considerations in entry and expansion play a role in organizational-form decisions, such as...

Persistent link: https://www.econbiz.de/10012837738

Pricing Network Effects : Competition

Fainmesser, Itay P - 2019

This paper studies the practice of influencer marketing in oligopoly markets and its effect on market efficiency. We develop a duopoly model in which firms sell horizontally differentiated products. Consumers are influenced by other consumers' choices, and some consumers are more influential...

Persistent link: https://www.econbiz.de/10012902620

Market Concentration in Homebuilding

Cosman, Jacob - 2018

We investigate the impact of increasing concentration in local residential construction markets on housing production. We show that the increase in concentration in the past decade has led to lower production volume, fewer units in the production pipeline, and greater unit price volatility. Our...

Persistent link: https://www.econbiz.de/10012906374

Risk Premia, Asset Price Bubbles, and Monetary Policy

Jarrow, Robert - 2019

on prices, risk premia, asset price bubbles, and financial stability. Bubble risk premia arise from an interaction … adjusted risk and bubble risk premia increase. We propose a new framework for monetary policy with respect to bubbles. What … systemic risk. Policy implementation issues are discussed …

Persistent link: https://www.econbiz.de/10012866817

A Heuristic Approach to Explore : The Value of Perfect Information

Shahrokhi Tehrani, Shervin - 2019

How do people make choices in a dynamic stochastic environment when they face uncertainty about the return of their choices? The classical approach to this problem is to assume consumers use dynamic programming to obtain the optimal decision rule. However, this approach has two drawbacks. First,...

Persistent link: https://www.econbiz.de/10012870784

Tough Times Borrowing : Effects of Fringe Lending Regulation on Credit Standing, Search, and Access

Galperin, Roman V. - 2017

Poor access to credit has long been theorized to contribute to poverty and economic inequality. However, costly fringe credit products like payday loans may be even more harmful. Critics call for strict regulation of such products, while the empirical evidence on the effects of fringe borrowing...

Persistent link: https://www.econbiz.de/10012970595

Spectral Factor Models

Bandi, Federico M. - 2020

We represent risk factors as sums of orthogonal components capturing fluctuations with cycles of different length. The … representation leads to novel spectral factor models in which systematic risk is allowed (without being forced) to vary across … frequencies. Frequency-specific systematic risk is captured by a notion of spectral beta. We show that traditional factor models …

Persistent link: https://www.econbiz.de/10012851025