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Information Leakage from Short Sellers
Chague, Fernando D.; Giovannetti, Bruno; Herskovic, Bernard - National Bureau of Economic Research - 2023
exchange, we identify information leakage from short sellers. Our identification strategy explores trading execution mismatches … lending market. We document that brokers learn about informed directional bets by intermediating securities lending agreements … and leak that information to their clients. We find evidence that the information leakage is intentional and that brokers …
Persistent link: https://www.econbiz.de/10014447248
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Empirical Tests of the Green Paradox for Climate Legislation
Norman, Maya A.; Schlenker, Wolfram - National Bureau of Economic Research - 2024
futures responded negatively to daily changes in the prediction market's expectations that the Waxman-Markey bill -- the US …
Persistent link: https://www.econbiz.de/10014544684
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Price Destabilizing Speculation : The Role of Strategic Limit Orders
Banerjee, Suman; Jagannathan, Ravi; Wang, Kai - National Bureau of Economic Research - 2023
Using a two-period model of a commodity market with a large number of atomistic consumers and two strategic sellers, we show that a speculator with access to storage can lower the market price while buying and raise the price while selling by clever use of limit, stop-loss, and market orders....
Persistent link: https://www.econbiz.de/10013537722
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Risk Preferences Implied by Synthetic Options
Dew-Becker, Ian; Giglio, Stefano - National Bureau of Economic Research - 2023
The historical returns on equity index options are well known to be strikingly negative. That is typically explained either by investors having convex marginal utility over stock returns (e.g. crash/variance aversion) or by intermediaries demanding a premium for hedging risk. This paper examines...
Persistent link: https://www.econbiz.de/10014436964
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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
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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
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Gold's Value as an Investment
Jermann, Urban J. - National Bureau of Economic Research - 2023
model is also able to capture key patterns of CME Comex gold futures prices from about 1990 onwards. The model implies that …
Persistent link: https://www.econbiz.de/10014322774
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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
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Analyst Bias and Mispricing
Grinblatt, Mark; Jostova, Gergana; Philipov, Alexander - National Bureau of Economic Research - 2023
returns, especially for firms that are hard to value. Trading strategies--whether based on the component of analyst bias that …
Persistent link: https://www.econbiz.de/10014248012
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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