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A Test of the Efficiency of a Given Portfolio in High Dimensions

Chernov, Mikhail; Kelly, Bryan T.; Malamud, Semyon; … - National Bureau of Economic Research - 2025

We generalize the seminal Gibbons-Ross-Shanken test to the empirically relevant case where the number of test assets far exceeds the number of observations. In such a setting, one needs to use a regularized estimator of the covariance matrix of test assets, which leads to biases in the original...

Persistent link: https://www.econbiz.de/10015361441

AI-Powered (Finance) Scholarship

Novy-Marx, Robert; Velikov, Mihail Z. - National Bureau of Economic Research - 2025

This paper describes a process for automatically generating academic finance papers using large language models (LLMs). It demonstrates the process' efficacy by producing hundreds of complete papers on stock return predictability, a topic particularly well-suited for our illustration. We first...

Persistent link: https://www.econbiz.de/10015195009

Global Natural Rates in the Long Run : Postwar Macro Trends and the Market-Implied r* in 10 Advanced Economies

Davis, Joshua M.; Fuenzalida, Cristian; Huetsch, Leon; … - National Bureau of Economic Research - 2023

Benchmark finance and macroeconomic models appear to deliver conflicting estimates of the natural rate and bond risk …* and π*, and not bond risk premia. Global components of unexpected bond returns are influential, while the local components …

Persistent link: https://www.econbiz.de/10014421212

Wealth Inequality, Labor Market Arrangements and the Secular Decline in the Real Interest Rate

Donaldson, John B.; Kim, Hyung Seok; Mehra, Rajnish - National Bureau of Economic Research - 2025

We develop a dynamic macroeconomic model in which the secular decline in real interest rates arises endogenously from rising wealth inequality. Challenging the standard "safe asset shortage" hypothesis, the model shows how falling real rates can coexist with a stable safe asset ratio--closely...

Persistent link: https://www.econbiz.de/10015438241

Is Physical Climate Risk Priced? Evidence from Regional Variation in Exposure to Heat Stress

Acharya, Viral V.; Johnson, Tim; Sundaresan, Suresh M.; … - National Bureau of Economic Research - 2022

We exploit regional variations in exposure to heat stress to study if physical climate risk is priced in municipal and … little effect for investment grade bond spreads, and with conditional expected returns on stocks that are higher by around 45 …

Persistent link: https://www.econbiz.de/10013388801

Aggregate Lapsation Risk

Koijen, Ralph S. J.; Lee, Hae Kang; Nieuwerburgh, Stijn van - National Bureau of Economic Research - 2022

We study aggregate lapsation risk in the life insurance sector. Using the regulatory reporting of historical lapse … risk factors that explain a large fraction of the common variation in lapse rates of the 30 largest life insurance … examine the heterogeneity in risk factor exposures based on policy and policyholder characteristics. Young policyholders with …

Persistent link: https://www.econbiz.de/10013334405

Financial Returns to Household Inventory Management

Baker, Scott - 2020

Households tend to hold substantial amounts of non-financial assets in the form of inventory. Households can obtain significant financial returns from strategic shopping and optimally managing these inventories of consumer goods. In addition, they choose to maintain liquid savings - household...

Persistent link: https://www.econbiz.de/10012481288

The Power Asymmetry in Fuzzy Regression Discontinuity Designs

Kaliski, Daniel; Keane, Michael P.; Neal, Timothy - National Bureau of Economic Research - 2025

In a fuzzy regression discontinuity (RD) design, the probability of treatment jumps when a running variable (R) passes a threshold (R0). Fuzzy RD estimates are obtained via a procedure analogous to two-stage least squares (2SLS), where an indicator I(R R0) plays the role of the instrument....

Persistent link: https://www.econbiz.de/10015421923

How Credible is the Credibility Revolution?

Lang, Kevin - National Bureau of Economic Research - 2023

When economists analyze a well-conducted RCT or natural experiment and find a statistically significant effect, they conclude the null of no effect is unlikely to be true. But how frequently is this conclusion warranted? The answer depends on the proportion of tested nulls that are true and the...

Persistent link: https://www.econbiz.de/10014372423

Identification of Non-Additive Fixed Effects Models : Is the Return to Teacher Quality Homogeneous?

Hahn, Jinyong; Singleton, John D.; Yildiz, Neşe - National Bureau of Economic Research - 2023

Panel or grouped data are often used to allow for unobserved individual heterogeneity in econometric models via fixed effects. In this paper, we discuss identification of a panel data model in which the unobserved heterogeneity both enters additively and interacts with treatment variables. We...

Persistent link: https://www.econbiz.de/10014322772