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Machine Forecast Disagreement
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
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Decision Fatigue and Heuristic Analyst Forecasts
Hirshleifer, David - 2018
firms and often issue several forecasts in a single day. We find that forecast accuracy declines over the course of a day as … the number of forecasts the analyst has already issued increases. Also consistent with decision fatigue, we find that the … closely with the consensus forecast, by self-herding (i.e., reissuing their own previous outstanding forecasts), and by …
Persistent link: https://www.econbiz.de/10012453421
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Corporate Social Responsibility
Hong, Harrison G.; Shore, Edward P. - National Bureau of Economic Research - 2022
Is shareholder interest in corporate social responsibility driven by pecuniary motives (abnormal rates of return) or non-pecuniary ones (willingness to sacrifice returns to address various firm externalities)? To answer this question, we categorize the literature into seven tests: (1) costs of...
Persistent link: https://www.econbiz.de/10013477263
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Leverage and Stablecoin Pegs
Gorton, Gary; Klee, Elizabeth; Ross, Chase P.; Ross, … - National Bureau of Economic Research - 2022
Money is debt that circulates with no questions asked. Stablecoins are a new form of private money that circulate with many questions asked. We show how stablecoins can maintain a constant price even though they face run risk and pay no interest. Stablecoin holders are indirectly compensated for...
Persistent link: https://www.econbiz.de/10013477289
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Long Term Expectations and Aggregate Fluctuations
Bordalo, Pedro; Gennaioli, Nicola; La Porta, Rafael; … - National Bureau of Economic Research - 2023
In line with Keynes' intuition, volatility in the stock market and in real economic activity are linked by expectations of long term profits. We show that analysts' optimism about the long term earnings growth of S&P 500 firms is associated with a near term boom in major US financial markets,...
Persistent link: https://www.econbiz.de/10014337811
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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
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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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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
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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
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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