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War Discourse and Disaster Premia : 160 Years of Evidence from Stock and Bond Markets
Hirshleifer, David; Mai, Dat; Pukthuanthong, Kuntara - National Bureau of Economic Research - 2023
Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse...
Persistent link: https://www.econbiz.de/10014287305
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Selection-Neglect in the NFT Bubble
Huang, Dong; Goetzmann, William N. - National Bureau of Economic Research - 2023
Using transaction data from a large non-fungible token (NFT) trading platform, this paper examines how the behavioral bias of selection-neglect interacts with extrapolative beliefs, accelerating the boom and delaying the crash in the recent NFT bubble. We show that the price-volume relationship...
Persistent link: https://www.econbiz.de/10014322885
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Monetary Policy and Asset Prices : A Look Back at Past U.S. Stock Market Booms
Bordo, Michael D. - 2004
This paper examines the economic environments in which past U.S. stock market booms occurred as a first step toward understanding how asset price booms come about and whether monetary policy should be used to defuse booms. We identify several episodes of sustained rapid rise in equity prices in...
Persistent link: https://www.econbiz.de/10012467986
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Business, Liquidity, and Information Cycles
Bostanci, Gorkem; Ordoñez, Guillermo - National Bureau of Economic Research - 2024
Stock markets play a dual role: help allocate capital by conveying information about firms' fundamentals and provide liquidity by quickly turning stocks into cash. We propose a trading model in which these two roles are endogenously related: more intensive use of stocks for liquidity affects...
Persistent link: https://www.econbiz.de/10014544779
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News Diffusion in Social Networks and Stock Market Reactions
Hirshleifer, David; Peng, Lin; Wang, Qiguang - National Bureau of Economic Research - 2023
We study how the social transmission of public news influences investors' beliefs and securities markets. Using an extensive dataset to measure investor social networks, we find that earnings announcements from firms in higher-centrality locations generate stronger immediate price and trading...
Persistent link: https://www.econbiz.de/10013537754
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Inflation and Treasury Convenience
Cieslak, Anna - 2024
Using a century of data, we show that Treasury convenience yield and inflation comove positively during the inflationary 1970s-1980s, but negatively pre-WWII and post-2000. An inflation decomposition reveals that higher supply inflation predicts higher convenience, while lower demand inflation...
Persistent link: https://www.econbiz.de/10015056207
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New Evidence on the First Financial Bubble
Frehen, Rik G.P. - 2009
these linked bubbles primarily focus on the irrationality of investor speculation and the corresponding stock price behavior … examine a broad cross-section of security price data to evaluate the causes of the bubbles. Using newly collected stock prices … in 1720. Our findings are consistent with the hypothesis that financial bubbles require a plausible story to justify …
Persistent link: https://www.econbiz.de/10012463318
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Momentum Crashes
Daniel, Kent - 2014
Despite their strong positive average returns across numerous asset classes, momentum strategies can experience infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in "panic" states - following market declines and when market...
Persistent link: https://www.econbiz.de/10012458228
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Flights to Safety
Baele, Lieven - 2013
Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...
Persistent link: https://www.econbiz.de/10012459566
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Customer Data Access and Fintech Entry : Early Evidence from Open Banking
Babina, Tania; Bahaj, Saleem; Buchak, Greg; De Marco, … - National Bureau of Economic Research - 2024
Open banking (OB) empowers bank customers to share transaction data with fintechs and other banks. 49 countries have adopted OB policies. Consumer trust in fintechs predicts OB policy adoption and adoption spurs investment in fintechs. UK microdata shows that OB enables: i) consumers to access...
Persistent link: https://www.econbiz.de/10014468288