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Dollar Asset Holdings and Hedging Around the Globe
Du, Wenxin; Huber, Amy W. - National Bureau of Economic Research - 2024
comprehensive estimate of foreign investors' U.S. dollar (USD) security holdings and currency hedging practices. We document four … raised their USD hedge ratio by an average of 15 percentage points, despite higher hedging costs implied by large and … persistent deviations from covered interest-rate parity. The total FX hedging demand from these sector reached $2 trillion in …
Persistent link: https://www.econbiz.de/10014544731
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Broadband Internet and the Stock Market Investments of Individual Investors
Hvide, Hans K.; Meling, Tom G.; Mogstad, Magne; Vestad, … - National Bureau of Economic Research - 2022
We study the effects of broadband internet use on the investment decisions of individual investors. A public program in Norway provides plausibly exogenous variation in internet use. Our instrumental variables estimates show that internet use causes a substantial increase in stock market...
Persistent link: https://www.econbiz.de/10013362037
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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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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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Emotions and Subjective Crash Beliefs
Goetzmann, William N.; Kim, Dasol; Shiller, Robert J. - National Bureau of Economic Research - 2024
Over the past two decades, respondents to the Shiller Investor Confidence Surveys assess the probability of a catastrophic stock market crash to be much higher that the historical frequency of such events. We decompose these crash probabilities into fundamental and subjective components and use...
Persistent link: https://www.econbiz.de/10014576618
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Crash Narratives
Goetzmann, William N.; Kim, Dasol; Shiller, Robert J. - National Bureau of Economic Research - 2022
The financial press is a conduit for popular narratives that reflect collective memory about historical events. Some collective memories relate to major stock market crashes, and investors may rely on associated narratives, or "crash narratives," to inform current beliefs and choices. Using...
Persistent link: https://www.econbiz.de/10013334413
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When do Treasuries Earn the Convenience Yield? : A Hedging Perspective
Acharya, Viral V.; Laarits, Toomas - National Bureau of Economic Research - 2023
We document that the convenience yield of U.S. Treasuries exhibits properties that are consistent with a hedging … inflation expectations that erode the hedging properties of U.S. Treasuries and other fixed-income money-like assets, inducing a …
Persistent link: https://www.econbiz.de/10014436994
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War Discourse and the Cross Section of Expected Stock Returns
Hirshleifer, David; Mai, Dat; Pukthuanthong, Kuntara - National Bureau of Economic Research - 2023
A war-related factor model derived from textual analysis of media news reports explains the cross section of expected asset returns. Using a semi-supervised topic model to extract discourse topics from 7,000,000 New York Times stories spanning 160 years, the war factor predicts the cross section...
Persistent link: https://www.econbiz.de/10014322736
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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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Financial Machine Learning
Kelly, Bryan T.; Xiu, Dacheng - National Bureau of Economic Research - 2023
We survey the nascent literature on machine learning in the study of financial markets. We highlight the best examples of what this line of research has to offer and recommend promising directions for future research. This survey is designed for both financial economists interested in grasping...
Persistent link: https://www.econbiz.de/10014322889