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A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios
Alekseev, Georgij; Giglio, Stefano; Maingi, Quinn; … - National Bureau of Economic Research - 2022
We propose a new methodology to build portfolios that hedge the economic and financial risks from climate change. Our quantity-based approach exploits information on how mutual fund managers trade in response to idiosyncratic changes in their climate risk beliefs. We exploit two types of...
Persistent link: https://www.econbiz.de/10013477195
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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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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
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Tracking Biased Weights : Asset Pricing Implications of Value-Weighted Indexing
Jiang, Hao - 2020
We show theoretically and empirically that flows into index funds raise the prices of large stocks in the index … disproportionately more than the prices of small stocks. Conversely, flows predict a high future return of the small-minus-large index … portfolio. This finding runs counter to the CAPM, and arises when noise traders distort prices, biasing index weights. When …
Persistent link: https://www.econbiz.de/10012482472
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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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Indexing and the Incorporation of Exogenous Information Shocks to Stock Prices
Morck, Randall; Yavuz, Mehmet Deniz - National Bureau of Economic Research - 2023
Savings increasingly flow to low-cost index funds, which simply buy and hold the stocks in a major index, such as the S …-sensitive firms in proximate time windows when in the index than when not in it. Increased indexing thus appears to be undermining the …
Persistent link: https://www.econbiz.de/10014447296
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The US, Economic News, and the Global Financial Cycle
Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2023
We provide evidence for a causal link between the US economy and the global financial cycle. Using intraday data, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, the VIX, and commodity prices all...
Persistent link: https://www.econbiz.de/10014247914
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Do Sell-Side Analysts Say "Buy" While Whispering "Sell"?
Hirshleifer, David; Shi, Yushui; Wu, Weili - National Bureau of Economic Research - 2022
We examine how sell-side equity analysts strategically disclose information of differing quality to the public versus the buy-side mutual fund managers to whom they are connected. We consider cases in which analysts recommend that the public buys a stock, but some fund managers sell it. We...
Persistent link: https://www.econbiz.de/10013210060
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Fixed and Variable Longevity Annuities in Defined Contribution Plans : Optimal Retirement Portfolios Taking Social Security into Account
Horneff, Vanya; Maurer, Raimond; Mitchell, Olivia S. - National Bureau of Economic Research - 2023
This paper investigates retirees' optimal purchases of fixed and variable longevity income annuities using their defined contribution (DC) plan assets and given their expected Social Security benefits. As an alternative, we also evaluate using plan assets to boost Social Security benefits...
Persistent link: https://www.econbiz.de/10013537747
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Analyst Bias and Mispricing
Grinblatt, Mark; Jostova, Gergana; Philipov, Alexander - National Bureau of Economic Research - 2023
Cross-sectional forecasts of conservative and optimistic biases in analyst earnings estimates predict a stock's future returns, especially for firms that are hard to value. Trading strategies--whether based on the component of analyst bias that is correlated with major return anomalies or the...
Persistent link: https://www.econbiz.de/10014248012