In this paper we provide a model of the macroeconomic implications of safe asset shortages. In particular, we discuss the emergence of a deflationary safety trap equilibrium with high risk premia. It is an acute form of a liquidity trap, in which the shortage of a specific form of assets, safe...

We document that the convenience yield of U.S. Treasuries exhibits properties that are consistent with a hedging perspective of safe assets. The convenience yield tends to be low when the covariance of Treasury returns with the aggregate stock market returns is high. A decomposition of the...

This paper investigates the predictability of stock market movements using text data extracted from the social media platform, Twitter. We analyse text data to determine the sentiment and the emotion embedded in the Tweets and use them as explanatory variables to predict stock market movements....

The use of dictionaries in financial sentiment analysis and other financial and economic applications remains widespread because keyword-based methods appear more transparent and explainable than more advanced techniques commonly used in computer science. However, this paper demonstrates the...

The paper reviews the evidence on the macroeconomic announcement premium and its implications on equilibrium asset pricing models. Empirically, a large fraction of the equity market risk premium is realized on a small number of trading days with significant macroeconomic announcements. We review...

We document a housing portfolio channel of quantitative easing (QE) transmission exploiting variation in German household data in a difference-in-differences setting around QE adoption in 2015. We find that QE encourages households with larger initial bond positions to rebalance more toward...

I characterize the global solution to the portfolio problem of two heterogeneous investors with general preferences, in a two-tree, two-good environment. Investors have recursive preferences and a bias in consumption towards a preferred good. The framework highlights the role of the allocation...

Estimating accurate probabilities of Meeting Financial Commitments is crucial for both short- and long-term decision making. It is well known, that for a variety of reasons, that individuals and teams, on average, overestimate the probability of success. In this article we discuss the results of...

In this paper, we study how investors react to security analyst reports. Security companies earn profits by increasing investment volume in the stock market. They manipulate analyst reports through their security analysts and provide information to induce investors to buy stocks. The question is...

An “information cascade” occurs when initial decisions coincide in a way that it is optimal for each of the subsequent individuals to ignore her or his private signals and follow the established pattern. Moscarini et. al (1996) developed a social learning model hitherto unexplored in an...