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September 2019
Peter Simasek – Georgia Tech
Pension Overhang and Corporate Investment We exploit an exogenous, universal increase (decrease) in discount rates (pension liability) mandated by the Moving Ahead for Progress in the 21st Century Act (MAP-21) to identify the impact of pension overhang on investment. We find that firms with large unfunded pension liabilities increase investment…
Find out more »October 2019
Zahi Ben-David – OSU
What Do Mutual Fund Investors Really Care About?
Find out more »Benjamin Hébert – Stanford
Are Intermediary Constraints Priced? Violations of no-arbitrage conditions measure the shadow cost of constraints on intermediaries, and the risk that these constraints tighten is priced. We demonstrate in an intermediary-based asset pricing model that violations of no-arbitrage such as covered interest rate parity (CIP) violations, along with intermediary wealth returns,…
Find out more »November 2019
Ric Colacito – UNC
Volatility Risk Pass-Through We develop a novel measure of volatility pass-through to assess international propagation of output volatility shocks to macroeconomic aggregates, equity prices, and currencies. An increase in country's output volatility is associated with a decrease in its output, consumption, and net exports. The average consumption pass-through is 50%…
Find out more »December 2019
Azi Ben-Rephael – Rutgers
Foreign Sentiment We construct a direct measure of U.S. based foreign sentiment using flow shifts between U.S. and international mutual funds. Foreign sentiment predicts return reversals in international markets, while local sentiments predict reversals in local markets. Exploring this segmentation, we find that foreign sentiment predictability is driven by overreaction…
Find out more »February 2020
Dongho Song – JHU
Fearing the Fed: How Wall Street Reads Main Street We document a countercyclical sensitivity of the stock market to major macroeconomic news announcements. Stock prices react more to (either good or bad) announcement surprises when the economy is below its potential trend with the expectation of easing policy. Based on…
Find out more »April 2020
Lin William Cong – Cornell
AlphaPortfolio for Investment and Economically Interpretable AI We propose reinforcement-learning-based portfolio management, an alternative that improves upon the traditional two-step portfolio-construction paradigm a la Markowitz (1952), to directly optimize investors' objectives. Specifically, we enhance cutting-edge neural networks such as Transformer with a novel cross-asset attention mechanism to effectively capture the…
Find out more »September 2020
Ha Diep-Nguyen – Purdue
Social Collateral_062020 HaDiepNguyen_CV
Find out more »Joel Peress – INSEAD
We propose a novel theory and supporting empirical evidence that lower long term interest rates (e.g., due to “quantitative easing”) can harm informational and allocative efficiency. We develop a rational expectations equilibrium model in which the interest rate is determined endogenously and utilized by investors to update their beliefs. Interest…
Find out more »October 2020
Jennie Bai – Georgetown
cross-asset-information-synergy_BAI Title: Cross-Asset Information Synergy in Mutual Fund Families
Find out more »Diane Del Guercio – Oregon
How have passive managers fared in the era of the dramatic rise of passive investing? DGT Passive management 10-17-20
Find out more »November 2020
Andrey Malenko – Michigan
Corporate governance in the presence of active and passive delegated investment - CMM
Find out more »December 2020
March 2021
Neng Wang – Columbia
ESG_paper_HWY36-UVA-Feb-2021
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