Discussion Papers

We show that the standard econometric framework typically yields inconsistent estimates of price discovery measures in the presence of richer market...

We formulate a price discovery model in which the price discovery measures vary either locally, say, for instance, at intervals of 30 minutes or at a...

I test the predictions of human memory models in a high-stakes trading environment. Using alphabetical rankings of stocks from portfolio statements, I...

We analyze 18 quadrillion models for the joint pricing of corporate bond and stock returns. Strikingly, we find that equity and nontradable factors...

We introduce a measure of a government’s fiscal position that exploits cointegrating relationships among fiscal variables. The measure is a loglinear...

Using granular data covering both regulated (brokerage-financed) and unregulated (shadowfinanced) margin accounts in China, we provide novel evidence...

We propose a novel measure, dubbed “relative basis,” to better capture the commodity convenience yield. Our measure is the difference between the...

We derive option-implied bounds on the probability of a crash in an individual stock, and argue a priori that the lower bound should be close to the...

We propose a novel measure that allows us to study memory associations in financial markets over the course of several decades. Using our measure, we...

UK government bond yields tend to rise in a two-day window before labor market data releases and monetary policy news. This effect, particularly...

We study causal narratives – narratives which describe a (potentially incorrect) causal relationship between variables. In a series of experiments...

This paper studies the general equilibrium implications of arbitrage trades in segmented financial markets. Arbitrageurs choose a category of trades...

We develop a novel method to infer intra-quarter trading of individual mutual funds. After a mutual fund executes a trade, its reported portfolio...

We survey 509 equity portfolio managers from both traditional and sustainable funds on whether, why, and how they incorporate firms’ environmental and...

Privately informed about firm fundamentals, corporate insiders detect activism-motivated trades better than other traders. This paper solves the model...

We survey a large representative sample of retail investors in China to elicit their memories of stock market investment and return expectations. We...