In search of the origins of financial fluctuations: The inelastic markets hypothesis
X Gabaix, RSJ Koijen - 2021 - nber.org
We develop a framework to theoretically and empirically analyze the fluctuations of the
aggregate stock market. Households allocate capital to institutions, which are fairly …
aggregate stock market. Households allocate capital to institutions, which are fairly …
What do mutual fund investors really care about?
We show that mutual fund investors rely on simple signals and likely do not engage in
sophisticated learning about managers' alpha as widely believed. Simplistic performance …
sophisticated learning about managers' alpha as widely believed. Simplistic performance …
[PDF][PDF] Flow-driven ESG returns
P Van der Beck - Swiss Finance Institute Research Paper, 2021 - aeaweb.org
I show that the returns from sustainable investing are strongly driven by price pressure from
flows towards sustainable funds, causing high realized returns that do not reflect high …
flows towards sustainable funds, causing high realized returns that do not reflect high …
The granular nature of large institutional investors
Large institutional investors own an increasing share of the equity markets in the United
States. The implications of this development for financial markets are still unclear. The paper …
States. The implications of this development for financial markets are still unclear. The paper …
Predictable price pressure
SM Hartzmark, DH Solomon - 2022 - nber.org
We demonstrate that predictable uninformed cash flows forecast market and individual stock
returns. Buying pressure from dividend payments (announced weeks prior) predicts higher …
returns. Buying pressure from dividend payments (announced weeks prior) predicts higher …
[图书][B] A model of asset price spirals and aggregate demand amplification of a" COVID-19" shock
RJ Caballero, A Simsek - 2020 - acdc2007.free.fr
We provide a model of endogenous asset price spirals and severe aggregate demand
contractions following a large supply shock. The key mechanism stems from the drop in the …
contractions following a large supply shock. The key mechanism stems from the drop in the …
A model of endogenous risk intolerance and LSAPs: asset prices and aggregate demand in a “COVID-19” shock
RJ Caballero, A Simsek - The Review of Financial Studies, 2021 - academic.oup.com
We theoretically investigate the interaction of endogenous risk intolerance and monetary
policy following a large recessionary shock. As asset prices dip, risk-tolerant agents' wealth …
policy following a large recessionary shock. As asset prices dip, risk-tolerant agents' wealth …
Heterogeneous beliefs and stock market fluctuations
O McCarthy, S Hillenbrand - Available at SSRN 3944887, 2021 - papers.ssrn.com
Stock prices aggregate the beliefs of different investors. Using this insight, we estimate the
fraction of stock market investors holding survey beliefs. We find that 42% of investors hold …
fraction of stock market investors holding survey beliefs. We find that 42% of investors hold …
The importance of labels for sustainable investments: SFDR versus Morningstar globes
F Ferriani - Applied Economics Letters, 2023 - Taylor & Francis
We use the entropy balancing method to study the impact of sustainability labels on mutual
fund flows and returns. We compare the informativeness of the ESG risk metrics developed …
fund flows and returns. We compare the informativeness of the ESG risk metrics developed …