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  1. Biodiversity Finance
    Author: Flammer, Caroline; Giroux, Thomas; Heal, Geoffrey
    Published: March 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    The use of private capital to finance biodiversity conservation and restoration is a new practice in sustainable finance. This study sheds light on this new practice. First, we provide a conceptual framework that lays out how biodiversity can be... more

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    The use of private capital to finance biodiversity conservation and restoration is a new practice in sustainable finance. This study sheds light on this new practice. First, we provide a conceptual framework that lays out how biodiversity can be financed by i) pure private capital and ii) blended financing structures. In the latter, private capital is blended with public or philanthropic capital, whose aim is to de-risk private capital investments. The main element underlying both types of financing is the "monetization" of biodiversity, that is, the extent to which investments in biodiversity can generate a financial return for private investors. Second, we provide empirical evidence using deal-level data from a leading biodiversity finance institution. We find that projects with higher expected returns tend to be financed by pure private capital. Their scale is smaller, however, and so is their expected biodiversity impact. For larger-scale projects with a more ambitious biodiversity impact, blended finance is the more prevalent form of financing. While these projects have lower expected returns, their risk is also lower. This suggests that the blending--and the corresponding de-risking of private capital--is an important tool for improving the risk-return tradeoff of these projects, thereby increasing their appeal to private investors. Finally, we examine a set of projects that did not make it to the portfolio stage. This analysis suggests that, in order to be financed by private capital, biodiversity projects need to meet a certain threshold in terms of both their financial return and biodiversity impact. Accordingly, private capital is unlikely to substitute for the implementation of effective public policies in addressing the biodiversity crisis

     
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  2. Personality Differences and Investment Decision-Making
    Author: Jiang, Zhengyang; Peng, Cameron; Yan, Hongjun
    Published: March 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We survey thousands of affluent American investors to examine the relationship between personalities and investment decisions. The Big Five personality traits correlate with investors' beliefs about the stock market and economy, risk preferences, and... more

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    We survey thousands of affluent American investors to examine the relationship between personalities and investment decisions. The Big Five personality traits correlate with investors' beliefs about the stock market and economy, risk preferences, and social interaction tendencies. Two personality traits, Neuroticism and Openness, stand out in their explanatory power for equity investments. Investors with high Neuroticism and those with low Openness tend to allocate less investment to equities. We examine the underlying mechanisms and find evidence for both standard channels of preferences and beliefs and other nonstandard channels. We show consistent out-of-sample evidence in representative panels of Australian and German households

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w31041
    Subjects: Anlageverhalten; Persönlichkeitspsychologie; USA; Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making; Portfolio Choice; Investment Decisions; Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    Scope: 1 Online-Ressource, illustrations (black and white)
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  3. Dynamic Banking with Non-Maturing Deposits
    Author: Jermann, Urban J.; Xiang, Haotian
    Published: March 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    The majority of bank liabilities are deposits typically not withdrawn for extended periods. We propose a dynamic model of banks in which depositors forecast banks' leverage and default decisions, and withdraw optimally by trading off current against... more

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    The majority of bank liabilities are deposits typically not withdrawn for extended periods. We propose a dynamic model of banks in which depositors forecast banks' leverage and default decisions, and withdraw optimally by trading off current against future liquidity needs. Endogenous deposit maturity creates a time-varying dilution problem that has major effects on bank dynamics. Interest rate cuts produce delayed increases in bank risk which are stronger in low rate regimes. Deposit insurance can exacerbate the deposit dilution and amplify the increase in bank risk

     
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    Source: Union catalogues
    Language: English
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    Series: NBER working paper series ; no. w31057
    Subjects: Einlagengeschäft; Einlagensicherung; Anlageverhalten; Fälligkeit; Bankwirtschaft; Financial Markets and the Macroeconomy; Banks; Depository Institutions; Micro Finance Institutions; Mortgages; Government Policy and Regulation
    Scope: 1 Online-Ressource, illustrations (black and white)
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  4. Capital Gains Realizations
    Author: Hines, James R.; Schaffa, Daniel
    Published: March 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    Evidence that high tax rates significantly depress capital gains realizations is inconsistent with the implications of neoclassical investment models in unchanging economic environments. Higher tax rates reduce after-tax investment returns, thereby... more

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    Evidence that high tax rates significantly depress capital gains realizations is inconsistent with the implications of neoclassical investment models in unchanging economic environments. Higher tax rates reduce after-tax investment returns, thereby encouraging investors to sell capital assets earlier. For a given investment horizon, higher tax rates need not reward accumulating unrealized gains over long periods - and even if they do, longer accumulations can lead to earlier realizations. Consequently, the sizeable observed effects of capital gains taxes likely reflect investor anticipations of future tax rate changes, rather than the time value of money

     
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    Source: Union catalogues
    Language: English
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    Series: NBER working paper series ; no. w31059
    Subjects: Wertzuwachssteuer; Anlageverhalten; Portfolio Choice; Investment Decisions; Personal Income and Other Nonbusiness Taxes and Subsidies; Household
    Scope: 1 Online-Ressource, illustrations (black and white)
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  5. Model-free and Model-based Learning as Joint Drivers of Investor Behavior
    Author: Barberis, Nicholas; Jin, Lawrence J.
    Published: March 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    In the past decade, researchers in psychology and neuroscience studying human decision-making have increasingly adopted a framework that combines two systems, namely "model-free" and "model-based" learning. We import this framework into a simple... more

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    In the past decade, researchers in psychology and neuroscience studying human decision-making have increasingly adopted a framework that combines two systems, namely "model-free" and "model-based" learning. We import this framework into a simple financial setting, study its properties, and use it to account for a range of facts: facts about investor behavior, such as extrapolative demand and experience effects; facts about beliefs, such as overreaction in beliefs and the relationship between beliefs and stock market allocations; and facts about asset prices, such as excess volatility. More broadly, the framework offers a way of thinking about individual behavior that is grounded in recent evidence on the computations that the brain undertakes when estimating the value of a course of action

     
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    Source: Union catalogues
    Language: English
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    Series: NBER working paper series ; no. w31081
    Subjects: Anlageverhalten; Meinung; Lernprozess; Verhaltensökonomik; Behavioral Microeconomics: Underlying Principles; Behavioral Finance: Underlying Principles; Portfolio Choice; Investment Decisions
    Scope: 1 Online-Ressource, illustrations (black and white)
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  6. Identifying Preference for Early Resolution from Asset Prices
    Author: Ai, Hengjie; Bansal, Ravi; Guo, Hongye; Yaron, Amir
    Published: March 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    This paper develops an asset market based test for preference for the timing of resolution of uncertainty. Our main theorem provides a characterization of preference for early resolution of uncertainty in terms of the risk premium of assets realized... more

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    This paper develops an asset market based test for preference for the timing of resolution of uncertainty. Our main theorem provides a characterization of preference for early resolution of uncertainty in terms of the risk premium of assets realized during the period when the informativeness of macroeconomic announcements is resolved. Empirically, we find support for preference for early resolution of uncertainty based on evidence on the dynamics of the implied volatility of S&P 500 index options before FOMC announcements

     
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    Source: Union catalogues
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    Series: NBER working paper series ; no. w31087
    Subjects: Anlageverhalten; Entscheidung unter Unsicherheit; Präferenztheorie; Micro-Based Behavioral Economics; Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making; General
    Scope: 1 Online-Ressource, illustrations (black and white)
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  7. Personality differences and investment decision-making
    Author: Jiang, Zhengyang; Peng, Cameron; Yan, Hongjun
    Published: April 2023
    Publisher:  [LSE Financial Markets Group], [London]

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    Series: Discussion paper / [Financial Markets Group] ; no 873
    Subjects: Anlageverhalten; Persönlichkeitspsychologie; USA; Personality; Investor Heterogeneity; Social Interaction
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  8. Are Cryptos Different? Evidence from Retail Trading
    Author: Kogan, Shimon; Makarov, Igor; Niessner, Marina; Schoar, Antoinette
    Published: June 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    Trading in cryptocurrencies has grown rapidly over the last decade, primarily dominated by retail investors. Using a dataset of 200,000 retail traders from eToro, we show that they have a different model of the underlying price dynamics in... more

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    Trading in cryptocurrencies has grown rapidly over the last decade, primarily dominated by retail investors. Using a dataset of 200,000 retail traders from eToro, we show that they have a different model of the underlying price dynamics in cryptocurrencies relative to other assets. Retail traders in our sample are contrarian in stocks and gold, yet the same traders follow a momentum-like strategy in cryptocurrencies. Individual characteristics do not explain the differences in how people trade cryptocurrencies versus stocks, suggesting that our results are orthogonal to differences in investor composition or clientele effects. Furthermore, our findings are not explained by inattention, differences in fees, or preference for lotterylike stocks. We conjecture that retail investors hold a model of cryptocurrency prices, where price changes imply a change in the likelihood of future widespread adoption, which in turn pushes asset prices further in the same direction

     
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    Source: Union catalogues
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    Series: NBER working paper series ; no. w31317
    Subjects: Virtuelle Währung; Börsenhandel; Anlageverhalten; Investitionsentscheidung; Asset Pricing; Trading Volume; Bond Interest Rates; Information and Market Efficiency; Event Studies; Insider Trading; Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    Scope: 1 Online-Ressource, illustrations (black and white)
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  9. Green Tilts
    Author: Pástor, Ľuboš; Stambaugh, Robert F.; Taylor, Lucian A.
    Published: June 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We estimate financial institutions' portfolio tilts that relate to stocks' environmental, social, and governance (ESG) characteristics. We find ESG-related tilts totaling 6% of the investment industry's assets under management in 2021. ESG tilts are... more

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    We estimate financial institutions' portfolio tilts that relate to stocks' environmental, social, and governance (ESG) characteristics. We find ESG-related tilts totaling 6% of the investment industry's assets under management in 2021. ESG tilts are significant at both the extensive margin (which stocks are held) and the intensive margin (weights on stocks held). The latter tilts are larger. Institutions divest from brown stocks more by reducing positions than by eliminating them. The industry tilts increasingly toward green stocks, due to only the largest institutions. Other institutions and households tilt increasingly toward brown stocks. UNPRI signatories tilt greener; banks tilt browner

     
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    Source: Union catalogues
    Language: English
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    Series: NBER working paper series ; no. w31320
    Subjects: Portfolio-Management; Anlageverhalten; Nachhaltige Kapitalanlage; USA; Portfolio Choice; Investment Decisions; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    Scope: 1 Online-Ressource, illustrations (black and white)
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  10. War Discourse and the Cross Section of Expected Stock Returns
    Author: Hirshleifer, David; Mai, Dat; Kuntara Pukthuanthong
    Published: June 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    A war-related factor model derived from textual analysis of media news reports explains the cross section of expected asset returns. Using a semi-supervised topic model to extract discourse topics from 7,000,000 New York Times stories spanning 160... more

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    A war-related factor model derived from textual analysis of media news reports explains the cross section of expected asset returns. Using a semi-supervised topic model to extract discourse topics from 7,000,000 New York Times stories spanning 160 years, the war factor predicts the cross section of returns across test assets derived from both traditional and machine learning construction techniques, and spanning 138 anomalies. Our findings are consistent with assets that are good hedges for war risk receiving lower risk premia, or with assets that are more positively sensitive to war prospects being more overvalued. The return premium on the war factor is incremental to standard effects

     
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    Source: Union catalogues
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    Series: NBER working paper series ; no. w31348
    Subjects: Krieg; Mediale Berichterstattung; Zeitung; Investitionsentscheidung; Anlageverhalten; CAPM; Kapitalmarktrendite; Wirtschaftsgeschichte; USA; Behavioral Finance: Underlying Principles; General Financial Markets; General; Portfolio Choice; Investment Decisions; Behavioral Finance; Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    Scope: 1 Online-Ressource, illustrations (black and white)
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  11. Feedback trading and bubbles
    Author: Han, Brandon Yueyang; Makarov, Igor
    Published: July 2023
    Publisher:  [LSE Financial Markets Group], [London]

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    Series: Discussion paper / [Financial Markets Group] ; no 879
    Subjects: Spekulationsblase; Anlageverhalten; Begrenzte Rationalität; Theorie; Virtuelle Währung; Welt; Spekulationsblase; Anlageverhalten; Begrenzte Rationalität; Theorie; Virtuelle Währung; Welt
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  12. Avoiding Idiosyncratic Volatility
    Flow Sensitivity to Individual Stock Returns
    Author: Di Maggio, Marco; Franzoni, Francesco; Kogan, Shimon; Xing, Ran
    Published: June 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    Despite positive and significant earnings announcement premia, we find that institutional investors reduce their exposure to stocks before earnings announcements. A novel result on the sensitivity of flows to individual stock returns provides a... more

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    Despite positive and significant earnings announcement premia, we find that institutional investors reduce their exposure to stocks before earnings announcements. A novel result on the sensitivity of flows to individual stock returns provides a potential explanation. We show that extreme announcement returns for an individual holding lead to substantial outflows, controlling for overall performance, and they increase the probability of managers leaving the fund. Reducing the exposure to these stocks before the announcement mitigates the outflows. We build a model to describe and quantify this tradeoff. Overall, the paper identifies a new dimension of limits to arbitrage for institutions

     
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    Source: Union catalogues
    Language: English
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    Series: NBER working paper series ; no. w31360
    Subjects: Institutioneller Investor; Anlageverhalten; Kapitalmarktrendite; Börsenkurs; Volatilität; Asset Pricing; Trading Volume; Bond Interest Rates; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    Scope: 1 Online-Ressource, illustrations (black and white)
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  13. News Diffusion in Social Networks and Stock Market Reactions
    Author: Hirshleifer, David; Peng, Lin; Wang, Qiguang
    Published: January 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We study how the social transmission of public news influences investors' beliefs and securities markets. Using an extensive dataset to measure investor social networks, we find that earnings announcements from firms in higher-centrality locations... more

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    We study how the social transmission of public news influences investors' beliefs and securities markets. Using an extensive dataset to measure investor social networks, we find that earnings announcements from firms in higher-centrality locations generate stronger immediate price and trading volume reactions. Post announcement, such firms experience weaker price drifts but higher and more persistent volume. This evidence suggests that while greater social connectedness facilitates timely incorporation of news into prices, it also triggers opinion divergence and excessive trading. We provide a model of these effects and present further supporting evidence with granular data based on StockTwits messages and household trading records

     
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  14. HFTs and dealer banks
    liquidity and price discovery in fx trading
    Author: Huang, Wenqian; O'Neill, Peter; Ranaldo, Angelo; Yu, Shihao
    Published: January 2023
    Publisher:  Financial Conduct Authority, London

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    Series: Occasional paper / Financial Conduct Authority ; 63
    Subjects: Devisenmarkt; Spotmarkt; Börsenmakler; Anlageverhalten; Bankenliquidität; Theorie
    Scope: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  15. Four Facts About ESG Beliefs and Investor Portfolios
    Author: Giglio, Stefano; Maggiori, Matteo; Stroebel, Johannes; Tan, Zhenhao; Utkus, Stephen P.; Xu, Xiao
    Published: April 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We analyze survey data on ESG beliefs and preferences in a large panel of retail investors linked to administrative data on their investment portfolios. The survey elicits investors' expectations of long-term ESG equity returns and asks about their... more

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    We analyze survey data on ESG beliefs and preferences in a large panel of retail investors linked to administrative data on their investment portfolios. The survey elicits investors' expectations of long-term ESG equity returns and asks about their motivations, if any, to invest in ESG assets. We document four facts. First, investors generally expected ESG investments to underperform the market. Between mid-2021 and late-2022, the average expected 10-year annualized return of ESG investments relative to the overall stock market was -1.4%. Second, there is substantial heterogeneity across investors in their ESG return expectations and their motives for ESG investing: 45% of survey respondents do not see any reason to invest in ESG, 25% are primarily motivated by ethical considerations, 22% are driven by climate hedging motives, and 7% are motivated by return expectations. Third, there is a link between individuals' reported ESG investment motives and their actual investment behaviors, with the highest ESG portfolio holdings among individuals who report ethics-driven investment motives. Fourth, financial considerations matter independently of other investment motives: we find meaningful ESG holdings only for investors who expect these investments to outperform the market, even among those investors who reported that their most important ESG investment motives were ethical or hedging reasons

     
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    Series: NBER working paper series ; no. w31114
    Subjects: Anlageverhalten; Nachhaltige Kapitalanlage; Corporate Social Responsibility; Portfolio-Management; Behavioral Finance; Household Finance; General; Climate; Natural Disasters and Their Management; Global Warming
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  16. Equity Term Structures without Dividend Strips Data
    Author: Giglio, Stefano; Kelly, Bryan T.; Kozak, Serhiy
    Published: April 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We use a large cross-section of equity returns to estimate a rich affine model of equity prices, dividends, returns and their dynamics. Using the model, we price dividend strips of the aggregate market index, as well as any other well-diversified... more

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    We use a large cross-section of equity returns to estimate a rich affine model of equity prices, dividends, returns and their dynamics. Using the model, we price dividend strips of the aggregate market index, as well as any other well-diversified equity portfolio. We do not use any dividend strips data in the estimation of the model; however, model-implied equity yields generated by the model match closely the equity yields from the traded dividend forwards reported in the literature. Our model can be used to extend the data on the term structure of aggregate (market) discount rates over time (back to the 1970s) and across maturities, since we are not limited by the maturities of actually traded dividend claims. Most importantly, the model generates term structures for any portfolio of stocks (e.g., small and value portfolios, high and low investment portfolios, etc). The novel cross-section of term structure data estimated by our model, covering a span of 45 years that includes several recessions, represents a rich set of new empirical moments that can be used to guide and evaluate asset pricing models, beyond the aggregate term structure of dividend strips that has been studied in the literature

     
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    Series: NBER working paper series ; no. w31119
    Subjects: Zinsstruktur; Dividende; Anlageverhalten; Schätzung; Theorie; Portfolio Choice; Investment Decisions; Asset Pricing; Trading Volume; Bond Interest Rates; Contingent Pricing; Futures Pricing
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  17. Asset Pricing with Optimal Under-Diversification
    Author: Elenev, Vadim; Landvoigt, Tim
    Published: April 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We study sources and implications of undiversified portfolios in a production-based asset pricing model with financial frictions. Households take concentrated positions in a single firm exposed to idiosyncratic shocks because managerial effort... more

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    We study sources and implications of undiversified portfolios in a production-based asset pricing model with financial frictions. Households take concentrated positions in a single firm exposed to idiosyncratic shocks because managerial effort requires equity stakes, and because investors gain private benefits from concentrated holdings. Matching data on returns and portfolios, we find that the marginal investor optimally holds 45% of their portfolio in a single firm, incentivizing managerial effort that accounts for 4% of aggregate output. Investors derive control benefits equivalent to 3% points of excess return, rationalizing low observed returns on undiversified holdings in the data. A counterfactual world of full diversification would feature higher risk free rates, lower risk premiums on fully diversified and concentrated assets, less capital accumulation, yet higher consumption and welfare. Exposure to undiversified firm risk can explain approximately 40% of the level and 20% of the volatility of the equity premium. A targeted subsidy that decreases diversification improves welfare by increasing managerial effort and reducing financial frictions

     
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    Source: Union catalogues
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    Series: NBER working paper series ; no. w31121
    Subjects: CAPM; Portfolio-Management; Anlageverhalten; Theorie; Consumption; Saving; Wealth; Portfolio Choice; Investment Decisions; Asset Pricing; Trading Volume; Bond Interest Rates; Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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  18. Public information as a source of disagreement among shareholders
    Author: Bouton, Laurent; Llorente-Saguer, Aniol; Macé, Antonin; Meirowitz, Adam; Pi, Shaoting; Xefteris, Dimitrios
    Published: [2023]
    Publisher:  [Paris School of Economics], [Paris]

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    Series: Working paper / Paris School of Economics ; no 2023, 15
    Subjects: Unternehmenspublizität; Hauptversammlung; Informationsverhalten; Aktionäre; Anlageverhalten; Handelsvolumen der Börse; Theorie
    Scope: 1 Online-Ressource (circa 39 Seiten)
  19. Strategic sophistication and trading profits
    an experiment with professional traders
    Author: Angrisani, Marco; Cipriani, Marco; Guarino, Antonio
    Published: 13 March 2023
    Publisher:  Centre for Economic Policy Research, London

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    Series: Array ; DP17983
    Subjects: Anlageverhalten; Börsenmakler; Kognition; Qualifikation; Experiment; Spieltheorie; Großbritannien
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  20. Anatomy of a Run
    The Terra Luna Crash
    Author: Liu, Jiageng; Makarov, Igor; Schoar, Antoinette
    Published: April 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    Terra, the third largest cryptocurrency ecosystem after Bitcoin and Ethereum, collapsed in three days in May 2022 and wiped out $50 billion in valuation. At the center of the collapse was a run on a blockchain-based borrowing and lending protocol... more

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    Terra, the third largest cryptocurrency ecosystem after Bitcoin and Ethereum, collapsed in three days in May 2022 and wiped out $50 billion in valuation. At the center of the collapse was a run on a blockchain-based borrowing and lending protocol (Anchor) that promised high yields to its stablecoin (UST) depositors. Using detailed data from the Terra blockchain and trading data from exchanges, we show that the run on Terra was a complex phenomenon that happened across multiple chains and assets. It was unlikely due to concentrated market manipulation by a third party but instead was precipitated by growing concerns about the sustainability of the system. Once a few large holders of UST adjusted their positions on May 7th, 2022, other large traders followed. Blockchain technology allowed investors to monitor each other's actions and amplified the speed of the run. Wealthier and more sophisticated investors were the first to run and experienced much smaller losses. Poorer and less sophisticated investors ran later and had larger losses. The complexity of the system made it difficult even for insiders to understand the buildup of risk. Finally, we draw broader lessons about financial fragility in an environment where a regulatory safety net does not exist, pseudonymous transactions are publicly observable, and market participants are incentivized to monitor the financial health of the system

     
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    Series: NBER working paper series ; no. w31160
    Subjects: Virtuelle Währung; Blockchain; Anlageverhalten; Bankenkrise; Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems; Financial Markets and the Macroeconomy; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
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  21. Daily Momentum and New Investors in an Emerging Stock Market
    Author: Gao, Zhenyu; Jiang, Wenxi; Xiong, Wei A.; Xiong, Wei
    Published: November 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    Despite the dominance of retail investors in the Chinese stock market, there's a conspicuous absence of price momentum in weekly and monthly returns. This study uncovers the presence of price momentum in daily returns and, through a systematic... more

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    Despite the dominance of retail investors in the Chinese stock market, there's a conspicuous absence of price momentum in weekly and monthly returns. This study uncovers the presence of price momentum in daily returns and, through a systematic analysis of trading heterogeneity among investors, links daily momentum to the attention and trading activities of new investors--a phenomenon particularly significant in emerging stock markets. Furthermore, our findings indicate the existence of daily price momentum in various other emerging markets, contrasting with its relative scarcity in developed ones

     
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    Series: NBER working paper series ; no. w31839
    Subjects: Aktienmarkt; Anlageverhalten; Kapitaleinkommen; Schwellenländer; China; Behavioral Finance: Underlying Principles; Behavioral Finance; General
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  22. Who Invests in Crypto? Wealth, Financial Constraints, and Risk Attitudes
    Author: Aiello, Darren; Baker, Scott; Balyuk, Tetyana; Di Maggio, Marco; Johnson, Mark J.; Kotter, Jason D.
    Published: November 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We provide a first look into the drivers of household cryptocurrency investing. Analyzing consumer transaction data for millions of U.S. households, we find that, except for high income early adopters, cryptocurrency investors resemble the general... more

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    We provide a first look into the drivers of household cryptocurrency investing. Analyzing consumer transaction data for millions of U.S. households, we find that, except for high income early adopters, cryptocurrency investors resemble the general population. These investors span all income levels, with most dollars coming from high-income individuals, similar to equity investors. High past crypto returns and personal income shocks lead to increased cryptocurrency investments. Higher household-level inflation expectations also correlate with greater crypto investments, aligning with hedging motives. For most U.S. households, cryptocurrencies are treated like traditional assets

     
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    Source: Union catalogues
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    Series: NBER working paper series ; no. w31856
    Subjects: Virtuelle Währung; Privater Haushalt; Anlageverhalten; USA; Price Level; Inflation; Deflation; Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems; Portfolio Choice; Investment Decisions; Non-bank Financial Institutions; Financial Instruments; Institutional Investors; Household Saving, Borrowing, Debt, and Wealth
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  23. What Drives Booms and Busts in Value?
    Author: Campbell, John Y.; Giglio, Stefano; Polk, Christopher
    Published: November 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    Value investing delivers volatile returns, with large drawdowns during both market booms and busts. This paper interprets these returns through an intertemporal CAPM, which predicts that aggregate cash flow, discount rate, and volatility news all... more

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    Value investing delivers volatile returns, with large drawdowns during both market booms and busts. This paper interprets these returns through an intertemporal CAPM, which predicts that aggregate cash flow, discount rate, and volatility news all move value returns. We document that indeed these shocks explain a large fraction of quarterly value returns over the last 60 years. We also distinguish between the intra-industry and inter-industry components of value, showing that the ICAPM explains the former better. Finally, we develop a novel methodology to perform this decomposition at the daily frequency, using it to interpret value returns during the Covid-19 pandemic

     
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    Series: NBER working paper series ; no. w31859
    Subjects: Kapitalanlage; Anlageverhalten; CAPM; value investing; Asset Pricing; Trading Volume; Bond Interest Rates
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  24. When do Treasuries Earn the Convenience Yield?
    A Hedging Perspective
    Author: Acharya, Viral V.; Laarits, Toomas
    Published: November 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    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... more

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    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 aggregate stock-bond covariance into terms corresponding to the convenience yield, the frictionless risk-free rate, and default risk reveals that the covariance between stock returns and the convenience yield itself drives the effect in a substantive capacity. We show the convenience yield is reduced with heightened inflation expectations that erode the hedging properties of U.S. Treasuries and other fixed-income money-like assets, inducing a switch to alternatives such as gold; it is also reduced immediately prior to debt-ceiling standoffs and with increases in Treasury supply

     
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    Series: NBER working paper series ; no. w31863
    Subjects: Rendite; Staatspapier; Hedging; Anlageverhalten; USA; Money and Interest Rates; Monetary Policy, Central Banking, and the Supply of Money and Credit; International Finance; Portfolio Choice; Investment Decisions; Asset Pricing; Trading Volume; Bond Interest Rates; International Financial Markets
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  25. Financial Windfalls, Portfolio Allocations, and Risk Preferences
    Author: Briggs, Joseph S.; Cesarini, David; Lee, Sean Chanwook; Lindqvist, Erik; Östling, Robert
    Published: November 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We investigate the impact of financial windfalls on household portfolio choices and risk exposure. Exploiting the randomized assignment of lottery prizes in three Swedish lotteries, we find a windfall gain of $100K leads to a 5-percentage-point... more

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    We investigate the impact of financial windfalls on household portfolio choices and risk exposure. Exploiting the randomized assignment of lottery prizes in three Swedish lotteries, we find a windfall gain of $100K leads to a 5-percentage-point decrease in the risky share of household portfolios. We show theoretically that negative wealth effects are consistent with both constant and decreasing relative risk aversion and analyze how our empirical estimates help distinguish between competing models of portfolio choice. We further show our results are quantitatively aligned with the predictions of a calibrated dynamic portfolio choice model with nontradable human capital and consumption habits

     
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    Series: NBER working paper series ; no. w31864
    Subjects: Privater Haushalt; Glücksspiel; Privatvermögen; Anlageverhalten; Risikopräferenz; Schweden; Portfolio Choice; Investment Decisions; Household Finance
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