Senior Fellows/Fellows

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Senior Fellows/Fellows

War Discourse and Disaster Premia: 160 Years of Evidence from Stock and Bond Markets

David HIRSHLEIFER , Dat MAI, Kuntara PUKTHUANTHONG
Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse addresse...
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Annual Conference

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Household Finance, Senior Fellows/Fellows

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May 2023

How Costly Are Cultural Biases? Evidence from FinTech

Pulak GHOSH, Francesco DACUNTO, Alberto G. ROSSI, Rajiv JAIN
We propose a revealed-preferences approach to assess the costs of cultural biases faced by discriminators by comparing peer-to-peer loans the same lenders make alone and after observing suggestions by an automated robo-advisor in India. Discrimination across religions and against low-caste borrowers...
Keywords: Trust, Social Capital, Discrimination, Cultural Norms, Subjective Expectations, Robo-Advising, FinTech, Inter-ethnic Conflict, Social Conditioning, Religion, Caste.
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Annual Conference

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Trade, Growth and Development, Senior Fellows/Fellows

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May 2023

Labor Market Implications of Taiwan’s Accession to the WTO: A Dynamic Quantitative Analysis

Wen-Tai HSU, Yi-Fan CHEN, Pao-Li CHANG, Xin YI
This paper studies the effects of Taiwan’s accession to the WTO in 2002 on the labor market dynamics in Taiwan during 1995–2020. Our dynamic quantitative framework builds on that of Caliendo, Dvorkin and Parro (2019) but allows for differently skilled labor inputs (low, middle, high) and sector-...
Keywords: WTO, Dynamic Quantitative Analysis, Labor Market Dynamics, Welfare effects, Mobility Frictions, Skill Upgrade
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2023

Inflation Forecasting from Cross-Sectional Stocks

Claire Yurong HONG, Jun PAN, Shiwen TIAN
This paper examines the inflation forecastability of cross-sectional stocks. To differentiate the cross-sectional inflation exposures, we make the important observation that cross-sectional stock returns exhibit persistent sensitivity to headline inflation shocks during the calendar month of CPI, an...
Keywords: inflation, individual stock returns, core-CPI, announcements
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2023

Financial Intermediaries vs. Capital Allocation: The Forgotten Role of Mutual Funds

Hong ZHANG, Massimo MASSA, Yanbo WANG
Recent evidence challenges the allocational efficiency of firms (in allocating capital to more productive sectors). We investigate whether financial intermediaries can help achieve better allocation. We find domestic mutual funds exhibit significant allocational efficiency in their equity investment...
Keywords: Allocational efficiency, Mutual Fund Investment, capital markets
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