Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2023

Portfolio Rebalancing and Consumption Response of Households to Monetary Policy Shocks

Sumit AGARWAL, Pulak GHOSH, Changcheng SONG, Yeow Hwee CHUA
Using micro-level administrative data from India, we examine the portfolio rebalancing and consumption response of households to changes in interest rate. By exploiting variation in the timing of expiry of term deposits, we find that when interest rate falls, households rebalance their portfolio fro...
Keywords: Monetary Policy, Household Finance, Portfolio Rebalancing, Consumption, Savings, Liquidity
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Annual Conference

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Investment Finance

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May 2023

Investor Memory and Biased Beliefs: Evidence from the Field

Hongjun YAN, Hongqi LIU , Cameron PENG, Zhengyang JIANG
We survey a large representative sample of retail investors to elicit their memories of stock market investment and return expectations. We then merge the survey data with administrative data of transactions to test a model in which investors form expectations by selectively recalling past experienc...
Keywords: investor belief, memory, survey, extrapolation
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Annual Conference

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Investment Finance

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May 2023

What's in Investors' Information Sets?

Alberto G. ROSSI, Hagit LEVY, Ron SHALEV, Emanuel ZUR
We exploit a unique dataset to study how the information sets of retail and institutional investors evolve over time and how changes in investors’ information sets relate to stock price dynamics. Changes in stock following are positively related to future stock returns at horizons shorter than one...
Keywords: Investments , attention, information set, news
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Annual Conference

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Investment Finance

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May 2023

Staking, Token Pricing, and Crypto Carry

Ke TANG, Lin William CONG, Zhiheng HE
The phenomenal rise of cryptocurrencies and decentralized finance have prominently featured “staking”: Besides offering a convenience yield for transactions as digital media of exchange, tokens are frequently staked (and slashed) for base-layer consensus generation or for incentivizing economic ...
Keywords: Blockchain, DeFi, Proof-of-Stake, Yield Farming, Tokenomics
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Annual Conference

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Investment Finance

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May 2023

The Cryptocurrency Participation Puzzle

Ran DUCHIN, David H. SOLOMON, Jun TU, Xi WANG
We show that ongoing zero portfolio weights in cryptocurrency are surprisingly difficult to generate in a standard Bayesian portfolio theory framework. With ten years of prior data, equity market investors would need very pessimistic priors on mean returns to justify never having bought cryptocurren...
Keywords: Cryptocurrency, Bitcoin, Bayesian Portfolio Theory, Investments, Market Participation
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