Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2016

Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market

Luis GONCALVES-PINTO, Allaudeen HAMEED, Thijs VAN DER HEIJDEN, Yichao ZHU, Bruce GRUNDY
The distance between option-implied and traded stock prices (DOTS) predicts future stock returns. A trading strategy based on DOTS yields an alpha of 85 basis points on the day after portfolio formation. We show that DOTS is strongly related to return reversals, order imbalances, and transaction cos...
Keywords: Price Pressure, Put-Call Parity, return predictability, Informed Trading
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2021

Why Did Bank Stocks Crash during COVID-19?

Viral V. ACHARYA, Sascha STEFFEN, Robert ENGLE
We provide evidence consistent with a “credit-line drawdown channel” to explain the large and persistent crash of bank stock prices during the COVID-19 pandemic. Stock prices of banks with large ex-ante exposures to undrawn credit lines and large ex-post gross drawdowns declined more, especially...
Keywords: Credit lines, liquidity risk, bank capital, loan supply, stress tests, Pandemic
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Annual Conference

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Labour Economics

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May 2026

Who Gets Screened Out? The Opioid Crisis and Employer Skill Requirements

Bokyung KIM, Minseog KIM, Geunyong PARK
While growing evidence suggests that the opioid crisis has reduced employment levels, little is known about how the crisis has affected job skill requirements—tools that employers use to screen job candidates. Using data on the near universe of US job vacancies, this paper studies the impact of th...
Keywords: opioid crisis, labor demand, screening, online job postings
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Annual Conference

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Corporate Finance

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May 2015

Who Captures The Power of The Pen?

Le ZHANG, Jiaxing YOU, Bohui ZHANG
We study how government control affects the roles of the media as an information intermediary and a corporate monitor. Comparing a large sample of news articles written by state-controlled and market-oriented Chinese media, we find that articles by the market-oriented media are more critical, more a...
Keywords: Media coverage, media concentration, political capture, CEO turnover
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Annual Conference

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Investment Finance

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May 2019

Who Benefits from Robo-advising? Evidence from Machine Learning

Alberto G. ROSSI, Stephen UTKUS
We study the effects of a large U.S. hybrid robo-adviser on the portfolios of previously self- directed investors. Across all investors, robo-advising reduces investors’ holdings in money market mutual funds and increases bond holdings. It also reduces idiosyncratic risk by lowering the holdings o...
Keywords: FinTech, portfolio choice, Behavioral finance, Individual Investors, Financial Literacy, Technology Adoption, machine learning
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