Annual Conference

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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2013

Understanding Bank Runs: The Importance of Depositor-Bank Relationships and Networks

Rajkamal IYER, Manju PURI, Nicholas RYAN
We use a unique, new, database to examine micro depositor level data for a bank that faced a run. We use minute-by-minute depositor withdrawal data to understand the effectiveness of deposit insurance, the role of social networks, and the importance of bank-depositor relationships in influencing dep...
Keywords: bank runs, depositor behavior, social networks
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Annual Conference

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Trade, Growth and Development, Senior Fellows/Fellows

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May 2021

Transport Infrastructure and Productivity: The China Experience

Meijun QIAN, Steven J. DAVIS
China has undertaken massive investments in its surface transportation system since the early 1990s, continuing to the present day. We study the impact of these public investments on plant productivity and resource allocation efficiency. We first collect and geocode highly detailed data on China’s...
Keywords: Transport infrastructure, productivity, dispersion, allocative efficiency, China.
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Senior Fellows/Fellows

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Senior Fellows/Fellows

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Jun 2025

Trading in Twilight: Sleep, Mental Alertness, and Stock Market Trading

Hee-Seo HAN, David HIRSHLEIFER, Jinfei SHENG, Zheng SUN
We test whether mental alertness, as proxied by sleep disruption, impairs investor trading performance. Using four complementary approaches, we document that retail investors who experience a later sunset time on average earn lower abnormal returns on their trades. These approaches include panel reg...
Keywords: Sleep, Mental alertness, Retail Investors, Trading performance, Attention, RDD
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Trade sentiment and the stock market: New evidence based on big data textual analysis of Chinese media

Leonardo GAMBACORTA, Dora XIA, Chao HE, Marlene AMSTAD
Trade tensions between China and US have played an important role in swinging global stock markets but effects are difficult to quantify. We develop a novel trade sentiment index (TSI) based on textual analysis and machine learning applied on a big data pool that assesses the positive or negative to...
Keywords: Stock Returns, trade, sentiment, big data, neural network, machine learning
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2017

Tracking Retail Investor Activity

Ekkehart BOEHMER, Xiaoyan ZHANG, Charles M. JONES
We provide an easy way to use recent, publicly available U.S. equity transactions data to identify retail purchases and sales. Based on retail order imbalances, we find that retail investors are informed at horizons up to 12 weeks. Individual stocks with net buying by retail investors outperform sto...
Keywords: retail investors, price improvement, return predictability
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