Annual Conference

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International Macroeconomics, Money & Banking

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May 2022

According to one of the most striking results in the recent open macro literature, the gains from international monetary cooperation are negligible. We show that when assessed conditionally on empirically relevant dynamic developments of the economy, the welfare cost of moving away from regimes of e...
Keywords: monetary policy cooperation, global imbalances, open-loop Nash games
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2022

Using comprehensive account-level data from 2016 to 2019, we examine retail investor trading behavior in the Chinese stock market. We separate millions of retail investors into five groups by their account sizes and document strong heterogeneity in their trading dynamics and performance. Retail inve...
Keywords: Retail investors, Chinese stock market, Return predictability, Information content
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Annual Conference

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Investment Finance

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May 2022

We document significant outperformance by government bond funds on important macro announcement days such as FOMC and GDP. The macro-day outperformance is persistent, larger during times of high macro disagreement and surprise, and stronger for active funds with larger idiosyncratic volatility. Thei...
Keywords: FOMC, GDP, Bond Mutual Fund, Macroeconomic Announcement, Activeness
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2022

We show that the pricing of credit risk in the municipal bond market depends on the salience of its underlying cash-flow shocks. We find that public mass shootings raise borrowing costs of issuers in affected counties by an average of 6 (5.2) basis points in the secondary (primary) market. This incr...
Keywords: Biased Beliefs, Public Mass Shootings, Municipal Debt, Salience
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2022

We document characteristics-based return anomalies in a large cross-section (>4,000) of crypto assets. Cryptocurrency returns exhibit momentum in the largest-cap group, reversals in other size groups, and strong crypto value and network adoption premia, from which we derive two novel factors to a...
Keywords: Blockchain, Cryptocurrency, DeFi, Factor Models, Network Effect, Market Segmentation
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