Annual Conference

|

Investment Finance, Senior Fellows/Fellows

|

May 2022

The expected returns of most portfolios are likely to fluctuate over time. We present a statistical model that allows for such fluctuations and apply the model to analyze the returns of characteristic-sorted portfolios, such as value minus growth. We find that accounting for plausible magnitudes of ...
Keywords: Portfolio returns, time-variation, autocorrelation, standard errors, return predictability, Bayesian
  • View
  • Download
  • Bookmark
  •    |   
  •  

Annual Conference

|

Investment Finance, Senior Fellows/Fellows

|

May 2022

This paper exploits a natural experiment in India – Inflation Targeting to study how changes in inflation expectations influence households’ consumption, savings, and investments in risky assets. Using regional heterogeneity in inflation expectations by city and city-age-gender bins due to the I...
Keywords: Expectations, Inflation Targeting, Household Finance, Household Balance Sheet, Consumption, Savings,
  • View
  • Download
  • Bookmark
  •    |   
  •  

Annual Conference

|

Investment Finance

|

May 2022

Decomposing inflation into core and non-core components (e.g., energy) sheds new light on the nature of inflation risk and risk premia. While stocks have insignificant exposures to headline inflation in the U.S., their core inflation betas are negative while energy betas are positive. Conventional i...
Keywords: Inflation Risks, Core inflation, Cross-section of asset returns
  • View
  • Download
  • Bookmark
  •    |   
  •  

Annual Conference

|

Corporate Finance

|

May 2022

We show that history can explain the geographic concentration of investment over and above traditional agglomerative forces, geography, and expectations. We use spatial variation in direct and indirect British rule to identify differences in historical circumstances. Using this within-country variat...
Keywords: investment, agglomeration, history, colonial rule, economic organization, state capacity
  • View
  • Download
  • Bookmark
  •    |   
  •  

Annual Conference

|

Corporate Finance

|

May 2022

Losses from frauds and financial scams are estimated to exceed U.S. $5 trillion annually. To study the economics of financial scams, we investigate the market for initial coin offerings (ICOs) using point-in-time data snapshots of 5,935 ICOs. Our evidence indicates that ICO issuers strategically scr...
Keywords: Financial scams, Screening, Cryptocurrencies, Advisors
  • View
  • Download
  • Bookmark
  •    |   
  •