Annual Conference

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Investment Finance

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May 2021

Is Carbon Risk Priced in the Cross-Section of Corporate Bond Returns?

Frank Weikai LI, Tinghua DUAN, Quan WEN
This paper examines the pricing of a firm's carbon risk in the corporate bond market. Contrary to the "carbon risk premium" hypothesis, bonds of more carbon-intensive firms earn significantly lower returns. This effect cannot be explained by a comprehensive list of bond characteristics and exposure ...
Keywords: Climate Change, Carbon emissions, Corporate bond returns, ESG investing
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Annual Conference

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Investment Finance

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May 2021

Smart(Phone) Investing? A within Investor-Time Analysis of New Technologies and Trading Behavior

Andreas HACKETHAL, Alessandro PREVITERO, Benjamin LOOS, Ankit KALDA
Using transaction-level data from two German banks, we study the effects of smartphones on investor behavior. Comparing trades by the same investor in the same month across different platforms, we find that smartphones increase the purchase of riskier, lottery-type, non-diversifying assets, and of p...
Keywords: FinTech, investor behavior, financial risk-taking, lottery-type assets, investment biases, trend chasing, spillover effects
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2021

Taming the Bias Zoo

Wei XIONG, Hongqi LIU , Cameron PENG, Wei A. XIONG
The success of behavioral economics has led to a new challenge—many biases offering observationally similar predictions for a targeted financial anomaly. To tame this bias zoo, we combine subjective survey responses with observational data to propose a new approach, one that is robust to question-...
Keywords: excessive trading, survey, gambling preference, overconfidence
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Annual Conference

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Investment Finance

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May 2021

Best Short

Pasquale Della CORTE, Robert KOSOWSKI, Nikolaos P. RAPANOS
We infer investors' expectations about future stock returns through a measure of short conviction that exploits net short positions disclosed at the investor-stock level for European stock markets. A strategy that sells high-conviction stocks and buys low-conviction stocks, named Best Short, generat...
Keywords: Disclosure, Short-sale performance, anomalies, Hedge Funds.
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2021

Stakes and Mistakes

Abhiroop MUKHERJEE, Kasper MEISNER NIELSEN, Steffen ANDERSEN
We provide causal evidence on one of the most prominent critiques of behavioral finance – that most of the evidence in psychology, which underpins the field, comes from experiments with little at stake for participants. How far do behavioral biases – leading to investment mistakes – get attenu...
Keywords: Behavioural finance, psychology, behavioural biases, Investment
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