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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Annual Conference

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Investment Finance

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May 2025

Top Government Meetings in China

Jun PAN, Qing PENG
In a “government centric” equilibrium like China, the central government performs frequent and intensive interventions while investors prioritize information about government policies over macro-economic fundamentals. Consistently, top government meetings on economic policies are highly anticipa...
Keywords: Chinese Government Meetings, Government-Centric Equilibrium, Pre-Announcement Drift, Heightened Uncertainty, Information Leakage, Institutional Investors
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Annual Conference

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Investment Finance

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May 2024

The Value of Data to Fixed Income Investors

Jennie BAI, Jian LI, Asaf MANELA
Using a structural model, we estimate the value of data to fixed income investors and study its main drivers. In the model, data is more valuable for bonds that are volatile and for which price-insensitive liquidity trades are more likely. Empirically, we find that the value of data on corporate bon...
Keywords: value of data, information, fixed income, corporate bond, mutual fund
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Annual Conference

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Investment Finance

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May 2024

The Rise of Reddit: How Social Media Affects Belief Formation and Price Discovery

Danqi HU, Charles M. JONES, Siyang LI, Valerie ZHANG, Xiaoyan ZHANG
Using submission level data from social media platform Reddit, we rely on the theoretical framework of Pedersen (2022) to examine how social media affects belief formation, price discovery and trading dynamics. Consistent with the predictions on network belief spillover, we find that opinions of har...
Keywords: social media, belief formation, return prediction, short selling, retail investors
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Annual Conference

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Investment Finance

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May 2025

The Rise of Factor Investing: "Passive" Security Design and Market Implications

Lin William CONG, Shiyang HUANG, Douglas XU
We model financial innovations such as Exchange-Traded Funds, smart beta products, and many index-based vehicles as composite securities (CSs) that facilitate trading the common factors in assets’ liquidation values. Through accessing a larger basket of assets in endogenously chosen proportions, C...
Keywords: Asset Pricing, ETFs, Indexing, Informational Efficiency, Security Design
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