Annual Conference

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International Macroeconomics, Money & Banking

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May 2025

The Financial (In)Stability Real Interest Rate, r**

Ozge AKINCI, Gianluca BENIGNO, Marco DEL NEGRO, Albert QUERALTO
We build a macro-finance model with an occasionally binding financing constraint where real interest rates have opposite effects on current and future financial stability, with the contemporaneous impact driven by valuation effects and the future impact driven by reach-for-yield by intermediaries. W...
Keywords: Occasionally Binding Financing Constraint, financial crises, monetary policy, Financial Stability Policy, Macroeconomic Model with Banks
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Senior Fellows/Fellows

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Senior Fellows/Fellows

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Jun 2025

War Discourse and the Cross Section of Expected Stock Returns

David HIRSHLEIFER, Dat MAI, Kuntara PUKTHUANTHONG
A war-related factor model derived from textual analysis of media news reports explains the cross section of expected stock returns. Using a semi-supervised topic model to extract discourse topics from 7,000,000 New York Times stories spanning 160 years, the war factor predicts the cross section of ...
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Senior Fellows/Fellows

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Senior Fellows/Fellows

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Jun 2025

Friends with Benefits: Social Capital and Household Financial Behavior

Brad CANNON, David HIRSHLEIFER, Joshua THORNTON
Using friendship data from Facebook, we study the relationship between three aspects of social capital with household financial behavior. We find that the most important measure of social capital in explaining stock market and saving participation is Economic Connectedness, defined as the fraction o...
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Senior Fellows/Fellows

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Senior Fellows/Fellows

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Jun 2025

The Effect of New Information Technologies on Asset Pricing Anomalies

David HIRSHLEIFER, Liang MA
We test and compare the effects of introduction of two new financial information technologies, EDGAR and XBRL, on well-known asset pricing anomalies often attributed to mispricing. EDGAR facilitates easier access to public accounting information about public firms; XBRL reduces the cost of processin...
Keywords: financial information technologies, anomalies, limited attention, limited processing power, stacked difference-in-differences, EDGAR, XBRL
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Senior Fellows/Fellows

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Senior Fellows/Fellows

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Jun 2025

Social Interaction Intensity and Investor Behavior

Michael GELMAN, David HIRSHLEIFER, Yaron LEVI, Liron REITER-GAVISH
We document a causal effect of social interactions on investor behavior using the number of local soccer games as a measure of social interaction intensity. Social transmission is identifiable in buy but not sell trades. Social Interaction Intensity (SII) increases the sensitivity of buying to past ...
Keywords: Social Finance, Behavioral Finance, Retail Investor, Portfolio Choice, Peer Effects
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