Annual Conference

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Investment Finance

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May 2019

Who Benefits from Robo-advising? Evidence from Machine Learning

Alberto G. ROSSI, Stephen UTKUS
We study the effects of a large U.S. hybrid robo-adviser on the portfolios of previously self- directed investors. Across all investors, robo-advising reduces investors’ holdings in money market mutual funds and increases bond holdings. It also reduces idiosyncratic risk by lowering the holdings o...
Keywords: FinTech, portfolio choice, Behavioral finance, Individual Investors, Financial Literacy, Technology Adoption, machine learning
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2014

Who are the Sentiment Traders? Evidence from the Cross-section of Stock Returns and Demand

Laura STARKS, Luke DEVAULT, Richard SIAS
Recent work suggests that sentiment traders shift from safer to more speculative stocks when sentiment increases. Given that the market clearing condition requires a buyer for every seller, we exploit these cross-sectional patterns and changes in share ownership to test whether investor sentiment me...
Keywords: Stock Returns, sentiment, demand shocks, mispricing
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2014

When Real Estate is the Only Game in Town

Harrison HONG, Jeffrey P. THOMPSON, Hyun-Soo CHOI, Jeffrey D. KUBIK
Using data on household portfolios and mortgage originations, we find that households residing in a city with few publicly traded firms headquartered there are more likely to own an investment home nearby. Households in these areas are also less likely to own stocks. This only-game-in-town effect is...
Keywords: Real estate, homeownership, household portfolios, mortgage originations
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Annual Conference

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Accounting

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May 2023

When Machine Comes to Town: Fund Analysts’ Performance with Artificial Intelligence

Grace Haoqing FAN, Xi KANG
How does the introduction of artificial intelligence (AI) technology affect the performance of mutual fund analysts? Using a unique setting in which AI was introduced to generate ratings for previously uncovered mutual funds in a large financial research company, we find that the analyst ratings’ ...
Keywords: artificial intelligence, machine learning, mutual fund, analyst performance, social connection, benchmark information
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2018

When is foreign exchange intervention effective? Evidence from 33 countries

Lucio SARNO, Marcel FRATZSCHER, Oliver GLOEDE, Lukas MENKHOFF, Tobias STÖHR
This paper examines foreign exchange intervention based on novel daily data covering 33 countries from 1995 to 2011. We find that intervention is widely used and an effective policy tool, with a success rate in excess of 80 percent under some criteria. The policy works well in terms of smoothing the...
Keywords: Foreign exchange intervention, exchange rate regimes, effectiveness measures, Communication, capital controls
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