Annual Conference

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Investment Finance

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May 2021

Taking Sides on Return Predictability

R. David MCLEAN, Jeffrey PONTIFF, Christopher REILLY
We study how 9 different market participants trade with respect to 130 different stock return anomalies and how each participant’s trades predict returns. Retail investors trade against anomalies, while firms’ and short sellers’ trades agree with anomalies. Institutional portfolios are weighte...
Keywords: Trading, return predictability, retail investors, institutions.
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Annual Conference

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Investment Finance

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May 2016

Systemic Default and Return Predictability in the Stock and Bond Markets

Jack BAO, Kewei HOU, Shaojun ZHANG
We construct a measure of systemic default defined as the probability that many firms default at the same time. We account for correlations in defaults between firms through exposures to common shocks. Systemic default spikes during recessions, is correlated with macroeconomic indicators, and predic...
Keywords: systemic risk, Joint default, Predictability, Stock Returns, Bond returns
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AMPF Papers

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Commissioned Paper

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May 2017

Systematic Managed Floating

Jeffrey FRANKEL
A majority of countries neither freely float their currencies nor firmly peg. But most of the remainder in practice also don’t obey such well-defined intermediate exchange rate regimes as target zones. This paper proposes to define an intermediate regime, to be called “systematic managed floatin...
Keywords: Jeffrey FRANKEL
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Annual Conference

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Investment Finance

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May 2021

Sustainability or Performance? Ratings and Fund Managers' Incentives

Mariassunta GIANNETTI, Nickolay GANTCHEV, Rachel LI
We explore how mutual funds react when the tradeoff between sustainability and performance becomes salient. Following the introduction of Morningstar’s sustainability ratings (the “globe” ratings), mutual funds increased their holdings of sustainable stocks in order to improve their globe rati...
Keywords: Sustainability, ESG, Mutual Funds, Fund Flows, Ratings
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Surveying Business Uncertainty

Steven J. DAVIS, Nicholas A. BLOOM, David E. ALTIG, Jose Maria BARRERO
We develop a new monthly panel survey of business executives and a new question design that elicits subjective probability distributions over own-firm outcomes at a one-year look-ahead horizon. Our Survey of Business Uncertainty (SBU) began in 2014 and now covers 1,500 firms drawn from all 50 states...
Keywords: Business Uncertainty, Subjective Forecast Distributions, Surveys
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