Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2014

Low Latency Trading and Comovement of Order Flow and Prices

Ekkehart BOEHMER, R. L. SHANKAR
We examine the impact of algorithmic trading (AT) in equities on the comovement of order flow, returns, liquidity, and volatility to assess how AT affects the market’s susceptibility to systemic shocks. Using order-level data around a natural experiment at the National Stock Exchange of India, whi...
Keywords: Algorithmic trading, equities, systemic shocks, large-cap firms
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Annual Conference

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Labour Economics

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May 2025

Longevity and Occupational Choice New!

Marius GUENZEL, Ulrike MALMENDIER, Denis SOSYURA
The average adult spends nearly half of their waking hours at work. We document significant implications of occupational choice for individual health outcomes, which are not explained by other known determinants of socioeconomic status, such as income and wealth. Using administrative vital records f...
Keywords: Longevity, mortality, occupational choice, job tasks
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2016

Long-term interest rates and bank loan supply: Evidence from firm-bank loan-level data

Arito ONO, Kosuke AOKI, Shinichi NISHIOKA, Kohei SHINTANI, Yosuke YASUI
Based on a mean-variance model of bank portfolio selection subject to the value-at-risk constraint, we make predictions on transmission channels through which lower long-term interest rates increase bank loan supply: the portfolio balance channel, the bank balance sheet channel, and the risk-taking ...
Keywords: monetary policy, bank loan, portfolio balance channel, bank balance sheet channel, risk-taking channel, value-at-risk constraint
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2023

Long-term Earnings Forecasts, Managerial Distortion, and Stock Returns

Zhenghui NI, Allaudeen HAMEED, Massimo MASSA
We explain stock mispricing linked to long-term expectations of earnings growth in terms of managerial manipulation in high-growth conglomerates. Manipulation does not affect analysts’ forecasts of conglomerate earnings, which are more accurate relative to pseudo-conglomerates. The combined effect...
Keywords: overreaction, analyst forecasts, return predictability, earnings predictability, managerial manipulation, conglomerates
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Senior Fellows/Fellows

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Pandemic

Long Social Distancing

Steven J. DAVIS, Nicholas A. BLOOM, Jose Maria BARRERO
More than ten percent of Americans with recent work experience say they will continue social distancing after the COVID-19 pandemic ends, and another 45 percent will do so in limited ways. We uncover this Long Social Distancing phenomenon in our monthly Survey of Working Arrangements and Attitudes. ...
Keywords: Social distancing, infection worries, pandemic, labor force participation, potential output, college wage premium, self-assessed causal effects
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