Senior Fellows/Fellows

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Senior Fellows/Fellows

Macro Shocks and Firm-Level Response Heterogeneity

Steven J. DAVIS, Stephen HANSEN, Cristhian SEMINARIO-AMEZ
Macro shocks produce high dispersion in firm-level equity returns, sales growth, and other outcomes. We show that this dispersion reflects observable differences in business characteristics. To do so, we combine firm-level returns on stock market “jump” days with text about business risks in pri...
Keywords: Firm Heterogeneity, Text-as-Data, Machine Learning, Shock Identification
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Machine Learning Approaches to Facial and Text Analysis: Discovering CEO Oral Communication Styles

Prithwiraj (Raj) CHOUDHURY, Dan WANG, Natalie A. CARLSON, Tarun KHANNA
The advent of machine learning (ML) tools presents researchers with the possibility of using large and new datasets related to text and image repositories. In this paper, we document how a novel synthesis of three methods—(1) unsupervised topic modeling of textual data to generate a new measure of...
Keywords: machine learning, topic modeling, facial image recognition, CEO communication, topic entropy
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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

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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