Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2021

Is Hard and Soft Information Substitutable? Evidence from the Lockdowns

Massimo MASSA, Jennie BAI
We study information substitutability in the financial market through a quasi-natural experiment: the pandemic-triggered lockdown that has hampered people's physical interactions hence the ability to collect, process, and transmit soft information. Exploiting the cross-sectional and time-series vari...
Keywords: Mutual Funds, Soft information, COVID-19, proximity investing, performance
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Annual Conference

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Investment Finance

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May 2021

Is Carbon Risk Priced in the Cross-Section of Corporate Bond Returns?

Frank Weikai LI, Tinghua DUAN, Quan WEN
This paper examines the pricing of a firm's carbon risk in the corporate bond market. Contrary to the "carbon risk premium" hypothesis, bonds of more carbon-intensive firms earn significantly lower returns. This effect cannot be explained by a comprehensive list of bond characteristics and exposure ...
Keywords: Climate Change, Carbon emissions, Corporate bond returns, ESG investing
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2021

Is a Macroprudential Reaction Function Emerging and Is it Sensible?

Caspar SIEGERT, Anil KASHYAP, Jonathan BRIDGES, David AIKMAN
A decade on from the global financial crisis, is a macroprudential reaction function emerging and is it sensible? We address this question in two parts. First, we assess the responsiveness of the countercyclical capital buffer (CCyB) and housing tools to developments in the risk environment. We find...
Keywords: Macroprudential Policy, financial cycle, Financial stability
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Senior Fellows/Fellows

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Senior Fellows/Fellows, Pandemic

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May 2020

Investors’ risk attitudes in the pandemic and the stock market: new evidence based on internet searches

Giulio CORNELLI, Leonardo GAMBACORTA, Dora XIA, Marlene AMSTAD
The sharp drop and subsequent rebound in global stock markets in the current pandemic focuses attention on changes in investors’ risk attitudes. A new COVID-19 risk attitude (CRA) index for 61 markets, based on internet searches in Google and Baidu, does a good job at capturing investors’ attitu...
Keywords: COVID-19, equity market, sentiment, risk attitude
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Annual Conference

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Investment Finance

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May 2023

Investor Memory and Biased Beliefs: Evidence from the Field

Hongqi LIU, Zhengyang JIANG, Cameron PENG, Hongjun YAN
We survey a large representative sample of retail investors to elicit their memories of stock market investment and return expectations. We then merge the survey data with administrative data of transactions to test a model in which investors form expectations by selectively recalling past experienc...
Keywords: investor belief, memory, survey, extrapolation
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