Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2023

This paper examines the inflation forecastability of cross-sectional stocks. To differentiate the cross-sectional inflation exposures, we make the important observation that cross-sectional stock returns exhibit persistent sensitivity to headline inflation shocks during the calendar month of CPI, an...
Keywords: inflation, individual stock returns, core-CPI, announcements
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2023

Recent evidence challenges the allocational efficiency of firms (in allocating capital to more productive sectors). We investigate whether financial intermediaries can help achieve better allocation. We find domestic mutual funds exhibit significant allocational efficiency in their equity investment...
Keywords: Allocational efficiency, Mutual Fund Investment, capital markets
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Annual Conference

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Investment Finance

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May 2023

Does emotional support matter for financial outcomes? Using microdata from U.S. and Australian household surveys, I document that individuals who lack emotional support are more likely to experience financial hardship. This relationship is not confounded by other forms of support—such as financial...
Keywords: emotional support, financial distress, social networks
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2023

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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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2023

Using micro-level administrative data from India, we examine the portfolio rebalancing and consumption response of households to changes in interest rate. By exploiting variation in the timing of expiry of term deposits, we find that when interest rate falls, households rebalance their portfolio fro...
Keywords: Monetary Policy, Household Finance, Portfolio Rebalancing, Consumption, Savings, Liquidity
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