Annual Conference

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Investment Finance

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May 2024

Prospect Theory in the Field-Revealed Preferences from Mutual Fund Flows

Bing HAN, Pengfei SUI, Wenhao YANG
Using mutual fund flows, we evaluate prospect theory with choice outcomes in the market. We provide strong support for prospect theory: under a standard set of parameters, funds whose past returns generate higher prospect theory value attract significantly larger future flows; we also find corrobora...
Keywords: Prospect Theory, Revealed Preference, Investor Demand, Mutual Funds
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Annual Conference

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Investment Finance

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May 2024

A Tale of Two Zoos: Machine Learning Insights on Retail Investors

Hong ZHANG, Pulak GHOSH, Jian ZHANG, Huahao LU
This paper employs various machine learning models to analyze how stock characteristics (the "factor zoo") and behavioral biases (the "bias zoo") affect the returns of millions of retail investors in India. We observe that Neural Networks outperform other machine learning and OLS models in uniquely ...
Keywords: Machine Learning, behavioral biases, Retail Investors
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Annual Conference

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Investment Finance

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May 2024

The Rise of Reddit: How Social Media Affects Belief Formation and Price Discovery

Danqi HU, Charles M. JONES, Valerie ZHANG, Xiaoyan ZHANG, Siyang LI
Using submission level data from social media platform Reddit, we rely on the theoretical framework of Pedersen (2022) to examine how social media affects belief formation, price discovery and trading dynamics. Consistent with the predictions on network belief spillover, we find that opinions of har...
Keywords: social media, belief formation, return prediction, short selling, retail investors
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Annual Conference

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Corporate Finance

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May 2024

Diverging Paths in Banks' Business Models: New Facts and Macro Implications

Jinyuan ZHANG, Shohini KUNDU, Tyler MUIR
We document the emergence of two distinct types of banks over the past decade: high rate banks which provide deposit rates in line with market interest rates, and low rate banks whose deposits are now even less sensitive to market rates. While the aggregate sensitivity of deposit rates to market int...
Keywords: Banking, Monetary Policy, Technology
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Annual Conference

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Corporate Finance

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May 2024

Patent Hunters

S. Katie MOON, Lauren H. COHEN, Umit G. GURUN
Analyzing millions of patents granted by the USPTO between 1970 and 2020, we find a pattern where specific patents only rise to prominence after considerable time has passed. Amongst these late-blooming influential patents, we show that there are key players (patent hunters) who consistently identif...
Keywords: Innovation chain, innovation rent, patent citations, patent evolution, technological impact, technological trajectories, commercialization
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