Gang Chu, Dehua Shen, and Zhaobo Zhu ♦ This paper uses machine learning models to construct a crypto-level measure of simulated investor belief disagreement (MFD) for cryptocurrencies. Simulated investors use their individual models and common data information to form their…
Zehao Li ♦ Estimated risk-neutral rates from canonical affine term structure models are highly sensitive to sample periods. For example, the 5-5 forward risk-neutral rate for September 1981 can differ by 4.6 percentage points (98%) depending on whether the sample…
Dane M. Christensen, Hengda Jin, Beverly R. Walther, and Laura A. Wellman ♦ Using the distance between two Senators’ desks to capture the proclivity to share information, we find that when two Senators sit closer together in the Senate Chamber,…
Charlie Xiaowu Cai, Peng Li, and Kevin Keasey ♦ Drawing on cognitive psychology and behavioral theories of pattern recognition and heuristic processing, we offer a new perspective on momentum by highlighting how clear price trends shape investor expectations. Trend clarity…
Peter Cziraki and Adriana Z Robertson ♦ The number of women on public company boards has increased dramatically in recent years. We study where these women directors came from and how they were absorbed. Since 2018, women with board experience…
Daniele Bianchi and Teng Jiao ♦ Sovereign CDS spreads price the credit risk embedded in government borrowing. We ask how macroeconomic fundamentals predict that risk, and whether a linear mapping from fundamentals to spreads is adequate. Across a large panel…
