Related papers: Stock-driven Household Attention
Following the financial crisis of the late 2000s, policy makers have shown considerable interest in monitoring financial stability. Several central banks now publish indices of financial stress, which are essentially based upon market…
This paper defines theoretical lower bounds of uncertainty of observations of macroeconomic variables that depend on statistical moments and correlations of random values and volumes of market trades. Any econometric assessments of…
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…
We develop an equilibrium theory of attention and politics. In a spatial model of electoral competition where candidates have varying policy preferences, we examine what kinds of political behaviors capture voters' limited attention and how…
This article summarizes recent research in financial economics about why information, such as earnings announcements, moves stock prices. The article does not presume any prior exposure to finance beyond what you might read in newspapers.
We follow up on the study of correlations between GDP's of rich countries. We analyze web-downloaded data on GDP that we use as individual wealth signatures of the country economical state. We calculate the yearly fluctuations of the GDP.…
The complex relationship between climate shocks, migration, and adaptation hampers a rigorous understanding of the heterogeneous mobility outcomes of farm households exposed to climate risk. To unpack this heterogeneity, the analysis…
In this paper, we consider a dynamic asset pricing model in a cross-sectional economy with two firms where a controlling shareholder cannot divert output in one firm with perfect investor protection for minority shareholders and where he…
This paper studies the response of stock markets relative to the banking sector to innovation by using a panel of 75 countries from 1982 to 2021. We find that innovation increases the activity, efficiency and size of stock markets relative…
According to behavioral finance, stock market returns are influenced by emotional, social and psychological factors. Several recent works support this theory by providing evidence of correlation between stock market prices and collective…
While LSTMs show increasingly promising results for forecasting Financial Time Series (FTS), this paper seeks to assess if attention mechanisms can further improve performance. The hypothesis is that attention can help prevent long-term…
This study investigates the impact of loss-framing and individual risk attitude on willingness- to purchase insurance products utilizing a game-like interface as choice architecture. The application presents events as experienced in real…
In terms of transfer entropy, we investigated the strength and the direction of information transfer in the US stock market. Through the directionality of the information transfer, the more influential company between the correlated ones…
In the seminal work [9], several macroscopic market observables have been introduced, in an attempt to find characteristics capturing the diversity of a financial market. Despite the crucial importance of such observables for investment…
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend.…
This study investigates how cross-stock information diffusion, driven by both retail and institutional investors, influences excess comovement in the Chinese retail-dominated market and the U.S. institution-dominated market. Using data from…
Using a large quarterly macroeconomic dataset for the period 1960-2017, we document the ability of specific financial ratios from the housing market and firms' aggregate balance sheets to predict GDP over medium-term horizons in the United…
One of the pillars to build a country's economy is the stock market. Over the years, people are investing in stock markets to earn as much profit as possible from the amount of money that they possess. Hence, it is vital to have a…
When exposed to a contagion phenomenon, individuals may respond to the perceived risk of infection by adopting behavioral changes, aiming to reduce their exposure or their risk of infecting others. The social cost of such adaptive behaviors…
We study the equilibrium behavior in a multi-commodity selfish routing game with many types of uncertain users where each user over- or under-estimates their congestion costs by a multiplicative factor. Surprisingly, we find that…