Machine Learning as Arbitrage: Can Economics Help Explain AI?

Huahao Lu¹, Matthew Spiegel², Hong Zhang³

1: PBC School of Finance, Tsinghua University; 2: School of Management, Yale University; 3: Lee Kong Chian School of Business, Singapore Management University

Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models

Alejandro Lopez-Lira, Yuehua Tang

University of Florida, United States of America

Optimal Integration: Human, Machine, and Generative AI

Hongda Zhong

University of Texas at Dallas and CEPR

Extrapolators and Contrarians: Forecast Bias and Individual Investor Stock Trading

Steffen Andersen¹, Stephen G. Dimmock², Kasper Meisner Nielsen³, Kim Peijnenburg⁴

1: Danmarks Nationalbank, Copenhagen Business School, and CEPR; 2: National University of Singapore; 3: Copenhagen Business School; 4: Tilburg University and CEPR

Mortgage Prepayment in China and Counter-Productive Monetary Policy

Zhenyu Gao¹, Wenxi Jiang¹, Haohan Ren², Kemin Wang², Yuezhi Wu²

1: The Chinese University of Hong Kong; 2: Fudan University

Dynamic Trading and Asset Pricing with Time-Inconsistent Agents

Lars A. Lochstoer¹, Stig Roar Haukoe Lundeby², Zhaneta Krasimirova Tancheva²

1: UCLA Anderson School of Management; 2: BI Norwegian Business School, Norway

Maturity Overhang: Evidence from M&A

Zhiyao Chen¹, Dirk Hackbarth³, Jarrad Harford², Yuxin Luo³

1: City University of Hong Kong, Hong Kong S.A.R. (China); 2: University of Washington, Foster Business School; 3: Boston University

Excess Co-movement in Default Risk

Jan Ericsson¹, Kristoffer Glover⁴, Alexandre Jeanneret³, Lucie Lu²

1: McGill University; 2: University of Melbourne, Australia; 3: University of New South Wales; 4: University of Technology Sydney

Poison Bonds

Shuo Xia^1,2, Rex Wang Renjie^3,4

1: Halle Institute for Economic Research, Germany; 2: Leipzig University; 3: VU Amsterdam; 4: Tinbergen Institute

Hidden Duration: Interest Rate Derivatives in Fixed Income Funds

Jaewon Choi¹, Minsoo Kim², Oliver Randall²

1: Seoul National University; 2: University of Melbourne, Australia

Dissecting the Fed Information Effect: Perspectives from Macro-Active Bond Funds

Claire Yurong Hong¹, Jun Pan^1,2, Shiwen Tian³

1: Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University; 2: CAFR; 3: Central University of Finance and Economics

Silent Swing: Do Bond Mutual Funds Tilt the Valuations of Their Holdings in Response to Flows?

Jaewon Choi¹, Mathias Kronlund², Ji Yeol Jimmy Oh³

1: Seoul National University; 2: University of Illinois Urbana-Champaign; 3: Sungkyunkwan University