Generative AI and Asset Management

Jinfei Sheng¹, Zheng Sun¹, Baozhong Yang², Alan Zhang³

1: UC Irvine; 2: GSU; 3: Florida International U

Information and Market Power in DeFi Intermediation

Pablo Azar¹, Adrian Casillas², Maryam Farboodi²

1: Federal Reserve Bank of New York; 2: MIT Sloan School of Management

Greenwashing: Measurement and Implications

Qiyang He¹, Ben Marshall², Justin Hung Nguyen³, Nhut H. Nguyen⁴, Buhui Qiu¹, Nuttawat Visaltanachoti²

1: University of Sydney Business School, Australia; 2: Massey University; 3: Edith Cowan University; 4: Auckland University of Technology

Getting to the Core: Inflation Risks Within and Across Asset Classes

Xiang Fang¹, Yang Liu¹, Nikolai Roussanov²

1: University of Hong Kong, Hong Kong S.A.R. (China); 2: University of Pennsylvania

How Ethical Should AI Be? How AI Alignment Shapes the Risk Preferences of LLMs

Shumiao Ouyang¹, Hayong Yun², Xingjian Zheng³

1: Saïd Business School, University of Oxford; 2: Michigan State University; 3: Shanghai Advanced Institute of Finance (SAIF), SJTU

How the Cryptocurrency Market is Connected to the Financial Market

Sang Rae Kim

Kyung Hee University, Korea, Republic of (South Korea)

Climate Capitalists

Niels Gormsen¹, Kilian Huber¹, Sangmin Simon Oh²

1: Chicago Booth; 2: Columbia Business School

Stagflationary Stock Returns

Ben Knox, Yannick Timmer

Federal Reserve Board, United States of America

Better than Human? Experiments with AI Debt Collectors

James J. Choi^1,2, Dong Huang¹, Zhishu Yang³, Qi Zhang⁴

1: Yale University; 2: NBER; 3: Tsinghua University; 4: Shanghai Jiao Tong University

Optimal Staking and Liquid Token Holding Decisions in Cryptocurrency Markets

Kyoung Jin Choi¹, Junkee Jeon², Minsuk Kwak³, Byung Hwa Lim⁴

1: University of Calgary, Canada; 2: Kyung Hee University, Korea, Republic of (South Korea); 3: Hankuk University of Foreign Studies, Korea, Republic of (South Korea); 4: Sungkyunkwan University, Korea, Republic of (South Korea)

ESG Shocks in Global Supply Chains

Emilio Bisetti¹, Guoman She², Alminas Zaldokas³

1: HKUST, Hong Kong; 2: HKU, Hong Kong; 3: NUS, Singapore

Nominal rigidity and the inflation risk premium: identification from the cross section of expected returns

Hengjie Ai¹, Xinxin Hu¹, Xuhui Pan²

1: University of Wisconsin-Madison, United States of America; 2: University of Oklahoma

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

The Pre-Announcement Drift in China: Government Meetings and Macro Announcements

Qing Peng¹, Jun Pan²

1: Shanghai Advanced Institute of Finance at Shanghai Jiao Tong University; 2: Shanghai Advanced Institute of Finance at Shanghai Jiao Tong University

Do Trade Associations Matter to Corporate Strategies?

Gerard Hoberg¹, Ekaterina Neretina²

1: University of Southern California - Marshall School of Business, USA; 2: Bocconi University, Italy

Pricing the Priceless: The Financing Cost of Biodiversity Conservation

Fukang Chen¹, Minhao Chen¹, Lin William Cong^2,4, Haoyu Gao¹, Jacopo Ponticelli^3,4,5

1: Renmin University of China, China, People's Republic of; 2: Cornell SC Johnson College of Business (Johnson); 3: Kellogg School of Management, Northwestern University; 4: NBER; 5: CEPR

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

Alejandro Lopez-Lira, Yuehua Tang

University of Florida, United States of America

Learning, Price Discovery, and Macroeconomic Announcements

Haozhe Han¹, Grace Xing Hu², Calvin Dun Jia³

1: Tianjin University; 2: Tsinghua University; 3: Peking University

Bridging Research(R) and Development(D): The Strategic Role of Scientists on the Board

Ronald W. Masulis, Elvira Sojli, Wing Wah Tham, Yufeng Yao

University of New South Wales, Australia

The Co-Pricing Factor Zoo

Alexander Dickerson³, Christian Julliard², Philippe Mueller¹

1: Warwick Business School, United Kingdom; 2: London School of Economics; 3: UNSW Sydney

Optimal Integration: Human, Machine, and Generative AI

Hongda Zhong

University of Texas at Dallas and CEPR

Political Announcement Return

Yang Liu¹, Ivan Shaliastovich²

1: University of Hong Kong, Hong Kong S.A.R. (China); 2: University of Wisconsin-Madison

Failure To Jettison: The Cost of Labor on the Path to Recovery

Guanmin Liao¹, Xiaoyun Yu², Yaya Yu³, Zihan Zhang¹

1: School of Business, Renmin University of China; 2: Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University; 3: Ant Financial

The Value of Bankruptcy Enforcement in Financial Distress

Bo Li¹, Mai Li¹, Songnan Li², Laura Xiaolei Liu¹

1: Peking University; 2: University of International Business and Economics

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

Currency Risk under Capital Controls

Xiang FANG¹, Yang Liu¹, Sining Liu²

1: University of Hong Kong, Hong Kong S.A.R. (China); 2: Soochow University, China

Consumption out of Investment Proceeds under Limited Attention

Yiqing Lü¹, Xiaomeng Lu², Guodong Chen¹, Michaela Pagel³

1: NYU Shanghai, China, People's Republic of; 2: Fudan University; 3: Washington University in St. Louis

Contract Evaluation Horizon and Fund Performance

Jung Hoon Lee¹, Jayoung Nam³, Veronika Pool², Feng Zhang³

1: U.S. Treasury, United States of America; 2: Vanderbilt University; 3: Southern Methodist University

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

An Intermediation-Based Model of Exchange Rates

Semyon Malamud¹, Andreas Schrimpf², Yuan Zhang³

1: Swiss Finance Institute, EPF Lausanne, and CEPR; 2: Bank of International Settlements (BIS) and CEPR; 3: Shanghai University of Finance and Economics, China, People's Republic of

The Economics of “Buy Now, Pay Later”: A Merchant’s Perspective

Jan Keil¹, Tobias Berg², Valentin Burg³, Manju Puri⁴

1: Now: Humboldt University at Berline; From October onwards: Indian School of Business at Hyderabad, Germany; 2: Goethe Uni Frankfurt; 3: Industry Professional; 4: Duke University and NBER

Exit or Voice? Divestment, Activism, and Corporate Social Responsibility

Victor Antoine Saint-Jean

Sciences Po, France

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

Tech Dollars

Qiushi Huang¹, Dimitris Papanikolaou^2,4, Leonid Kogan^3,4

1: SAIF, Shanghai Jiao Tong University; 2: Northwestern University; 3: MIT; 4: NBER

The Surprising Performance of Green Retail Investors: A New (Behavioral) Channel

Sumit Agarwal¹, Yanlin Bao², Pulak Ghosh³, Hong Zhang², Jian Zhang⁴

1: National University of Singapore, Business School; 2: Singapore Management University, Lee Kong Chian School of Business; 3: Indian Institute of Management Bangalore, Department of Decision Sciences and Centre of Public Policy; 4: The University of Hong Kong, Faculty of Business and Economics

Environmental regulatory risks, firm pollution, and mutual funds’ portfolio choices

Seungho Choi¹, Raphael Jonghyeon Park², Simon Xu³

1: Hanyang University; Queensland University of Technology; 2: University of Technology Sydney; 3: Harvard University

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

Money Market Funds and the Pricing of Near-Money Assets

Sebastian Doerr¹, Egemen Eren¹, Semyon Malamud²

1: BIS, Switzerland; 2: EPFL

News and (Retail) Trading After Hours

Arie Gozluklu¹, Bei Cui², Ozkan Haykir³

1: University of Warwick, United Kingdom; 2: Monash University; 3: Nigde Omer Halisdemir University

Corporate Green Bonds: Market Response and Corporate Response

Sanjai Bhagat¹, Aaron Yoon²

1: University of Colorado Boulder, United States of America; 2: Northwestern University, United States of America

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

The Pre-FOMC Drift and the Secular Decline in Long-Term Interest Rates

Qing Peng¹, Jun Pan²

1: Shanghai Advanced Institute of Finance at Shanghai Jiao Tong University; 2: Shanghai Advanced Institute of Finance at Shanghai Jiao Tong University

Transparency and Fragility: Evidence from Wealth Management Products Sell-off

Yabin Wang¹, Zhang Wu²

1: Norwegian University of Science and Technology, Norway; 2: Hong Kong Monetary Authority, Hong Kong SAR

Allocative Efficiency of Green Finance Instruments

Kai Li¹, Yicheng Wang¹, Chenjie Xu²

1: Peking University HSBC Business School; 2: Finance Department, Shanghai University of Finance and Economics

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

The demand for government debt

Dora Xia, Andreas Schrimpf, Eren Egemen

Bank for International Settlements, China, People's Republic of

Timing is Money: Limit Order Cancellation and Investment Performance

Wei-Yu Kuo¹, Tse-Chun Lin², Jing Zhao³

1: National Chengchi University; 2: The University of Hong Kong; 3: Hong Kong Polytechnic University, Hong Kong S.A.R. (China)

Financing the Global Shift to Electric Mobility

Bo Bian¹, Jan Bena¹, Huan Tang²

1: University of British Columbia, Canada; 2: The Wharton School

Hidden Duration: Interest Rate Derivatives in Fixed Income Funds

Jaewon Choi¹, Minsoo Kim², Oliver Randall²

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

Limitation of Firm Fixed Effects Models and the Missing R&D-Patent Relation: New Methods and Evidence

Hui-Ching Chuang¹, Po-Hsuan Hsu², Chung-Ming Kuan³, Jui-Chung Yang³

1: National Taipei University, Taiwan; 2: National Tsing Hua University,Taiwan; 3: National Taiwan University, Taiwan

Salience and Short-term Momentum and Reversals

Yili Chen¹, Huaixin Wang², Jianfeng Yu²

1: Peking University; 2: Tsinghua University

The Impact of ICT Human Capital on Remote Work and Asset Prices

Jack Favilukis¹, Jing Gao², Xiaoji Lin², Ali Sharifkhani³, Xiaofei Zhao⁴

1: University of British Columbia, Canada; 2: University of Minnesota, United States of America; 3: Northeastern University, United States of America; 4: Georgetown University, United States of America

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

Inferring Financial Flexibility: Do Actions Speak Louder than Words?

Sudipto Dasgupta¹, Erica X.N. Li², Siyuan Wu³

1: The Chinese University of Hong Kong, ABFER, CEPR, ECGI; 2: Cheung Kong Graduate School of Business; 3: The Chinese University of Hong Kong

Does Peer-Reviewed Research Help Predict Stock Returns?

Andrew Chen¹, Alejandro Lopez-Lira², Tom Zimmermann³

1: Federal Reserve Board; 2: University of Florida; 3: University of Cologne

Leaks, disclosures and internal communication

Snehal Banerjee¹, Peicong Hu², Taejin Kim³

1: UC San Diego; 2: The University of Hong Kong; 3: Korea University

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

Production Networks, Capital Structure and Contagion

Carlos Nunez¹, Ajay Subramanian²

1: California State University, Northridge; 2: Georgia State University

Same-Weekday Momentum

Zhi Da¹, Xiao Zhang²

1: University of Notre Dame, United States of America; 2: University of Maryland, United States of America

Screen More, Sell Later: Screening and Dynamic Signaling in the Mortgage Market

Manuel Adelino¹, Bin Wei², Feng Zhao³

1: Fuqua School of Business, Duke University; NBER; CEPR; 2: Research Department, Federal Reserve Bank of Atlanta; 3: University of Texas at Dallas, United States of America