Movements in Yields, not the Equity Premium: Bernanke-Kuttner Redux

Stefan Nagel¹, Zhengyang Xu²

1: University of Chicago; 2: City University of Hong-Kong

Tail Risk around FOMC Announcements

Xuhui Nick Pan³, Kris Jacobs¹, Sai Ke²

1: University of Houston; 2: University of Mississippi; 3: University of Oklahoma, United States of America

Risk Premia, Subjective Beliefs, and Forward Guidance

Paymon Khorrami, Anna Cieslak

Duke University, United States of America

Monetary Policy Transmission Through Online Banks

Isil Erel¹, Jack Liebersohn², Constantine Yannelis³, Samuel Earnest³

1: The Ohio State University, United States of America; 2: University of California Irvine; 3: University of Chicago Booth School of Business

Do Investor Differences Impact Monetary Policy Spillovers to Emerging Markets?

Ester Faia¹, Karen K. Lewis², Haonan Zhou³

1: Goethe University Frankfurt and CEPR; 2: University of Pennsylvania, CEPR, and NBER; 3: University of Hong Kong

Monetary Policy in the Age of Social Media: A Twitter-Based Inflation Analysis

Benjamin Born¹, Hrishbh Dalal¹, Nora Lamersdorf², Jana-Lynn Schuster¹, Sascha Steffen¹

1: Frankfurt School of Finance & Management; 2: Goethe University and Frankfurt School of Finance & Management

Pension Liquidity Risk

Kristy Jansen^2,4, Sven Klingler¹, Angelo Ranaldo³, Patty Duijm⁴

1: BI Norwegian Business School, Norway; 2: University of Southern California; 3: University of St Gallen; 4: De Nederlandsche Bank

The Market for Sharing Interest Rate Risk: Quantities and Asset Prices

Ishita Sen¹, Jane Li², Umang Khetan³, Ioana Neamtu⁴

1: Harvard Business School, United States of America; 2: Columbia Business School; 3: University of Iowa; 4: Bank of England

Variable Deposit Betas and Bank Interest Rate Risk Exposure

Mustafa Emin¹, Christopher James², Tao Li²

1: Tulane University, United States of America; 2: University of Florida, United States of America

The Derivative Payoff Bias

Guido Baltussen^1,4, Julian Terstegge², Paul Whelan³

1: Erasmus university rotterdam, Netherlands, The; 2: Copenhagen Business School; 3: The Chinese University of Hong Kong; 4: Northern Trust Asset Management - Quantitative Strategies

An Anatomy of Retail Option Trading

Vincent Bogousslavsky², Dmitriy Muravyev¹

1: Michigan State University; 2: Boston College

Get the Option Rolling: Option Return Predictability around the Expiration Dates

Pedro Angel Garcia Ares

Instituto Tecnológico Autónomo de México (ITAM), United Kingdom

Leverage Dynamics and Learning about Economic Crises

Artur Anschukov², Harjoat Bhamra², Lars-Alexander Kuehn¹

1: Carnegie Mellon University, United States of America; 2: Imperial College Business School

Misallocation and Asset Prices

Winston Dou¹, Yan Ji², Di Tian², Pengfei Wang³

1: University of Pennsylvania; 2: Hong Kong University of Science and Technology; 3: Peking University

Asset Pricing with the Awareness of New Priced Risks

Christian Heyerdahl-Larsen¹, Philipp Illeditsch², Petra Sinagl³

1: BI Norwegian Business School; 2: Texas A&M; 3: University of Iowa, United States of America

Expected Returns and Large Language Models

Dacheng Xiu³, Yifei Chen¹, Bryan Kelly²

1: University of Chicago, United States of America; 2: Yale University, United States of America; 3: University of Chicago, United States of America

The Ghost in the Machine: Generating Beliefs with Large Language Models

Leland Bybee

Yale, United States of America

From Transcripts to Insights: Uncovering Corporate Risks Using Generative AI

Alex Kim, Maximilian Muhn, Valeri Nikolaev

Chicago Booth, United States of America

Stagflationary Stock Returns

Benjamin Knox, Yannick Timmer

Federal Reserve Board, United States of America

Innovation-Driven Contractions: A Key to Unravel Asset Pricing Puzzles

Gill Segal¹, Chao Ying²

1: University of North Carolina at Chapel Hill, United States of America; 2: Chinese University of Hong Kong

More factors matter and factors matter more than you might think: The role of time variation in factor premia

Hendrik Bessembinder¹, Aaron Burt², Christopher Hrdlicka³

1: Arizona State University; 2: Oklahoma State University; 3: University of Washington

Canary in the Coal Mine: Bank Liquidity Shortages and Local Economic Activity

Raj Iyer¹, Shohini Kundu², Nikos Paltalidis³

1: Imperial College and CERP; 2: Anderson School of Management, University of California, Los Angeles; 3: Durham University, United Kingdom

How do supply shocks to inflation generalize? Evidence from the pandemic era in Europe

Viral Acharya², Matteo Crosignani³, Tim Eisert¹, Christian Eufinger⁴

1: Nova SBE; 2: NYU Stern; 3: New York Fed; 4: IESE

LASH Risk and Interest Rates

Laura Alfaro¹, Saleem Bahaj^2,3, Robert Czech³, Jonathan Hazell⁴, Ioana Neamtu³

1: Harvard Business School; 2: University College London; 3: Bank of England; 4: London School of Economics

Central Bank Swap Lines: Micro-Level Evidence

Gerardo Ferrara², Philippe Mueller¹, Ganesh Viswanath Natraj¹, Junxuan Wang³

1: University of Warwick, Warwick Business School; 2: Bank of England; 3: University of Cambridge, Judge Business School

Quantitative Easing and the Supply of Safe Assets: Evidence from International Bond Safety Premia

Jens H Christensen¹, Nikola Mirkov², Xin Zhang³

1: Federal Reserve Bank of San Francisco, United States of America; 2: ITAM; 3: Sveriges RIksbank

Assortative Matching, Interbank Markets, and Monetary Policy

Rustam Jamilov¹, Christian Bittner², Farzad Saidi³

1: University of Oxford, United Kingdom; 2: Deutsche Bundesbank and Goethe University Frankfurt; 3: University of Bonn and CEPR