Identifying the Portfolio Balance Mechanism

Jefferson Duarte, Tarik Umar

Rice University, United States of America

Quantitative Tightening with Slow-Moving Capital

Jialu Sun, Zhengyang Jiang

Northwestern University, United States of America

Monetary Policy, the Yield Curve, and the Repo Market

Ruggero Jappelli¹, Loriana Pelizzon², Marti Subrahmanyam³

1: Warwick Business School; 2: SAFE Leibniz and Goethe University Frankfurt; 3: NYU Stern

Endogenous Limits to Arbitrage and Price Informativeness

Johann Reindl¹, Oyvind Norli², Di Cui³

1: Oslo Metropolitan University, Norway; 2: BI Norwegian Business School; 3: Central University of Finance and Economics Beijing

Inside and Outside Informed Trading

Zhi Da¹, Xi Dong², Ke Wu³, Dexin Zhou²

1: University of Notre Dame; 2: Baruch College, United States of America; 3: Renmin University of China

Strategic Arbitrage in Segmented Markets

Svetlana Bryzgalova, Anna Pavlova, Taisiya Sikorskaya

London Business School, United Kingdom

Asset Pricing, Participation Constraints, and Inequality

Goutham Gopalakrishna¹, Jonathan Payne², Zhouzhou Gu²

1: Rotman School of Management, University of Toronto, Canada; 2: Princeton University

Do Households Matter for Asset Prices?

Jens Kvaerner¹, Samuli Knupfer², Bahar Sen-Dogan¹, Petra Vokata³

1: Tilburg University, Netherlands, The; 2: Aalto University School of Business; 3: Ohio State University

Asset Prices, Wealth Inequality, and Taxation

Suleyman Basak¹, Georgy Chabakauri²

1: London Business School, United Kingdom; 2: London School of Economics, United Kingdom

Admissible Surplus Dynamics and the Government Debt Puzzle

Pierre Collin-Dufresne, Julien Hugonnier, Elena Perazzi

EPFL and Swiss Finance Institute, Switzerland

Global Footprint of US Fiscal Policy

Sun Yong Kim

Northwestern University, United States of America

The demand for government debt

Fan Dora XIA, Egemen Eren, Andreas Schrimpf

Bank for International Settlements, Hong Kong S.A.R. (China)

The Long-term Effects of Inflation on Inflation Expectations

Fabio Braggion¹, Felix von Meyerinck², Nic Schaub³, Michael Weber⁴

1: University of Tillburg, the Netherlands; 2: University of Zurich, Switzerland; 3: WHU -- Otto Beisheim School of Management, Germany; 4: University of Chicago Booth, U.S.A.

TELL ME SOMETHING I DON’T ALREADY KNOW: LEARNING IN LOW AND HIGH-INFLATION SETTINGS

Michael Weber

University of Chicago, United States of America

Inflation Forecasting From Cross-Sectional Stocks

Claire Yurong Hong¹, Jun Liu², Jun PAN³, Shiwen Tian⁴

1: SAIF, Shanghai Jiao Tong University; 2: UC San Diego; 3: SAIF, Shanghai Jiao Tong University CAFR; 4: Central University of Finance and Economics

A New Option Momentum: Compensation for Risk

Heiner Beckmeyer¹, Ilias Filippou², Guofu Zhou³

1: University of Münster; 2: Olin Business School, Washington University in St. Louis; 3: Olin Business School, Washington University in St. Louis

The Hairy Premium

Pasquale Della Corte¹, Ljubica Georgievska², Anthony Saunders³, Zhaneta Krasimirova Tancheva²

1: Imperial College Business School; 2: BI Norwegian Business School; 3: NYU Stern School of Business

The Monthly Cycle of Option Prices

Chao Gao¹, Jia He², Grace Xing Hu³

1: College of Business and Economics, Australian National University; 2: School of Public Finance and Taxation, Central University of Finance and Economics; 3: PBC School of Finance, Tsinghua University

The Subjective Risk and Return Expectations of Institutional Investors

Spencer Couts¹, Andrei Goncalves², Johnathan Loudis³

1: Price School of Public Policy, University of Southern California; 2: Fisher College of Business, The Ohio State University; 3: Mendoza College of Business, University of Notre Dame

The Cross-section of Subjective Expectations: Understanding Prices and Anomalies

Ricardo De la O¹, Xiao Han², Sean Myers³

1: USC Marshall Business School; 2: Bayes Business School, United Kingdom; 3: Wharton School, University of Pennsylvania

Subjective Risk and Return

Theis Jensen

Yale University, United States of America

Large (and Deep) Factor Models

Bryan Kelly², Boris Kuznetsov¹, Semyon Malamud Malamud¹, Teng Andrea Xu¹

1: Êcole Polytechnique Fédérale de Launne (EPFL), Switzerland; 2: Yale

Forecasting and Managing Correlation Risks

Tim Bollerslev¹, Sophia Zhengzi Li², Yushan Tang³

1: Duke University, NBER and CREATES; 2: Rutgers Business School; 3: Shanghai University of Finance and Economics

Essence of the Cross Section

Sina Seyfi

Aalto University, Finland

Passive Demand and Active Supply: Evidence from Maturity-mandated Corporate Bond Funds

Lorenzo Bretscher¹, Lukas Schmid², Tiange Ye³

1: University of Lausanne/Swiss Finance Institute; 2: USC, Marshall; 3: USC, Marshall

The Corporate Bond Factor Zoo

Phlippe Mueller², Christian Julliard¹, Alexander Dickerson³

1: LSE, United Kingdom; 2: University of Warwick, United Kingdom; 3: University of New South Wales, Australia

Interdealer Price Dispersion

Shuo Liu¹, Andrea Eisfeldt², Bernard Herskovic²

1: Tsinghua University, China, People's Republic of; 2: UCLA Anderson School, Department of Finance