We present results from an experiment where participants have access to a set of robots (automated trading algorithms), which they may deploy, launch, halt and replace at will, while still trading manually.
Participants in an experimental market choose to enter private value trades manually and/or algorithmically. Each algorithm or trading robot makes or takes liquidity based on the trader’s current marginal valuation modulo a spread chosen by the trader. We evaluate experimental outcomes against both competitive equilibrium and equilibrium of the strategic game if all participants choose…
Alpha depends on return measurement horizon, particularly as the horizon becomes long. We introduce a procedure to estimate long-horizon alphas from short-horizon returns, and find that among those mutual funds with positive alphas estimated from monthly returns, nearly a third have negative alpha estimates when returns are measured at the ten-year horizon.
We show that characteristics known to predict returns to U.S. stocks also predict returns for a broad sample of nearly 52,000 stocks from fifty-eight non-U.S. countries, and we evaluate the extent to which six prominent corporate events, including initial and secondary stock offerings, stock repurchases, dividend initiations, stock splits, and merger announcements, are associated with…
Using a novel empirical approach and newly available administrative data on U.S. tax filings, we estimate the corporate elasticity of taxable income, decompose the elasticity into economic responses versus other tax-motivated “accounting” transactions, and determine how responsiveness varies depending on accounting method, firm size, and interest rate.
In 2021, many firms began considering and implementing vaccine mandates as a means to return workers to in-person work. In response, twelve states enacted laws banning employer COVID-19 vaccine mandates.
We hypothesize and provide evidence that prices are more inelastic when demand is less diversifiable. Specifically, we decompose order-flow imbalance into several components with varying degrees of diversifiability and estimate their price impacts.