We estimate financial institutions' portfolio tilts that relate to stocks' environmental, social, and governance (ESG) characteristics. We find ESG-related tilts totaling 6% of the investment industry's assets under management in 2021. ESG tilts are significant at both the extensive margin...

Using the number of Robinhood users holding a firm’s shares, I examine how novice retail investors respond to earnings announcements and the implications of their responses for the price-earnings relation. I do not find evidence of informed trading among these investors. Changes in their...

Long-term fixed-rate mortgage contracts protect households against interest rate risk, yet most countries have relatively short interest rate fixation lengths. Using administrative data from the UK, the paper finds that the choice of fixation length tracks the life-cycle decline of credit risk...

A critical debate exists around the extent to which retail investors do, or should, invest in socially responsible investments. We provide evidence relevant to this debate by investigating the aggregate trading patterns of retail investors around a comprehensive sample of key Environmental,...

To examine whether theory helps predict the cross-section of returns, we combine text analysis of publications with out-of-sample tests. Based on the original texts, only 18% of predictors are attributed to risk-based theory. 59% are attributed to mispricing, and 23% have uncertain origins....

We analyze a large number of industry- and company-level filings of global institutional investors to provide the first comprehensive estimates of foreign investors' U.S. dollar (USD) security holdings and currency hedging practices. We find that foreign investors increased their holdings of USD...

We theoretically and quantitatively analyze the impact of fiscal and monetary stimulus during and after the 2020 Covid recession on output, inflation, and house prices. Our theoretical analysis clarifies that fiscal stimulus increases consumption demand in a recession by providing liquidity, by...

I show that capital is misallocated across liquidity pools on blockchain-based decentralized exchanges. Many pools have persistent abnormal returns, both with respect to factor models and compared to options-implied liquidity premia. Pools with higher past returns continue to have significantly...

We study the implications of undiversified investors in a production-based asset pricing model with rare disasters. In our model, households experience idiosyncratic shocks to human capital and partially invest their wealth in a single firm with idiosyncratic shocks. The model features tractable...

This paper sheds new light on the impact of corporate monitoring by institutional investors. I show that investors with large proportions of their portfolio allocated to a firm, which I term high “portfolio-at-risk” (PAR) institutions, are effective monitors. Textual analysis of more than...