Economists have traditionally viewed futures prices as fully informative about future economic activity and asset prices. We argue that open interest could be more informative than futures prices in the presence of hedging demand and limited risk absorption capacity in futures markets. We find...

Economists have traditionally viewed futures prices as fully informative about future economic activity and asset prices. We argue that open interest could be more informative than futures prices in the presence of hedging demand and limited risk absorption capacity in futures markets. We find...

"Open interest, or the amount of contracts outstanding in futures markets, has remarkable power to forecast commodity, currency, bond, and stock prices. Changes in open interest are highly pro-cyclical and predict asset-price fluctuations better than a number of alternative variables including...

We find that the price volatility of renewable assets is significantly greater than that of brown assets. Our causal estimates leverage the response of electricity and credit markets to US state-level renewable portfolio standards that require some utilities to use renewables while exempting...

We estimate the return of climate adaptation by modeling the uncertain impact of global warming for extreme weather. Unexpected arrivals elevate extreme-weather risk, which leads households and firms to adapt and thereby lowering the damage of each subsequent arrival. Our approach provides...

Most S&P 500 corporations disclose that their profits depend on non-wage competition for worker talent via workplace amenities like work-life balance. We quantify this dependence using a labor market matching model with endogenous amenities. When productive (unproductive) firms provide the...

A number of theories have been proposed to explain the medium-term momentum in stock returns identified by Jegadeesh and Titman (1993). We test one such theory--based on the gradual-information-diffusion model of Hong and Stein (1997)--and establish three key results. First, once one moves past...