Investor Memory and Biased Beliefs: Evidence from the Field
We survey a large representative sample of retail investors in China to elicit their memories of stock market investment and return expectations. We...
High-frequency trading in the stock market and the costs of options market making
Journal of Financial Economics, 159, 103900
The Law of Small Numbers in Financial Markets: Theory and Evidence
We build a model of the law of small numbers (LSN)—the incorrect belief that even small samples represent the properties of the underlying population...
Chinese Debt Capital Markets - An Emerging Global Market with Chinese Characteristics
With the deepening of China's reform and opening up, and the sustained development of the Chinese economy, the Chinese bond market has become an...
Centralized vs Decentralized Markets: The Role of Connectivity
We consider a setting in which privately informed agents are located in a network and trade a risky asset with other agents with whom they are...
Putting the Price in Asset Pricing
We propose a novel way to estimate a portfolio’s abnormal price, the percentage gap between price and the present value of dividends computed with a...
Long-Horizon Exchange Rate Expectations
We study exchange rate expectations in surveys of financial professionals and find that they successfully forecast currency appreciation at the two...
Reaching for Yield: Evidence from Households
The existing literature has documented “reaching for yield” - the phenomenon of investing more in risky assets when interest rates drop - among...
Cleansing by tight credit: Rational cycles and endogenous lending standards
Journal of Financial Economics, 150(1), 46-67
Stress-testing the banking system: what lies ahead?
Pedro Duarte Neves says stress tests must evolve to capture systemic, liquidity and cyber risks.
Stylised facts on the effectiveness of macroprudential policy
This policy note summarises the main empirical findings on the effectiveness of macroprudential policy: macroprudential policy contributes to a...
