Search Results
Showing results 1 to 4 of approximately 4.
(refine search)
Working Paper
Effects of Information Overload on Financial Markets: How Much Is Too Much?
Motivated by cognitive theories verifying that investors have limited capacity to process information, we study the effects of information overload on stock market dynamics. We construct an information overload index using textual analysis tools on daily data from The New York Times since 1885. We structure our empirical analysis around a discrete-time learning model, which links information overload with asset prices and trading volume when investors are attention constrained. We find that our index is associated with lower trading volume and predicts higher market returns for up to 18 ...
Working Paper
Financial Consequences of Severe Identity Theft in the U.S.
We examine how a negative shock from severe identity theft affects consumer credit market behavior in the United States. We show that the immediate effects of severe identity theft on credit files are typically negative, small, and transitory. After those immediate effects fade, identity theft victims experience persistent increases in credit scores and declines in reported delinquencies, with a significant proportion of affected consumers transitioning from subprime-to-prime credit scores. Those consumers take advantage of their improved creditworthiness to obtain additional credit, ...
Working Paper
Financial Consequences of Identity Theft
We examine how a negative shock from identity theft affects consumer credit market behavior. We show that the immediate effects of fraud on credit files are typically negative, small, and transitory. After those immediate effects fade, identity theft victims experience persistent increases in credit scores and declines in reported delinquencies, with a significant proportion of affected consumers transitioning from subprime-to-prime credit scores. Those consumers take advantage of their improved creditworthiness to obtain additional credit, including auto loans and mortgages. Despite having ...
Report
Investor Attention to Bank Risk During the Spring 2023 Bank Run
We examine how investors’ perception of bank balance sheet risk evolved before and during the March-April 2023 bank run. To do so, we estimate the covariance (“beta”) of bank excess stock returns with returns on factors constructed from long-short portfolios sorted on shares of uninsured deposits and unrealized losses on securities. We find that the market’s perception of bank risk shifted in both the time series and the cross-section. From January 2022 to February 2023, both factor betas were mostly insignificant, but after the bank run started, they became positive and significant ...