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Chicago Booth Research Paper Series

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1.

Perceived Precautionary Savings Motives: Evidence from FinTech

Chicago Booth Research Paper No. 19-26, Fama-Miller Working Paper, University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-140
Number of pages: 61 Posted: 06 Dec 2019
Working Paper Series
Francesco D'Acunto, Thomas Rauter, Christoph Scheuch and Michael Weber
Boston College, University of Chicago - Booth School of Business, Vienna Graduate School of Finance (VGSF) and University of Chicago - Finance
Downloads 54
2.

The Black Market for Beijing License Plates

Chicago Booth Research Paper No. 19-25, University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-139
Number of pages: 46 Posted: 05 Dec 2019
Working Paper Series
Øystein Daljord, Mandy Hu, Guillaume Pouliot and Junji Xiao
University of Chicago, Booth School of Business, The Chinese University of Hong Kong (CUHK) - Department of Marketing, Harris School of Public Policy and University of Technology Sydney (UTS)
Downloads 18
3.

Human Frictions in the Transmission of Economic Policy

Chicago Booth Research Paper No. 19-21, Fama-Miller Working Paper
Number of pages: 44 Posted: 12 Sep 2019 Last Revised: 05 Dec 2019
Working Paper Series
Francesco D'Acunto, Daniel Hoang, Maritta Paloviita and Michael Weber
Boston College, Karlsruhe Institute of Technology (KIT), Bank of Finland - Research and University of Chicago - Finance

Multiple version iconThere are 2 versions of this paper

Downloads 29
4.

IQ, Expectations, and Choice

Chicago Booth Research Paper No. 19-20, Fama-Miller Working Paper
Number of pages: 76 Posted: 12 Sep 2019
Working Paper Series
Francesco D'Acunto, Daniel Hoang, Maritta Paloviita and Michael Weber
Boston College, Karlsruhe Institute of Technology (KIT), Bank of Finland - Research and University of Chicago - Finance

Multiple version iconThere are 4 versions of this paper

Downloads 31
5.

Exposure to Daily Price Changes and Inflation Expectations

Chicago Booth Research Paper No. 19-17 (2019), Fama-Miller Working Paper
Number of pages: 58 Posted: 13 Aug 2019
Working Paper Series
Francesco D'Acunto, Ulrike Malmendier, Juan Ospina and Michael Weber
Boston College, University of California, Berkeley - Department of Economics, University of Chicago and University of Chicago - Finance

Multiple version iconThere are 3 versions of this paper

Downloads 46
6.

Managing Households' Expectations with Salient Economic Policies

Chicago Booth Research Paper No. 19-16 (2019), Fama-Miller Working Paper (2019)
Number of pages: 73 Posted: 10 Aug 2019 Last Revised: 25 Aug 2019
Working Paper Series
Francesco D'Acunto, Daniel Hoang and Michael Weber
Boston College, Karlsruhe Institute of Technology (KIT) and University of Chicago - Finance

Multiple version iconThere are 2 versions of this paper

Downloads 20
7.

Measuring and Modeling Execution Cost and Risk

Chicago GSB Research Paper No. 08-09, https://doi.org/10.3905/jpm.2012.38.2.014
Posted: 21 May 2019
Accepted Paper Series
Robert F. Engle, Robert Ferstenberg and Jeffrey R. Russell
New York University - Leonard N. Stern School of Business - Department of Economics, Morgan Stanley and University of Chicago - Booth School of Business - Econometrics and Statistics

Multiple version iconThere are 3 versions of this paper

8.

Tax Avoidance and the Real Effect of Tax-Risk Disclosures

Chicago Booth Research Paper No. 19-14, Fama-Miller Working Paper
Number of pages: 57 Posted: 16 May 2019 Last Revised: 25 May 2019
Working Paper Series
Charles McClure
University of Chicago Booth School of Business
Downloads 237
9.

Liquidity Risk After 20 Years

Chicago Booth Research Paper No. 19-13, Fama-Miller Working Paper
Number of pages: 25 Posted: 15 Apr 2019 Last Revised: 10 May 2019
Working Paper Series
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School

Multiple version iconThere are 3 versions of this paper

Downloads 591
10.

Autoencoder Asset Pricing Models

Yale ICF Working Paper No. 2019-04, Chicago Booth Research Paper No. 19-24
Number of pages: 35 Posted: 07 Mar 2019 Last Revised: 01 Oct 2019
Working Paper Series
Shihao Gu, Bryan T. Kelly and Dacheng Xiu
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
Downloads 2,233
11.

Expected Loan Loss Provisioning: An Empirical Model

Chicago Booth Research Paper No. 19-11
Number of pages: 49 Posted: 01 Mar 2019 Last Revised: 07 Mar 2019
Working Paper Series
Yao Lu and Valeri V. Nikolaev
University of Chicago - Booth School of Business and University of Chicago Booth School of Business
Downloads 155
12.

Estimating the Anomaly Base Rate

Chicago Booth Research Paper No. 19-10, Fama-Miller Working Paper
Number of pages: 62 Posted: 01 Mar 2019 Last Revised: 20 Nov 2019
Working Paper Series
Alex Chinco, Andreas Neuhierl and Michael Weber
University of Illinois at Urbana-Champaign - College of Business, University of Notre Dame - Department of Finance and University of Chicago - Finance

Multiple version iconThere are 3 versions of this paper

Downloads 206
13.

Crowdsourcing Financial Information to Change Spending Behavior

Chicago Booth Research Paper No. 19-09, Fama-Miller Working Paper
Number of pages: 49 Posted: 22 Feb 2019
Working Paper Series
Francesco D'Acunto, Alberto Rossi and Michael Weber
Boston College, University of Maryland - Department of Finance and University of Chicago - Finance

Multiple version iconThere are 2 versions of this paper

Downloads 125
14.

Auditors are Known by the Companies They Keep

Chicago Booth Research Paper No. 19-12
Number of pages: 71 Posted: 19 Feb 2019 Last Revised: 27 Oct 2019
Working Paper Series
Jonathan A Cook, Zachary T Kowaleski, Michael Minnis, Andrew Sutherland and Karla M. Zehms
Public Company Accounting Oversight Board, University of Notre Dame - Department of Accountancy, University of Chicago - Booth School of Business, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Wisconsin - Madison - Department of Accounting and Information Systems
Downloads 362
15.

The Impact of Banking Regulation on Voluntary Disclosures: Evidence from the Dodd-Frank Act

Chicago Booth Research Paper No. 19-08, Fama-Miller Working Paper
Number of pages: 52 Posted: 12 Feb 2019
Working Paper Series
Anya Kleymenova and Li Zhang
The University of Chicago Booth School of Business and Rutgers, The State University of New Jersey - Accounting
Downloads 169
16.

Punish One, Teach A Hundred: The Sobering Effect of Punishment on the Unpunished

Fama-Miller Working Paper, Chicago Booth Research Paper No. 19-06
Number of pages: 62 Posted: 08 Feb 2019 Last Revised: 18 Sep 2019
Working Paper Series
Francesco D'Acunto, Michael Weber and Jin Xie
Boston College, University of Chicago - Finance and The Chinese University of Hong Kong (CUHK)

Multiple version iconThere are 3 versions of this paper

Downloads 172
17.

Observing Enforcement: Evidence from Banking

Chicago Booth Research Paper No. 19-05, Fama-Miller Working Paper
Number of pages: 78 Posted: 04 Feb 2019 Last Revised: 24 Dec 2019
Working Paper Series
Anya Kleymenova and Rimmy E. Tomy
The University of Chicago Booth School of Business and University of Chicago
Downloads 213
18.

High-Frequency Factor Models and Regressions

Chicago Booth Research Paper No. 19-04
Number of pages: 50 Posted: 23 Jan 2019
Working Paper Series
Yacine Ait-Sahalia, Ilze Kalnina and Dacheng Xiu
Princeton University - Department of Economics, North Carolina State University - Department of Economics and University of Chicago - Booth School of Business
Downloads 244
19.

Monetary Policy Communications and Their Effects on Household Inflation Expectations

Fama-Miller Working Paper (2019), Chicago Booth Research Paper No. 19-03 (2019)
Number of pages: 64 Posted: 16 Jan 2019 Last Revised: 17 Sep 2019
Working Paper Series
Olivier Coibion, Yuriy Gorodnichenko and Michael Weber
University of Texas at Austin, University of California, Berkeley - Department of Economics and University of Chicago - Finance

Multiple version iconThere are 3 versions of this paper

Downloads 52
20.

Non-answers during Conference Calls

Chicago Booth Research Paper No. 19-01, Fama-Miller Working Paper , Rock Center for Corporate Governance at Stanford University Working Paper No. 237
Number of pages: 60 Posted: 04 Jan 2019 Last Revised: 31 Jan 2019
Working Paper Series
Ian D. Gow, David F. Larcker and Anastasia A. Zakolyukina
University of Melbourne, Stanford University - Graduate School of Business and University of Chicago - Booth School of Business
Downloads 360
21.

The Propagation of Monetary Policy Shocks in a Heterogeneous Production Economy

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2018-78, Chicago Booth Research Paper No. 18-11, Fama-Miller Working Paper
Number of pages: 38 Posted: 22 Nov 2018 Last Revised: 06 Jan 2020
Working Paper Series
Ernesto Pasten, Raphael Schoenle and Michael Weber
University of Toulouse 1 - Toulouse School of Economics (TSE), Brandeis University and University of Chicago - Finance

Multiple version iconThere are 4 versions of this paper

Downloads 27
22.

The Equilibrium Effects of Information Deletion: Evidence from Consumer Credit Markets

Chicago Booth Research Paper No. 19-15, Fama-Miller Working Paper
Number of pages: 37 Posted: 24 Oct 2018 Last Revised: 29 Nov 2019
Working Paper Series
Andres Liberman, Christopher Neilson, Luis Opazo and Seth D. Zimmerman
New York University (NYU) - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business, Central Bank of Chile and Yale University

Multiple version iconThere are 2 versions of this paper

Downloads 34
23.

Interest Rates and Inflation Revisited

Chicago Booth Research Paper No. 18-10, Fama-Miller Working Paper
Number of pages: 15 Posted: 18 Oct 2018 Last Revised: 29 Dec 2018
Working Paper Series
Eugene F. Fama
University of Chicago - Finance
Downloads 359
24.

Financial Intermediation Through Financial Disintermediation: Evidence from the ECB Corporate Sector Purchase Programme

Fama-Miller Working Paper , Chicago Booth Research Paper No. 18-06
Number of pages: 70 Posted: 16 Jun 2018 Last Revised: 22 Nov 2019
Working Paper Series
Aytekin Ertan, Anya Kleymenova and Marcel Tuijn
London Business School, The University of Chicago Booth School of Business and Erasmus University Rotterdam (EUR)
Downloads 214
25.

The Economic Limits of Bitcoin and the Blockchain

Chicago Booth Research Paper No. 18-07
Number of pages: 24 Posted: 16 Jun 2018
Working Paper Series
Eric B. Budish
University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 214
26.

Empirical Asset Pricing via Machine Learning

Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018, Yale ICF Working Paper No. 2018-09
Number of pages: 79 Posted: 09 Apr 2018 Last Revised: 15 Sep 2019
Working Paper Series
Shihao Gu, Bryan T. Kelly and Dacheng Xiu
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 10,341
27.

Screening for Breast Cancer: The Role of Supplemental Tests and Breast Density Information

Chicago Booth Research Paper No. 18-03
Number of pages: 42 Posted: 12 Feb 2018
Working Paper Series
Burhaneddin Sandikci, Mucahit Cevik and David Schacht
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and University of Chicago - Dept. of Radiology
Downloads 157
28.

Unconventional Fiscal Policy

Chicago Booth Research Paper No. 18-02, Fama-Miller Working Paper
Number of pages: 6 Posted: 18 Jan 2018
Working Paper Series
Francesco D'Acunto, Daniel Hoang and Michael Weber
Boston College, Karlsruhe Institute of Technology (KIT) and University of Chicago - Finance

Multiple version iconThere are 4 versions of this paper

Downloads 91
29.

Volatility Lessons

Chicago Booth Research Paper No. 17-33, Fama-Miller Working Paper
Number of pages: 20 Posted: 04 Dec 2017 Last Revised: 19 Oct 2018
Working Paper Series
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 1,722
30.

Information versus Investment

Chicago Booth Research Paper No. 19-02, Fama-Miller Working Paper
Number of pages: 56 Posted: 21 Nov 2017 Last Revised: 09 Jan 2019
Working Paper Series
Stephen Terry, Toni M. Whited and Anastasia A. Zakolyukina
Boston University, University of Michigan, Stephen M. Ross School of Business and University of Chicago - Booth School of Business
Downloads 235
31.

Dissecting Characteristics Nonparametrically

Fama-Miller Working Paper, Chicago Booth Research Paper No. 17-32
Number of pages: 105 Posted: 20 Nov 2017 Last Revised: 27 Jul 2018
Working Paper Series
Joachim Freyberger, Andreas Neuhierl and Michael Weber
University of Wisconsin - Madison, University of Notre Dame - Department of Finance and University of Chicago - Finance

Multiple version iconThere are 6 versions of this paper

Downloads 159
32.

Monetary Policy Through Production Networks: Evidence from the Stock Market

Fama-Miller Working Paper , Chicago Booth Research Paper No. 17-31
Number of pages: 66 Posted: 20 Nov 2017
Working Paper Series
Ali K. Ozdagli and Michael Weber
Federal Reserve Banks - Federal Reserve Bank of Boston and University of Chicago - Finance

Multiple version iconThere are 6 versions of this paper

Downloads 105
33.

Signaling Safety

Chicago Booth Research Paper 17-30, Fama-Miller Working Paper
Number of pages: 102 Posted: 04 Nov 2017 Last Revised: 07 Dec 2019
Working Paper Series
Roni Michaely, Stefano Rossi and Michael Weber
University of Geneva - Geneva Finance Research Institute (GFRI), Bocconi University and University of Chicago - Finance

Multiple version iconThere are 5 versions of this paper

Downloads 471
34.

The Role of Mental Accounting in Household Spending and Investing Decisions

Forthcoming in C. Chaffin (Ed.), Client Psychology. New York: Wiley, Chicago Booth Research Paper No. 19-07
Number of pages: 31 Posted: 12 Oct 2017 Last Revised: 10 Feb 2019
Accepted Paper Series
C. Yiwei Zhang and Abigail B. Sussman
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 640
35.

When Moving-Average Models Meet High-Frequency Data: Uniform Inference on Volatility

Chicago Booth Research Paper No. 17-27, Fama-Miller Working Paper
Number of pages: 107 Posted: 29 Sep 2017 Last Revised: 02 Jun 2019
Working Paper Series
Rui Da and Dacheng Xiu
Univeristy of Chicago Booth School of Business and University of Chicago - Booth School of Business
Downloads 168
36.

Historical Antisemitism, Ethnic Specialization, and Financial Development

Becker Friedman Institute for Research in Economics Working Paper No. 2018-19, Chicago Booth Research Paper No. 17-26, Fama-Miller Working Paper
Number of pages: 68 Posted: 01 Sep 2017
Working Paper Series
Francesco D'Acunto, Marcel Prokopczuk and Michael Weber
Boston College, Leibniz Universität Hannover - Faculty of Economics and Management and University of Chicago - Finance

Multiple version iconThere are 3 versions of this paper

Downloads 97
37.

Price Rigidity and the Granular Origins of Aggregate Fluctuations

Chicago Booth Research Paper No. 17-25, Fama-Miller Working Paper, University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2018-54
Number of pages: 66 Posted: 20 Aug 2017 Last Revised: 09 Aug 2019
Working Paper Series
Ernesto Pasten, Raphael Schoenle and Michael Weber
University of Toulouse 1 - Toulouse School of Economics (TSE), Brandeis University and University of Chicago - Finance

Multiple version iconThere are 5 versions of this paper

Downloads 61
38.

Regulatory Spillovers in Common Audit Markets

Chicago Booth Research Paper No. 17-24, MIT Sloan Research Paper No. 5234-17
Number of pages: 48 Posted: 19 Aug 2017 Last Revised: 15 Mar 2019
Working Paper Series
Raphael Duguay, Michael Minnis and Andrew Sutherland
Yale School of Management, University of Chicago - Booth School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 503
39.

What Information Drives Asset Prices?

Chicago Booth Research Paper No. 17-23
Number of pages: 81 Posted: 09 Aug 2017
Working Paper Series
Anisha Ghosh and George M. Constantinides
Carnegie Mellon University and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 187
40.

Long-Horizon Returns

Chicago Booth Research Paper No. 17-17, Fama-Miller Working Paper
Number of pages: 28 Posted: 24 May 2017 Last Revised: 21 Nov 2017
Working Paper Series
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 2,070
41.

Prices and Promotions in U.S. Retail Markets: Evidence from Big Data

Chicago Booth Research Paper No. 17-18
Number of pages: 90 Posted: 19 May 2017 Last Revised: 20 Aug 2019
Working Paper Series
Günter J. Hitsch, Ali Hortacsu and Xiliang Lin
University of Chicago - Booth School of Business, University of Chicago - Department of Economics and University of Chicago - Booth School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 865
42.

Time-Varying Lower Bound of Interest Rates in Europe

Chicago Booth Research Paper No. 17-06
Number of pages: 41 Posted: 05 Apr 2017
Working Paper Series
Jing Cynthia Wu and Fan Dora Xia
University of Notre Dame - Department of Economics and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 760
43.

Efficient Estimation of Integrated Volatility Functionals via Multiscale Jackknife

Chicago Booth Research Paper No. 17-05
Number of pages: 31 Posted: 28 Mar 2017 Last Revised: 18 Apr 2018
Working Paper Series
Jia Li, Yunxiao Liu and Dacheng Xiu
Duke University, University of North Carolina (UNC) at Chapel Hill and University of Chicago - Booth School of Business
Downloads 51
44.

Taming the Factor Zoo: A Test of New Factors

Fama-Miller Working Paper, Chicago Booth Research Paper No. 17-04
Number of pages: 75 Posted: 20 Mar 2017 Last Revised: 29 Jul 2019
Working Paper Series
Guanhao Gavin Feng, Stefano Giglio and Dacheng Xiu
City University of Hong Kong (CityUHK), Yale School of Management and University of Chicago - Booth School of Business
Downloads 2,952
45.

Earnings, Retained Earnings, and Book-to-Market in the Cross Section of Expected Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 66 Posted: 01 Mar 2017 Last Revised: 20 Jan 2019
Accepted Paper Series
Ray Ball, Joseph Gerakos, Juhani T. Linnainmaa and Valeri V. Nikolaev
University of Chicago - Booth School of Business, Tuck School of Business at Dartmouth College, Dartmouth College - Tuck School of Business and University of Chicago Booth School of Business
Downloads 1,773
46.

Knowing Factors or Factor Loadings, or Neither? Evaluating Estimators of Large Covariance Matrices with Noisy and Asynchronous Data

Chicago Booth Research Paper No. 17-02
Number of pages: 61 Posted: 23 Feb 2017 Last Revised: 01 Nov 2017
Working Paper Series
Chaoxing Dai, Kun Lu and Dacheng Xiu
University of Chicago - Booth School of Business, Princeton University and University of Chicago - Booth School of Business
Downloads 166
47.

Political Cycles and Stock Returns

Chicago Booth Research Paper No. 17-01, Fama-Miller Working Paper
Number of pages: 41 Posted: 01 Feb 2017 Last Revised: 28 May 2019
Working Paper Series
Lubos Pastor and Pietro Veronesi
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 1,427
48.

Grocery Store Density and Food Waste

Chicago Booth Research Paper No. 16-23
Number of pages: 42 Posted: 28 Dec 2016 Last Revised: 11 May 2019
Working Paper Series
Elena Belavina
Cornell SC Johnson College of Business
Downloads 412
49.

Leverage

Columbia Business School Research Paper No. 17-1
Number of pages: 50 Posted: 01 Dec 2016 Last Revised: 23 Dec 2018
Working Paper Series
Tano Santos and Pietro Veronesi
Columbia Business School and University of Chicago - Booth School of Business
Downloads 155
50.

Asset Pricing with Omitted Factors

Chicago Booth Research Paper No. 16-21
Number of pages: 39 Posted: 08 Nov 2016 Last Revised: 17 Sep 2019
Working Paper Series
Stefano Giglio and Dacheng Xiu
Yale School of Management and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 592