NBER

Robert J. Richmond

Leonard N. Stern School of Business
Kaufman Management Center
44 West Fourth Street, 9-81
New York, NY 10012
Tel: 3036688773

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: New York University

NBER Working Papers and Publications

June 2020Which Investors Matter for Equity Valuations and Expected Returns?
with Ralph S. J. Koijen, Motohiro Yogo: w27402
Much work in finance is devoted to identifying characteristics of firms, such as measures of fundamentals and beliefs, that explain differences in asset prices and expected returns. We develop a framework to quantitatively trace the connection between valuations, expected returns, and characteristics back to institutional investors and households. We use it to analyze (i) what information is important to investors in forming their demand beyond prices and (ii) what is the relative importance of different investors—differentiated by type, size, and active share—in the price formation process. We first show that a small set of characteristics explains the majority of variation in a panel of firm-level valuation ratios across countries. We then estimate an asset demand system using investor-l...
April 2020International Trade and Social Connectedness
with Michael Bailey, Abhinav Gupta, Sebastian Hillenbrand, Theresa Kuchler, Johannes Stroebel: w26960
We use anonymized data from Facebook to construct a new measure of the pairwise social connectedness between 180 countries and 332 European regions. We find that two countries trade more with each other when they are more socially connected and when they share social connections with a similar set of other countries. The social connections that determine trade in each product are those between the regions where the product is produced in the exporting country and those where it is used in the importing country. Once we control for social connectedness, the estimated effect of geographic distance on trade declines substantially, and the effect of country borders disappears. Our findings suggest that social connectedness increases trade by reducing information asymmetries and by providing a ...
September 2017Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates
with Hanno Lustig: w23773
We relate the risk characteristics of currencies to measures of physical, cultural, and institutional distance. The currencies of countries which are more distant from other countries are more exposed to systematic currency risk. This is due to a gravity effect in the factor structure of bilateral exchange rates: When a currency appreciates against a basket of all other currencies, its bilateral exchange rate appreciates more against the currencies of distant countries. As a result, currencies of peripheral countries are more exposed to the systematic variation than currencies of central countries. Trade network centrality is the best predictor of a currency’s average exposure to systematic risk.

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