Yaron Levi
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View article: Social Interaction Intensity and Investor Behavior
Social Interaction Intensity and Investor Behavior Open
We document a causal effect of social interactions on investor behavior using the number of local soccer games as a measure of social interaction intensity.Social transmission is identifiable in buy but not sell trades.The effect of Social…
View article: Spending Less After (Seemingly) Bad News
Spending Less After (Seemingly) Bad News Open
Using high-frequency spending data, we show that household consumption displays excess sensitivity to salient macro-economic news, even when the news is not real.When the announced local unemployment rate reaches a 12-month maximum, local …
View article: Symmetric and Asymmetric Market Betas and Downside Risk
Symmetric and Asymmetric Market Betas and Downside Risk Open
Our paper explores whether a symmetric plain or an asymmetric down-beta is a better hedging measure (Roy 1952; Markowitz 1959). Unlike Ang, Chen, and Xing (2006) and Lettau, Maggiori, and Weber (2014), we find that the prevailing plain mar…
View article: Decision Fatigue and Heuristic Analyst Forecasts
Decision Fatigue and Heuristic Analyst Forecasts Open
Psychological evidence indicates that decision quality declines after an extensive session of decision-making, a phenomenon known as decision fatigue.We study whether decision fatigue affects analysts' judgments.Analysts cover multiple fir…
View article: Best Practice for Cost-of-Capital Estimates
Best Practice for Cost-of-Capital Estimates Open
Cost-of-capital assessments with factor models require quantitative forward-looking estimates. We recommend estimating Vasicek-shrunk betas with 1–4 years of daily stock returns and then shrinking betas a second time (and more for smaller …