2 papers
q-fin.GN2022
Credit Information in Earnings Calls
Harry Mamaysky, Yiwen Shen, Hongyu Wu
We develop a novel technique to extract credit-relevant information from the text of quarterly earnings calls. This information is not spanned by fundamental or market variables an…
q-fin.PM2020
Wealth Effect on Portfolio Allocation in Incomplete Markets
Chenxu Li, Olivier Scaillet, Yiwen Shen
We develop a novel five-component decomposition of optimal dynamic portfolio choice, which reveals the simultaneous impacts from market incompleteness and wealth-dependent utilitie…