Julie Zhiyu Fu
@zhiyufu.bsky.social
finance AP @WUSTLbusiness | International Macro Finance| Asset Pricing
For avg stocks, the price impact bound ≈ 1 with a medium level of agreement (consistent with data).
To argue for a price impact less than 0.1, you really need investors to agree with each other for more than 99%!
To argue for a price impact less than 0.1, you really need investors to agree with each other for more than 99%!
September 22, 2025 at 3:27 PM
For avg stocks, the price impact bound ≈ 1 with a medium level of agreement (consistent with data).
To argue for a price impact less than 0.1, you really need investors to agree with each other for more than 99%!
To argue for a price impact less than 0.1, you really need investors to agree with each other for more than 99%!
For avg stocks, the price impact bound ≈ 1 with a medium level of agreement (consistent with data).
To argue for a price impact less than 0.1, you really need investors to agree with each other for more than 99%!
To argue for a price impact less than 0.1, you really need investors to agree with each other for more than 99%!
September 21, 2025 at 2:35 PM
For avg stocks, the price impact bound ≈ 1 with a medium level of agreement (consistent with data).
To argue for a price impact less than 0.1, you really need investors to agree with each other for more than 99%!
To argue for a price impact less than 0.1, you really need investors to agree with each other for more than 99%!
Traders all say the 10yr yield hike is due to basis trade unwinding. But unwinding has two legs: selling spot and buying future, so future should appreciate. But what we saw is that Treasury future price dropped as well (upper panel), actually pretty much in sync with the spot price (lower panel)
April 9, 2025 at 4:15 PM
Traders all say the 10yr yield hike is due to basis trade unwinding. But unwinding has two legs: selling spot and buying future, so future should appreciate. But what we saw is that Treasury future price dropped as well (upper panel), actually pretty much in sync with the spot price (lower panel)
4.3/ Finally, the idea that a Treasury sell-off by major foreign investors such as China may have strong yield-increasing effect is quite correct in the first decade of the 2000s but less so in recent years -- foreign investors do not contribute much to yield movements since 2015.
November 27, 2024 at 9:33 PM
4.3/ Finally, the idea that a Treasury sell-off by major foreign investors such as China may have strong yield-increasing effect is quite correct in the first decade of the 2000s but less so in recent years -- foreign investors do not contribute much to yield movements since 2015.
4.1/ We find little evidence supporting the conventional wisdom that foreigners are the major driver of "flight-to-Treasuries" during risk-off episodes. The pattern is evident even in the raw data, and with our model we can quantify the respective role of foreign & domestic investors.
November 27, 2024 at 9:33 PM
4.1/ We find little evidence supporting the conventional wisdom that foreigners are the major driver of "flight-to-Treasuries" during risk-off episodes. The pattern is evident even in the raw data, and with our model we can quantify the respective role of foreign & domestic investors.
4/ We can use the estimated system to decompose yield movements and study who and what factors move yields. Then we focus on several important investor groups and discuss three main findings:
November 27, 2024 at 9:33 PM
4/ We can use the estimated system to decompose yield movements and study who and what factors move yields. Then we focus on several important investor groups and discuss three main findings: