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作者：Bloomfield, Robert J.; Tayler, William B.; Zhou, Flora (Hailan)
作者单位：Cornell University; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We report the results of three experiments based on the model of Hong and Stein (1999). Consistent with the model, the results show that when informed traders do not observe prices, uninformed traders generate long-term price reversals by engaging in momentum trade. However, when informed traders also observe prices, uninformed traders generate reversals by engaging in contrarian trading. The results suggest that a dominated information set is sufficient to account for the contrarian behavior ...
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作者：Cohen, Randolph B.; Polk, Christopher; Vuolteenaho, Tuomo
作者单位：Harvard University; University of London; London School Economics & Political Science
摘要：Most previous research tests market efficiency using average abnormal trading profits on dynamic trading strategies, and typically rejects the joint hypothesis of market efficiency and an asset pricing model. In contrast, we adopt the perspective of a buy-and-hold investor and examine stock price levels. For such an investor, the price level is more relevant than the short-horizon expected return, and betas of cash flow fundamentals are more important than high-frequency stock return betas. Ou...
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作者：Cicero, David C.
作者单位：University of Delaware
摘要：I identify three option exercise strategies executives engage in, including (i) exercising with cash and immediately selling the shares, (ii) exercising with cash and holding the shares, and (iii) delivering some shares to the company to cover the exercise costs and holding the remaining shares. Stock price patterns suggest executives manipulate option exercises. They use private information to increase the profitability of all three strategies, and likely backdated some exercise dates in the ...
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作者：Stango, Victor; Zinman, Jonathan
作者单位：University of California System; University of California Davis
摘要：Exponential growth bias is the pervasive tendency to linearize exponential functions when assessing them intuitively. We show that exponential growth bias can explain two stylized facts in household finance: the tendency to underestimate an interest rate given other loan terms, and the tendency to underestimate a future value given other investment terms. Bias matters empirically: More-biased households borrow more, save less, favor shorter maturities, and use and benefit more from financial a...
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作者：Malloy, Christopher J.; Moskowitz, Tobias J.; Vissing-Jorgensen, Annette
作者单位：Harvard University; University of Chicago; National Bureau of Economic Research; University of Chicago; Northwestern University; National Bureau of Economic Research
摘要：We provide new evidence on the success of long-run risks in asset pricing by focusing on the risks borne by stockholders. Exploiting microlevel household consumption data, we show that long-run stockholder consumption risk better captures cross-sectional variation in average asset returns than aggregate or nonstockholder consumption risk, and implies more plausible risk aversion estimates. We find that risk aversion around 10 can match observed risk premia for the wealthiest stockholders acros...
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作者：Schneider, Jan
作者单位：University of California System; University of California Los Angeles
摘要：A large number of empirical studies find that trading volume contains information about the distribution of future returns. While these studies indicate that observing volume is helpful to an outside observer of the economy it is not clear how investors within the economy can learn from trading volume. In this paper, I show how trading volume helps investors to evaluate the precision of the aggregate information in the price. I construct a model that offers a closed-form solution of a rational...
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作者：Baker, Malcolm; Greenwood, Robin; Wurgler, Jeffrey
作者单位：Harvard University; National Bureau of Economic Research; New York University
摘要：We propose and test a catering theory of nominal stock prices. The theory predicts that when investors place higher valuations on low-price firms, managers respond by supplying shares at lower price levels, and vice versa. We confirm these predictions in time-series and firm-level data using several measures of time-varying catering incentives. More generally, the results provide unusually clean evidence that catering influences corporate decisions, because the process of targeting nominal sha...
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作者：Li, C. Wei; Xue, Hui
作者单位：Louisiana State University System; Louisiana State University; Kansas State University
摘要：The acceleration of the U.S. productivity growth in the late 1990s suggests a significant advance in technological innovation, making the perceived probability of entering a new economy ever increasing. Based on macroeconomic data, we identify a Bayesian investor's belief evolution when facing a possible structural break in the economy. We show that such belief evolution plays a significant role in explaining both the stock market boom and crash during 1998 to 2001. We conclude that a rational...
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作者：Bekaert, Geert; Hodrick, Robert J.; Zhang, Xiaoyan
作者单位：Columbia University; National Bureau of Economic Research; Cornell University
摘要：We examine international stock return comovements using country-industry and country-style portfolios as the base portfolios. We first establish that parsimonious risk-based factor models capture the data covariance structure better than the popular Heston-Rouwenhorst (1994) model. We then establish the following stylized facts regarding stock return comovements. First, there is no evidence for an upward trend in return correlations, except for the European stock markets. Second, the increasin...
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作者：Edmans, Alex
作者单位：University of Pennsylvania
摘要：This paper analyzes how blockholders can exert governance even if they cannot intervene in a firm's operations. Blockholders have strong incentives to monitor the firm's fundamental value because they can sell their stakes upon negative information. By trading on private information (following the Wall Street Rule), they cause prices to reflect fundamental value rather than current earnings. This in turn encourages managers to invest for long-run growth rather than short-term profits. Contrary...
