-
作者：Fishe, RPH
作者单位：University of Miami
摘要：Based on a sample of 126 recently promoted faculty, different standards for full professor are observed between top 20 finance departments and lower ranked departments. Full professors affiliated with a top 20 department place an average of 1 out of 3 articles in either Journal of Finance, Review of Financial Studies, or Journal of Financial Economics compared to 1 out of 6 articles for professors at lower-ranked schools. Total citations and cites per year are also significantly different betw...
-
作者：Tufano, P
作者单位：Harvard University
摘要：This paper studies the exposure of North American gold mining firms to changes in the price of gold. The average mining stock moves 2 percent for each 1 percent change in gold prices, but exposures vary considerably over time and across firms. As predicted by valuation models, gold firm exposures are significantly negatively related to the firm's hedging and diversification activities and to gold prices and gold return volatility, and are positively related to firm leverage. Simple discounted ...
-
作者：Odean, T
作者单位：University of California System; University of California Davis
摘要：People are overconfident. Overconfidence affects financial markets. How depends on who in the market is overconfident and on how information is distributed. This paper examines markets in which price-taking traders, a strategic-trading insider, and risk-averse marketmakers are overconfident. Overconfidence increases expected trading volume, increases market depth, and decreases the expected utility of overconfident traders. Its effect on volatility and price quality depend on who is overconfid...
-
作者：Kumar, R; Sarin, A; Shastri, K
作者单位：Virginia Polytechnic Institute & State University; Santa Clara University; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：We find that option listings are associated with a decrease in the variance of the pricing error, a decrease in the adverse selection component of the spread, and an increase in the relative weight placed by the specialist on public information in revising prices for the underlying stocks. We also find that there is a decrease in the spread and increases in quoted depth, trading volume, trading frequency, and transaction size after option listings. Overall, our results suggest that option list...
-
作者：Dichev, ID
作者单位：University of Michigan System; University of Michigan
摘要：Several studies suggest that a firm distress risk factor could be behind the size and the book-to-market effects. A natural proxy for firm distress is bankruptcy risk. If bankruptcy risk is systematic, one would expect a positive association between bankruptcy risk. and subsequent realized returns. However, results demonstrate that bankruptcy risk is not rewarded by higher returns. Thus, a distress factor is unlikely to account for the size and book-to-market effects. Surprisingly, firms with ...
-
作者：Kahn, C; Winton, A
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Northwestern University
摘要：An institution holding shares in a firm can use information about the firm both for trading (speculation) and for deciding whether to intervene to improve firm performance. Intervention increases the value of the institution's existing shareholdings, but intervention only increases the institution's trading profits if it enhances the precision of the institution's information relative to that of uninformed traders. Thus, the ability to speculate can increase or decrease institutional intervent...
-
作者：Pagano, M; Panetta, F; Zingales, L
作者单位：University of Salerno; National Bureau of Economic Research; University of Chicago
摘要：Using a large database of private firms in Italy, we analyze the determinants of initial public offerings (IPOs) by comparing the ex ante and ex post characteristics of IPOs with those of private firms. The likelihood of an IPO is increasing in the company's size and the industry's market-to-book ratio. Companies appear to go public not to finance future investments and growth, but to rebalance their accounts after high investment and growth. IPOs are also followed by lower cost of credit and ...
-
作者：Odean, T
作者单位：University of California System; University of California Davis
摘要：I test the disposition effect, the tendency of investors to hold losing investments too long and sell winning investments too soon, by analyzing trading records for 10,000 accounts at a large discount brokerage house. These investors demonstrate a strong preference for realizing winners rather than losers. Their behavior does not appear to be motivated by a desire to rebalance portfolios, or to avoid the higher trading costs of low priced stocks. Nor is it justified by subsequent portfolio per...
-
作者：Sirri, ER; Tufano, P
作者单位：Harvard University; U.S. Securities & Exchange Commission (SEC)
摘要：This paper studies the flows of funds into and out of equity mutual funds. Consumers base their fund purchase decisions on prior performance information, but do so asymmetrically, investing disproportionately more in funds that performed very well the prior period. Search costs seem to be an important determinant of fund flows. High performance appears to be most salient for funds that exert higher marketing effort, as measured by higher fees. Flows are directly related to the size of the fund...
-
作者：Gandar, JM; Dare, WH; Brown, CR; Zuber, RA
作者单位：University of North Carolina; University of North Carolina Charlotte; Massey University; Texas State University System; Texas State University San Marcos
摘要：This paper examines betting line changes from the opening to the closing of the point spread betting market on National Basketball Association games for evidence of informed trader betting. We show that within-betting period line changes significantly improve the accuracy of betting lines as forecasts of game outcomes. We examine individual line change magnitudes and show that these are directly and proportionately related to biases in opening lines. Further, line changes are of sufficient mag...
