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作者：Henderson, Vicky
作者单位：University of Oxford
摘要：There is a well-known intuition linking prospect theory with the disposition effect, the tendency of investors to sell assets that have risen in value rather than fallen. Recently, several authors have studied rigorous models in an attempt to formalize the intuition. However, some have found it difficult to predict a disposition effect while others produce a more extreme prediction where investors never voluntarily sell at a loss. We solve a model of asset liquidation where investors realize u...
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作者：Hribar, Paul; McInnis, John
作者单位：University of Iowa; University of Texas System; University of Texas Austin
摘要：We correlate analysts' forecast errors with temporal variation in investor sentiment. We find that when sentiment is high, analysts' forecasts of one-year-ahead earnings and long-term earnings growth are relatively more optimistic for uncertain or difficult-to-value firms. Adding these forecast errors to a regression of stock returns on sentiment absorbs a sizable fraction of the explanatory power of sentiment for the cross section of future returns. This finding provides direct support for th...
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作者：Hirshleifer, David; Hou, Kewei; Teoh, Siew Hong
作者单位：University of California System; University of California Irvine; University System of Ohio; Ohio State University
摘要：We document considerable return comovement associated with accruals after controlling for other common factors. An accrual-based factor-mimicking portfolio has a Sharpe ratio of 0.16, higher than that of the market factor or the SMB and HML factors of Fama and French. According to rational frictionless asset pricing models, the ability of accruals to predict returns should come from the loadings on this accrual factor-mimicking portfolio. However, our tests indicate that it is the accrual char...
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作者：Overby, Eric; Clarke, Jonathan
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：Despite the central role of arbitrage in finance and economic theory, there is limited evidence of the factors that create and eliminate arbitrage opportunities, how often arbitrage occurs, and how profitable it is. We address these gaps via a transaction-level analysis of spatial arbitrage in the wholesale automotive market. We investigate why arbitrage opportunities are created by analyzing how sellers choose where to sell vehicles. We find that the attention sellers pay to the distribution ...
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作者：Adams, Renee B.; Funk, Patricia
作者单位：University of New South Wales Sydney; Pompeu Fabra University
摘要：A large literature documents that women are different from men in their choices and preferences, but little is known about gender differences in the boardroom. If women must be like men to break the glass ceiling, we might expect gender differences to disappear among directors. Using a large survey of directors, we show that female and male directors differ systematically in their core values and risk attitudes, but in ways that differ from gender differences in the general population. These r...
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作者：Bang Dang Nguyen
作者单位：University of Cambridge
摘要：This paper investigates the impact of social ties on the effectiveness of boards of directors. When the chief executive officer (CEO) and a number of directors belong to the same social networks, the CEO is less likely to be dismissed for poor performance. The results are robust to different measures of performance and networks, and consistent after controlling for CEO ability and connected boards' superior information. Although being ousted is costly for all CEOs-who must then devote time to ...
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作者：Solnik, Bruno; Zuo, Luo
作者单位：Hong Kong University of Science & Technology; Hautes Etudes Commerciales (HEC) Paris; Massachusetts Institute of Technology (MIT)
摘要：We develop a global equilibrium asset pricing model assuming that investors suffer from foreign aversion, a preference for home assets based on familiarity. Using a utility formulation inspired by regret theory, we derive closed-form solutions. When the degree of foreign aversion is high in a given country, investors place a high valuation on domestic equity, which results in a low expected return. Thus, the model generates the simple prediction that a country's degree of home bias and the exp...
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作者：Green, T. Clifton; Hwang, Byoung-Hyoun
作者单位：Emory University; Purdue University System; Purdue University
摘要：We find that initial public offerings (IPOs) with high expected skewness experience significantly greater first-day returns. The skewness effect is stronger during periods of high investor sentiment and is related to differences in skewness across industries as well as to time-series variation in the level of skewness in the market. IPOs with high expected skewness earn more negative abnormal returns in the following one to five years. High expected skewness is also associated with a higher fr...
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作者：Bhattacharya, Utpal; Holden, Craig W.; Jacobsen, Stacey
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; Southern Methodist University
摘要：This paper provides evidence that stock traders focus on round numbers as cognitive reference points for value. Using a random sample of more than 100 million stock transactions, we find excess buying (selling) by liquidity demanders at all price points one penny below (above) round numbers. Further, the size of the buy-sell imbalance is monotonic in the roundness of the adjacent round number (i.e., largest adjacent to integers, second-largest adjacent to half-dollars, etc.). Conditioning on t...
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作者：Gilbert, Thomas; Kogan, Shimon; Lochstoer, Lars; Ozyildirim, Ataman
作者单位：University of Washington; University of Washington Seattle; University of Texas System; University of Texas Austin; Columbia University
摘要：We show that U.S. stock and Treasury futures prices respond sharply to recurring stale information releases: In particular, we identify a unique macroeconomic series-the U.S. Leading Economic Index (R) (LET)-which is released monthly and constructed as a summary statistic of previously released inputs. We show that a front-running strategy that trades S&P 500 futures in the direction of the announcement a day before its release and then trades in the opposite direction of the announcement foll...
