{"title":"Do Stock Price Bubbles Influence Corporate Investment?","authors":"Simon Gilchrist, C. Himmelberg, Gur Huberman","doi":"10.2139/ssrn.596613","DOIUrl":"https://doi.org/10.2139/ssrn.596613","url":null,"abstract":"Building on recent developments in behavioral asset pricing, we develop a model in which dispersion of investor beliefs under short-selling constraints drives a firm's stock price above its fundamental value. Managers optimally respond to the stock market bubble by issuing new equity. The bubble reduces the user-cost of capital and increase real investment. Using the variance of analysts' earnings forecasts as a proxy for the dispersion of investor beliefs, we find strong empirical support for the model's key prediction that increases in dispersion cause increases in new equity issuance, Tobin's Q, and real investment.","PeriodicalId":126614,"journal":{"name":"LSN: Experimental Studies (Topic)","volume":"485 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124417090","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Feedback and the Success of Irrational Investors","authors":"D. Hirshleifer, A. Subrahmanyam, S. Titman","doi":"10.2139/ssrn.422181","DOIUrl":"https://doi.org/10.2139/ssrn.422181","url":null,"abstract":"We provide a model in which irrational investors trade based upon considerations that have no inherent connection to fundamentals. However, trading activity affects market prices, and because of feedback from security prices to cash flows, the irrational trades influence underlying cash flows. As a result, irrational investors can, in some situations, earn positive expected profits. These expected profits are not market compensation for bearing risk, and can exceed the expected profits of rational informed investors. Although the trading of irrational investors cause prices to deviate from fundamental values, stock prices follow a random walk.","PeriodicalId":126614,"journal":{"name":"LSN: Experimental Studies (Topic)","volume":"160 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127229857","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"A Remark on the Guessing Game","authors":"Enrico G. De Giorgi, S. Reimann","doi":"10.2139/ssrn.425160","DOIUrl":"https://doi.org/10.2139/ssrn.425160","url":null,"abstract":"The Guessing Game on numbers between zero and N and with a non negative parameter is considered in a 1-shot setting with k levels of thinking. The model proposed is based on two assumptions: 1.) Players consider intervals rather than numbers, parametrized by a non negative parameter called the confidence parameter; 2.) Each player readjusts her guess successively during the sequence of iterations according to her recent belief. Under mild conditions, in this model the expected Winning Number is found to be different form zero and the \"classical\" result 17 is obtained for a quite wide interval of confidence, after 4 levels of thinking only. Further, if the confidence parameter has a skew distribution on [0,1], then we also obtain a skew distribution for the guessed number. This matched to the real data on the Guessing Game.","PeriodicalId":126614,"journal":{"name":"LSN: Experimental Studies (Topic)","volume":"38 6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129175497","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"An Empirical Investigation of Pre-Earnings Announcement Quiet Periods","authors":"Richard Frankel, P. Joos, Joseph P. Weber","doi":"10.2139/ssrn.304486","DOIUrl":"https://doi.org/10.2139/ssrn.304486","url":null,"abstract":"Previous research suggests legal liability as a strong determinant of corporate disclosure policies and the content of corporate disclosures. We study the influence of pre-earnings announcement quiet periods on legal liability and the affect of Regulation FD on corporation's use of quiet periods. The we provide evidence on three questions: First, we test whether quiet periods have become more prominent following the implementation of regulation FD. Second, we compare the characteristics of quiet period firms to firms making earnings forecasts after the fiscal-period-end. Third, we investigate how trading volume at and before earnings announcement dates differs between companies with quiet periods and companies making earnings forecasts after the fiscal-period-end. The purpose of these tests is to better understand the effect of legal liability on non-disclosure policies. We find a substantial increase in the number of reported quiet periods after implementation of FD requirements. We also find that quiet period firms have characteristics associated with higher litigation risk. Finally, we find that volume is significantly higher before and significantly lower at earnings announcement dates associated with quiet periods.","PeriodicalId":126614,"journal":{"name":"LSN: Experimental Studies (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117190242","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Who's Informed? An Analysis of Stock Ownership and Informed Trading","authors":"Patrick J. Dennis, J. Weston","doi":"10.2139/ssrn.267350","DOIUrl":"https://doi.org/10.2139/ssrn.267350","url":null,"abstract":"This paper examines the relationship between ownership structure and informed trading. We attempt to reconcile some puzzling results in recent empirical literature about the impact of ownership on informed trading using a comprehensive set of proxies for informed trading and a recent sample of firms from three U.S equity exchanges. As proxies for informed trading, we use four measures: (1) The relative spread, (2) the adverse selection component of the spread, constructed as in Huang and Stoll (1997), (3) the price impact of a trade, following Foster and Viswanathan (1993) and Hasbrouck (1991), and (4) the probability of informed trading constructed as in Easley, Kiefer, O'Hara and Paperman (1996). We find strong evidence of a cross-sectional relationship between our measures of informed trading and ownership by institutions and insiders. Our results are robust to a variety of estimation techniques, control variables, and proxies for informed trading. Overall, our results suggest that individual investors are less informed relative to institutions and insiders. These findings are consistent with economies of scale in information acquisition and aggregation, and with recent research that indicates that market makers move prices in response to trades by institutions.","PeriodicalId":126614,"journal":{"name":"LSN: Experimental Studies (Topic)","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129685962","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Determinants of Budgetary Slack in the Laboratory: An Investigation of Controls for Self-Interested Behavior","authors":"D. Stevens","doi":"10.2139/ssrn.219131","DOIUrl":"https://doi.org/10.2139/ssrn.219131","url":null,"abstract":"This study investigates determinants of budgetary slack using the framework of agency theory and the methods of experimental economics. A computerized, five-period experiment is designed to test the robustness of prior experimental results documenting budgeting behavior inconsistent with economic rationality and self-interest. Similar to prior experiments, pay scheme and information asymmetry are manipulated. In addition, a personality questionnaire and several questions on an exit questionnaire are included to test the effects of reputation and ethical concerns on budgetary slack. A two-way analysis of variance with pay scheme and information asymmetry as factors finds a significant effect for pay scheme, information asymmetry, and their interaction. By controlling social interactions and increasing subject experience, this study is able to document slack levels closer to agency predictions than prior experimental studies. Nevertheless, subjects given the slack-inducing pay scheme are found to restrict the amount of slack in their budgets below 100% (36% to 60% on average) and subjects given the truth-inducing pay scheme are found to build a small but significant amount of slack under most experimental conditions (3.2% to 4% on average). A regression analysis with non-pecuniary factors added to the model finds that budgetary slack is also reduced by reputation concerns, ethical concerns, and a measure of ethical responsibility from the personality questionnaire. This study is able to explain more of the variance in slack than prior studies using traditional agency variables alone.","PeriodicalId":126614,"journal":{"name":"LSN: Experimental Studies (Topic)","volume":"221 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122490155","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"The Psychology of Contract Precautions","authors":"David Hoffman, Tess Wilkinson‐Ryan","doi":"10.2139/ssrn.2000823","DOIUrl":"https://doi.org/10.2139/ssrn.2000823","url":null,"abstract":"This research tests the intuition that parties to a contract approach each other differently before the contract is formed than they do once it is finalized. We argue that one of the most important determinants of self-protective behavior is whether the promisee considers herself to be in negotiations or already in an ongoing contract relationship. That shift affects precaution-taking even when it has no practical bearing on the costs and benefits of self-protection: the moment of contracting is a reference point that frames the costs and benefits of taking precautions. We present the results of three questionnaire studies in which respondents indicate that they would be more likely to protect their own interests — by requesting a liquidated damages clause, by purchasing a warranty, or by shopping around to ensure the best deal — when the contract is not yet finalized than they would when they understand the agreement to be finalized. We discuss competing explanations for this phenomenon, including both prospect theory and cognitive dissonance. Finally, we explore some doctrinal implications for work on disclosure, modification, and promissory estoppel.","PeriodicalId":126614,"journal":{"name":"LSN: Experimental Studies (Topic)","volume":"91 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129828956","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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