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Experience, Loss Aversion, Narrow Framing: Can We Explain the Empirical Evidence on Household Portfolio Choice Over the Life-Cycle? 经验、损失厌恶、窄框架:生命周期家庭投资组合选择的经验证据能否解释?
American Finance Association Meetings (AFA) Pub Date : 2012-08-02 DOI: 10.2139/ssrn.2012314
Jingjing Chai, R. Maurer
{"title":"Experience, Loss Aversion, Narrow Framing: Can We Explain the Empirical Evidence on Household Portfolio Choice Over the Life-Cycle?","authors":"Jingjing Chai, R. Maurer","doi":"10.2139/ssrn.2012314","DOIUrl":"https://doi.org/10.2139/ssrn.2012314","url":null,"abstract":"This paper examines the life-cycle impact of preference factors as experience, loss aversion, and narrow framing on explaining the empirical low stock market participation, low stock share conditional on participation, and positive relationships between financial wealth and participation as well as conditional stock share. With respect to these investment behaviors and to consumption pattern, assuming common preference parameters and the high historical equity risk premium, the results show a better explanatory power than the standard consumption based utility function. In addition, the model predicts high levels and slow withdrawal rates of financial wealth among elderly people, which are consistent with the empirical evidence. Moreover, the model predictions are robust to flexible labor supply and endogenous retirement age.","PeriodicalId":369344,"journal":{"name":"American Finance Association Meetings (AFA)","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127221981","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}
引用次数: 3
Analyst Disagreement and Aggregate Volatility Risk 分析师分歧与总波动率风险
American Finance Association Meetings (AFA) Pub Date : 2012-08-01 DOI: 10.2139/ssrn.1435177
A. Barinov
{"title":"Analyst Disagreement and Aggregate Volatility Risk","authors":"A. Barinov","doi":"10.2139/ssrn.1435177","DOIUrl":"https://doi.org/10.2139/ssrn.1435177","url":null,"abstract":"The paper explains why firms with high dispersion of analyst forecasts earn low future returns. These firms beat the CAPM in periods of increasing aggregate volatility and thereby provide a hedge against aggregate volatility risk. The aggregate volatility risk factor can explain the abnormal return differential between high and low disagreement firms. This return differential is higher for firms with abundant real options, and this fact can be explained by aggregate volatility risk. Aggregate volatility risk can also explain why the link between analyst disagreement and future returns is stronger for firms with high short-sale constraints.","PeriodicalId":369344,"journal":{"name":"American Finance Association Meetings (AFA)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131276543","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}
引用次数: 45
Restrictions on Allocation Discretion: Evidence from Clawbacks in Hong Kong IPOs 分配自由裁量权的限制:来自香港首次公开发行公司追回资金的证据
American Finance Association Meetings (AFA) Pub Date : 2012-07-23 DOI: 10.2139/ssrn.796433
Emmanuel Morales-Camargo
{"title":"Restrictions on Allocation Discretion: Evidence from Clawbacks in Hong Kong IPOs","authors":"Emmanuel Morales-Camargo","doi":"10.2139/ssrn.796433","DOIUrl":"https://doi.org/10.2139/ssrn.796433","url":null,"abstract":"The presence of both restricted and unrestricted, US-style, bookbuilt initial public offer (IPOs) in Hong Kong provides an ideal environment to test numerous underpricing models by simultaneously measuring the effects of allocation restrictions on the investment bankers' price discovery, underwriting, and distribution functions. While clawbacks, a set of allocation restrictions favoring retail investors not participating in the roadshow result in diminished and more expensive price discovery, they also reduce the investment bankers' dependence on institutional investors to dispose off IPO shares, resulting in lower underpricing. This favors models that highlight the importance of the underwriting function on underpricing, and shows that allocation restrictions can impact more than just price discovery. In addition, this study shows that individual investors can partially offset the loss of roadshow information caused by clawbacks, countering the idea that investment banks are unable to extract any pricing information from investors outside their list of roadshow regulars.","PeriodicalId":369344,"journal":{"name":"American Finance Association Meetings (AFA)","volume":"166 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132464827","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}
引用次数: 2
Short Selling and the Price Discovery Process 卖空和价格发现过程
American Finance Association Meetings (AFA) Pub Date : 2012-07-16 DOI: 10.2139/ssrn.972620
Ekkehart Boehmer, J. Wu
{"title":"Short Selling and the Price Discovery Process","authors":"Ekkehart Boehmer, J. Wu","doi":"10.2139/ssrn.972620","DOIUrl":"https://doi.org/10.2139/ssrn.972620","url":null,"abstract":"We show that stock prices are more accurate when short sellers are more active. First, in a large panel of NYSE-listed stocks, intraday informational efficiency of prices improves with greater shorting flow. Second, at monthly and annual horizons, more shorting flow accelerates the incorporation of public information into prices. Third, greater shorting flow reduces post-earnings-announcement drift for negative earnings surprises. Fourth, short sellers change their trading around extreme return events in a way that aids price discovery and reduces divergence from fundamental values. These results are robust to various econometric specifications, and their magnitude is economically meaningful. The Author 2012. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.","PeriodicalId":369344,"journal":{"name":"American Finance Association Meetings (AFA)","volume":"62 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114198787","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}
引用次数: 617
Misvaluing Innovation Misvaluing创新
American Finance Association Meetings (AFA) Pub Date : 2012-07-14 DOI: 10.2139/ssrn.1785454
Lauren Cohen, Karl B. Diether, Christopher J. Malloy
{"title":"Misvaluing Innovation","authors":"Lauren Cohen, Karl B. Diether, Christopher J. Malloy","doi":"10.2139/ssrn.1785454","DOIUrl":"https://doi.org/10.2139/ssrn.1785454","url":null,"abstract":"We demonstrate that a firm’s ability to innovate is predictable, persistent, and relatively simple to compute, and yet the stock market ignores the implications of past successes when valuing future innovation. We show that two firms that invest the exact same in research and development (R&D) can have quite divergent, but predictably divergent, future paths. Our approach is based on the simple premise that while future outcomes associated with R&D investment are uncertain, the past track records of firms may give insight into their potential for future success. We show that a long-short portfolio strategy that takes advantage of the information in past track records earns abnormal returns of roughly 11 percent per year. Importantly, these past track records also predict divergent future real outcomes in patents, patent citations, and new product innovations.","PeriodicalId":369344,"journal":{"name":"American Finance Association Meetings (AFA)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131451530","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}
引用次数: 223
Capital Structure, Product Market Dynamics, and the Boundaries of the Firm 资本结构、产品市场动态与企业边界
American Finance Association Meetings (AFA) Pub Date : 2012-07-02 DOI: 10.2139/ssrn.1767483
D. Hackbarth, Richmond Mathews, D. Robinson
{"title":"Capital Structure, Product Market Dynamics, and the Boundaries of the Firm","authors":"D. Hackbarth, Richmond Mathews, D. Robinson","doi":"10.2139/ssrn.1767483","DOIUrl":"https://doi.org/10.2139/ssrn.1767483","url":null,"abstract":"We study how interactions between nancing and investment decisions can shape rm boundaries in dynamic product markets. In particular, we model a new product market opportunity as a growth option and ask whether it is best exploited by a large incumbent rm (Integration) or by a separate, specialized rm (Non-Integration). Starting from a standard theoretical framework, in which value-maximizing corporate investment and nancing decisions are jointly determined, we show that Integration best protects assets in place value, while Non-Integration best protects the value of the growth option and maximizes nancial exibility. These forces drive dierent organizational equilibria depending on rm and product market characteristics. In particular, we show that increases in standard measures of cash ow risk predict exploitation of new opportunities by specialized rms, while increases in product market risk (i.e., the risk of preemption by competitors) predict exploitation by incumbents. We also show that alliances organized as licensing agreements or revenue sharing contracts sometimes better balance the dierent sources of value, and thus may dominate more traditional forms of organization. These key results arise from the dynamic interaction of the new opportunity’s option-like features with realistic competitive forces.","PeriodicalId":369344,"journal":{"name":"American Finance Association Meetings (AFA)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124276929","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}
引用次数: 39
Investor Horizons and Corporate Policies 投资者视野和公司政策
American Finance Association Meetings (AFA) Pub Date : 2012-06-27 DOI: 10.2139/ssrn.1491638
F. Derrien, D. Thesmar, Ambrus Kecskés
{"title":"Investor Horizons and Corporate Policies","authors":"F. Derrien, D. Thesmar, Ambrus Kecskés","doi":"10.2139/ssrn.1491638","DOIUrl":"https://doi.org/10.2139/ssrn.1491638","url":null,"abstract":"We study the effect of investor horizons on corporate behavior. We argue that longer investor horizons attenuate the effect of stock mispricing on corporate policies. Consistent with our argument, we find that when a firm is undervalued, greater long-term investor ownership is associated with more investment, more equity financing, and less payouts to shareholders. Our results do not appear to be explained by long-term investor self-selection, monitoring (corporate governance), or concentration (blockholdings). Our results are consistent with a version of market timing in which mispriced firms cater to the tastes of their short-term investors rather than their long-term investors.","PeriodicalId":369344,"journal":{"name":"American Finance Association Meetings (AFA)","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130905130","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}
引用次数: 157
Forecasting Interest Rates and Inflation: Blue Chip Clairvoyants or Econometrics? 预测利率和通货膨胀:蓝筹预言家还是计量经济学?
American Finance Association Meetings (AFA) Pub Date : 2012-06-20 DOI: 10.2139/SSRN.946667
Albert Lee Chun
{"title":"Forecasting Interest Rates and Inflation: Blue Chip Clairvoyants or Econometrics?","authors":"Albert Lee Chun","doi":"10.2139/SSRN.946667","DOIUrl":"https://doi.org/10.2139/SSRN.946667","url":null,"abstract":"This study examines the performance of the professional analysts in the Blue Chip Financial Forecasts vis-a-vis set of competing econometric benchmarks, including shrinkage versions that adjust for in-sample over-fit in improving out-of-sample performance. The individual participants perform the best overall for short horizon forecasts of short to medium term yields and inflation. Econometric models with shrinkage perform the best over longer horizons and maturities. Aggregating over a larger set of analysts improves inflation surveys while generally degrading interest rates surveys. We document predictability in the survey forecast errors, which exhibit substantial variability across di fferent economic episodes, and propose a new adjustment that can substantially improve the performance of the survey participants.","PeriodicalId":369344,"journal":{"name":"American Finance Association Meetings (AFA)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129939414","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}
引用次数: 26
Bank Competition and Stability: Cross-Country Heterogeneity 银行竞争与稳定性:跨国异质性
American Finance Association Meetings (AFA) Pub Date : 2012-06-11 DOI: 10.2139/ssrn.1711165
Thorsten Beck, Olivier De Jonghe, G. Schepens
{"title":"Bank Competition and Stability: Cross-Country Heterogeneity","authors":"Thorsten Beck, Olivier De Jonghe, G. Schepens","doi":"10.2139/ssrn.1711165","DOIUrl":"https://doi.org/10.2139/ssrn.1711165","url":null,"abstract":"This paper documents large cross-country variation in the relationship between bank competition and bank stability and explores market, regulatory and institutional features that can explain this variation. We show that an increase in competition will have a larger impact on banks’ fragility in countries with stricter activity restrictions, lower systemic fragility, better developed stock exchanges, more generous deposit insurance and more effective systems of credit information sharing. The effects are economically large and thus have important repercussions for the current regulatory reform debate.","PeriodicalId":369344,"journal":{"name":"American Finance Association Meetings (AFA)","volume":"92 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122756302","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}
引用次数: 881
Does the Director Labor Market Offer Ex Post Settling-Up for CEOs? The Case of Acquisitions 董事劳动力市场为ceo提供事后清算服务吗?收购案例
American Finance Association Meetings (AFA) Pub Date : 2012-06-06 DOI: 10.2139/ssrn.2022120
J. Harford, Robert J. Schonlau
{"title":"Does the Director Labor Market Offer Ex Post Settling-Up for CEOs? The Case of Acquisitions","authors":"J. Harford, Robert J. Schonlau","doi":"10.2139/ssrn.2022120","DOIUrl":"https://doi.org/10.2139/ssrn.2022120","url":null,"abstract":"We examine the rewards for experience and ability in the director labor market. We show that large acquisitions are associated with significantly higher numbers of subsequent board seats for the acquiring CEO, target CEO, and the directors. We also find that, in the case of acquisitions, experience is more important than ability. Both value-destroying and value-increasing acquisitions have significant and positive effects on a CEO's future prospects in the director labor market. In addition to increasing our understanding of the director labor market, these results suggest that the ex post settling-up incentives thought to exist in the director labor market are weak for acquisitions.","PeriodicalId":369344,"journal":{"name":"American Finance Association Meetings (AFA)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115145363","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}
引用次数: 139
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