Asset Growth Across Countries
A new working paper investigates the asset growth anomaly across multiple countries and finds that the effect is fairly robust. Here is the link to [...]
Don’t Short Sell the Value of Fundamentals!
The Role of Fundamental Analysis in Information Arbitrage: Evidence from Short Seller Recommendations Hemang Desai, Srinivasan Krishnamurthy and Kumar Venkataraman A version of the paper [...]
Dual-Class Shares: A First-Class Strategy
Mispricing of Dual-Class Shares: Profit Opportunities, Arbitrage, and Trading Paul H. Schultz and Sophia Shive A version of the paper can be found here. We maintain [...]
Disasters and Investing
Sentiment and Stock Prices: The Case of Aviation Disasters Guy Kaplanski and Kaim Levy A version of the paper can be found here. Abstract: Behavioral economic [...]
The Good News in Short Interest
http://www.reuters.com/article/2011/02/10/us-shortsellers-study-idUSTRE71973620110210
Talking Your Book–Make it Part of Your Investment Program
"We study how professional investors use social networks to impound price-relevant information into asset prices. Exploiting novel data from an online social network that facilitates information sharing among fund managers, we find that long (short) recommendations released into the private network generate cumulative abnormal returns of 3.61% (-4.90%) over a twenty-day window. These results suggest that social networks play a direct role in facilitating the price discovery process."
Kenyan Sex Markets and Behavioral Finance
"Though formal and informal sex work has long been identified as crucial for the spread of HIV/AIDS, the nature of the sex-for-money market remains poorly understood. Using a unique panel dataset constructed from 192 self-reported diaries, we find that women who engage in transactional sex substantially increase their supply of risky, better compensated sex to cope with unexpected health shocks, particularly the illness of another household member. These behavioral responses entail significant health risks for these women and their partners, and suggest that these women are unable to cope with risk through other consumption smoothing mechanisms."
The Asset Growth Effect in Stock Returns
The Asset Growth Effect in Stock Returns Michael Cooper, Huseyin Gulen, and Michael Schill A version of the paper can be found here. Abstract: We [...]
Labor Unions are Hazardous to Your Wealth!
Long-Run Impacts of Unions on Firms: New Evidence from Financial Markets, 1961-1999 David S. Lee & Alexandre Mas A version of the paper can be [...]
Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers
Discussion: In the academic literature, the highest book-to-market portfolio (value portfolio) has created controversy. On one hand, efficient market theorists believe the "value portfolio" outperforms the market because the portfolio is fundamentally riskier than the broader market. A pile of academic evidence suggests that this "market efficiency" hypothesis is correct.
The Other Side of Value
The Other Side of Value Robert Novy-Marx A version of the paper can be found here. (sorry, I couldn't find a free link to the source paper). [...]
Customer-Base Concentration: Implications for Firm Performance and Capital Markets
Customer-Base Concentration: Implications for Firm Performance and Capital Markets Panos N. Patatoukas A version of the paper can be found here. Abstract: This paper investigates whether [...]
Hot off the JFE Press: Maxing Out…your returns?
Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns Turan G. Bali, Nusret Cakici, and Robert F. Whitelaw The Journal of Financial Economics, [...]
Investor Recognition and Stock Returns
“We analyze the relation between investor recognition and stock returns. Consistent with Merton’s (1987) theoretical analysis, we show that (i) contemporaneous stock returns are positively related to changes in investor recognition, (ii) future stock returns are negatively related to changes in investor recognition, (iii) the above relations are stronger for stocks with greater idiosyncratic risk and (iv) corporate investment and financing activities are both positively related to changes in investor recognition. Our results demonstrate that investor recognition is an important determinant of both stock returns and real corporate activity.” Abstract: “We analyze the relation between investor recognition and stock returns. Consistent with Merton’s (1987) theoretical analysis, we show that (i) contemporaneous stock returns are positively related to changes in investor recognition, (ii) future stock returns are negatively related to changes in investor recognition, (iii) the above relations are stronger for stocks with greater idiosyncratic risk and (iv) corporate investment and financing activities are both positively related to changes in investor recognition. Our results demonstrate that investor recognition is an important determinant of both stock returns and real corporate activity.”
Capacity Constraints, Profit Margins, and Stock Returns
Capacity Constraints, Profit Margins and Stock Returns Bjorn Jorgensen, Gil Sadka, and Jing Li. A recent version of the paper can be found here. Abstract: [...]