Debunking Semi-Strong Market Efficiency
Contagious Speculation and a Cure for Cancer: A Nonevent that Made Stock Prices Soar Gur huberman and Tomer RegevA recent version of the paper can [...]
Evolution and the Overconfidence Phenomenon
Many have questioned why overconfidence might exist in human populations when it can lead to suboptimal outcomes such as wars or, say, financial collapse. Common [...]
Decision Fatigue
All of us are faced every day with a myriad of choices, but if you’re like me, you don’t spend much time thinking about how [...]
Mr. Market and Joe Pesci
We here at Turnkey Analyst are big fans of Ben Graham, and are stalwart believers in the enduring relevance of Graham’s famous character, Mr. Market, [...]
Textual Analysis and Trading Strategies
When is a Liability not a Liability? Textual Analysis, Dictionaries, and 10-Ks. Tim Loughran and Bill McDonald A published version of the paper can be [...]
Is Trading with Twitter only for Twits?
Tweets and Trades: The Information Content of Stock Microblogs Timm Sprenger and Isabell Welpe A version of the paper can be found here. Abstract: Microblogging [...]
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 [...]
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."
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.”