The Role of the Media in the Internet IPO Bubble
We read all news items that came out between 1996 and 2000 on 458 internet IPOs and a matching sample of 458 non-internet IPOs - a total of 171,488 news items - and classify each news item as good...
View ArticleFrom Cronies to Professionals: The Evolution of Family Firms
We develop a dynamic model where each generation in a family can continue operating its inherited production technology or it could hire a professional to do the same. Though the professional is more...
View ArticleWhen No Law is Better than a Good Law
This paper argues, both theoretically and empirically, that sometimes no securities law may be better than a good securities law that is not enforced. The first part of the paper formalizes the...
View ArticleThe Global Rise of the Value-Weighted Portfolio
We do three things in this paper. We first develop a metric to measure the popularity of the value-weighted portfolio in a stock market. We use our metric to document that, though the value-weighted...
View ArticleThe Home Court Advantage in International Corporate Litigation
Using a comprehensive sample of 2,361 public U.S. corporate defendants and 715 public foreign corporate defendants in U.S. federal courts in the period 1995-2000, we find that the market reaction at...
View ArticleThe Role of the Media in the Launch of Internet Ipos
We document that there was media hype about internet stocks during the bubble. However, the media hype about internet stocks during the bubble was discounted: though the media coverage positively...
View ArticleThe Role of the Media in the Launch of Internet Ipos
We document that there was media hype about internet stocks during the bubble. However, the media hype about internet stocks during the bubble was discounted: though the media coverage positively...
View ArticleThe Home Court Advantage in International Corporate Litigation
Using a comprehensive sample of 2,361 public U.S. corporate defendants and 715 public foreign corporate defendants in U.S. federal courts in the period 1995-2000, we find that the market reaction at...
View ArticleEnforcement and its Impact on Cost of Equity and Liquidity of the Market
Theory suggests that enforcement of securities laws is important. If securities laws are not enforced, outside investors will doubt whether they will get their money back with a fair return. So outside...
View ArticleIs CEO Certification of Earnings Numbers Value-Relevant?
On June 27, 2002, the Securities and Exchange Commission of the United States ordered the CEOs and CFOs of 688 large firms to certify the earnings numbers of their companies by 5:30PM EST, August 14,...
View ArticleMelting Pot or Salad Bowl: Some Evidence from U.S. Investments Abroad
We estimate the number of immigrants in the United States classified by their country of origin from census data in 1970, 1980, 1990 and 2000. We find, both in cross-sectional tests and in panel data...
View ArticleThe Role of the Media in the Internet IPO Bubble
We read all news items that came out between 1996 and 2000 on 458 internet IPOs and a matching sample of 458 non-internet IPOs - a total of 171,488 news items - and classify each news item as good...
View ArticleThe Causes and Consequences of Recent Financial Market Bubbles: An Introduction
On August 12-13, 2005, the department of finance at the Kelley School of Business, Indiana University collaborated with the Review of Financial Studies to host a conference titled "The Causes and...
View ArticleThe Causes and Consequences of Recent Financial Market Bubbles: An Introduction
On August 12-13, 2005, the department of finance at the Kelley School of Business, Indiana University collaborated with the Review of Financial Studies to host a conference titled 'The Causes and...
View ArticleThe Causes and Consequences of Recent Financial Market Bubbles: An Introduction
On August 12-13, 2005, the department of finance at the Kelley School of Business, Indiana University, collaborated with the Review of Financial Studies to host a conference titled The Causes and...
View ArticlePenny Wise, Dollar Foolish: The Left-Digit Effect in Security Trading
The left-digit effect is defined as when a change in the left-most digit of a price (e.g., 7 to 6 when $7.00 drops to $6.99) dramatically affects the perception of the magnitude. Using a random sample...
View ArticleDo They Do It For The Money?
Using a sample of all top management who were indicted for illegal insider trading in the United States for trades during the period 1989-2002, we explore the economic rationality of this white-collar...
View ArticleDo Japanese CEOS Matter?
In a country where individualism is emphasized less than in Western countries, we ask whether the CEO (shacho) of a Japanese corporation positively affects firm performance. To answer this question, we...
View ArticleWhen No Law is Better Than a Good Law
This paper argues, both theoretically and empirically, that sometimes no securities law may be better than a good securities law that is not enforced. The first part of the paper formalizes the...
View ArticleWhen No Law is Better than a Good Law
This paper argues, both theoretically and empirically, that sometimes no securities law may be better than a good securities law that is not enforced. The first part of the paper formalizes the...
View ArticleThe Global Rise of the Value-Weighted Portfolio
We first develop a theory-based metric to judge the popularity of value-weighting in a stock market. We then use our metric to document that although value-weighting is less popular in emerging markets...
View ArticlePenny Wise, Dollar Foolish: Buy-Sell Imbalances On and Around Round Numbers
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...
View ArticleFirm Mortality and Natal Financial Care
We construct a mortality table for U.S. public companies during 1985–2006. We find that firms’ age-specific mortality rates initially increase, peaking at age three, and then decrease with age,...
View ArticleConflicting Family Values in Mutual Fund Families
We analyze the investment behavior of affiliated funds of mutual funds (AFoMFs), which are mutual funds that can only invest in other funds in the family, and are offered by most large families. Though...
View ArticleIs Unbiased Financial Advice To Retail Investors Sufficient? Answers from a...
Working with one of the largest brokerages in Germany, we record what happens when unbiased investment advice is offered to a random set of roughly 8,000 of the brokerage’s several hundred thousand...
View ArticleIs Unbiased Financial Advice to Retail Investors Sufficient? Answers from a...
Working with one of the largest brokerages in Germany, we record what happens when unbiased investment advice is offered to a random set of roughly 8,000 of the brokerage’s several hundred thousand...
View ArticleDo They Do It for the Money?
Using a sample of all top management who were indicted for illegal insider trading in the United States for trades during the period 1989-2002, we explore the economic rationality of this white-collar...
View ArticleAbusing ETFs
Using data from a large German brokerage, we find that individuals investing in passive exchange-traded funds (ETFs) do not improve their portfolio performance, even before transaction costs. Further...
View ArticleConflicting Family Values in Mutual Fund Families
We analyze the investment behavior of affiliated funds of mutual funds (AFoMFs), which are mutual funds that can only invest in other funds in the family, and are offered by most large families. Though...
View ArticleWhat's Hot in Finance? (2008-2012)
As in years past, to catalyze the students in my Ph.D. F798 class to think of finance ideas, I asked each one of them to read the abstracts of finance articles published in the last 5 years in JF, JFE,...
View ArticleFirm Mortality and Natal Financial Care
We construct a mortality table for U.S. public companies during 1985-2006. We find that firms’ age-specific mortality rates initially increase, peaking at age three, and then decrease with age,...
View ArticleInsider Trading Controversies: A Literature Review
Using the artifice of a hypothetical trial, this article presents the cases for and against insider trading. Both sides in the trial produce as evidence the salient points made in more than 100 years...
View ArticleWhat Affects Innovation More: Policy or Policy Uncertainty?
Motivated by a theoretical model, we examine for 43 countries whether it is policy or policy uncertainty that affects technological innovation more. Innovation activities, measured by patent based...
View ArticleFollow the Money: Investor Trading Around Investor-Paid Credit Rating Changes
Using institutional equity trading data, we find that a set of small institutional investors consistently follow credit ratings issued by an investor-paid rating agency in their trading decisions....
View ArticleDo Superstitious Traders Lose Money?
Do superstitious traders lose money? We answer this question in the context of trading in the Taiwan Futures Exchange, where we exploit the Chinese superstition that the number “8” is lucky and the...
View ArticleInsider Trading Controversies: A Literature Review
Using the artifice of a hypothetical trial, this article presents the cases for and against insider trading. Both sides in the trial produce as evidence the salient points made in more than 100 years...
View ArticleWhat's Hot in Finance (2011-2015)?
To catalyze my fourth-year Ph.D. students in the Hong Kong University of Science and Technology to think of new ideas after their comprehensive examinations, I asked each one of them to read the...
View ArticleRating on a Behavioral Curve
Sell-side analysts rate on a behavioral curve. Although they claim to use objective criteria (like expected raw, market-adjusted, or industry-adjusted returns), we find that, even after controlling for...
View ArticleSpillovers in Asset Prices: The Curious Case of Haunted Houses
Exploiting the unique institutional setting of Hong Kong’s real estate market, we uncover a curious ripple effect of haunted houses on the prices of nearby houses. Prices drop on average 19% for units...
View ArticleNominal Stock Price Anchors: A Global Phenomenon?
Weld, Michaely, Thaler, and Benartzi (2009) find that the average nominal U.S. stock price has been approximately $25 since the Great Depression. They report that this “nominal price fixation is...
View ArticleThe (Missing) Relation Between Announcement Returns and Value Creation
Acquisition announcement returns are widely considered market-based assessments of value creation. Unfortunately, the data do not support this conjecture. We show that commonly used and new measures of...
View ArticleSpillovers in Prices: The Curious Case of Haunted Houses
Exploiting the unique institutional setting of Hong Kong’s real estate market, we uncover a curious ripple effect of haunted houses on the prices of nearby houses. Prices drop on average 20% for units...
View ArticleDo Women Receive Worse Financial Advice?
We arranged for trained undercover men and women to pose as potential clients and visit all 65 local financial advisory firms in Hong Kong. At financial planning firms, but not at securities firms,...
View ArticleThe (Missing) Relation between Announcement Returns and Value Creation
Acquisition announcement returns are widely considered market-based assessments of value creation. Unfortunately, the data do not support this conjecture. We show that commonly used and new measures of...
View ArticleDo Women Receive Worse Financial Advice? An Audit Study in Hong Kong, China
We arranged for trained undercover men and women to pose as potential clients and visit all 65 local financial advisory firms in Hong Kong, China. At financial planning firms, but not at securities...
View ArticleThe Enforcement of Insider Trading Laws Around the World (1900-2022)
Economic theory suggests that sometimes the enforcement of insider trading laws may be more important than the existence of these laws. Is that true? I find that at the end of 2022: (1) Insider trading...
View ArticleBetting on the CEO
We study the extent to which active mutual funds bet on the CEO. We find unusual trading and exit rates in a CEO turnover month, particularly for raided CEOs, consistent with larger bets being placed...
View ArticlePolarization in Perceived Risk
Using customer data from a large fintech company offering “guaranteed” Euro certificates of deposits from various European banks, we document considerable heterogeneity in offered interest rates for...
View ArticleDo Women Receive Worse Financial Advice?
We arranged for trained undercover men and women to pose as potential clients and visit all 65 local financial advisory firms in Hong Kong. At financial planning firms, but not at securities firms,...
View ArticleRating on a Behavioral Curve
Sell-side analysts rate on a behavioral curve. Although they claim to use objective criteria (like expected raw, market-adjusted, or industry-adjusted returns), we find that, even after controlling for...
View Article
