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Review of Finance
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#1Chi Liao (UM: University of Manitoba)
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#1Fuxiu Jiang (RUC: Renmin University of China)H-Index: 9
#2Kenneth A. Kim (UB: University at Buffalo)H-Index: 24
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#1Ekkehart Boehmer (Singapore Management University)H-Index: 25
#2Charles M. Jones (Columbia University)H-Index: 21
Last. Xiaoyan Zhang (Purdue University)H-Index: 16
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Using a five-year panel of proprietary NYSE short sale order data, we investigate the sources of short sellers’ informational advantage. Heavier shorting is found the week before negative earnings surprises, analyst downgrades, and downward revisions in analyst earnings forecasts. The biggest effects are associated with analyst downgrades. While earnings and analyst event days constitute only 12% of sample days, they account for over 24% of the overall underperformance of heavily shorted stocks....
23 CitationsSource
#1Christoph Merkle (Kühne Logistics University)H-Index: 6
We test the proposition that investors' ability to cope with financial losses is much better than they expect. In a panel survey with real investors from a large UK bank, we ask for subjective ratings of anticipated returns and experienced returns. The time period covered by the panel (2008-2010), with frequent losses and gains in the portfolios of investors, provides the required background to analyze the involved hedonic experiences. We examine how the subjective ratings behave relative to exp...
2 CitationsSource
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#1Paolo Fulghieri (UNC: University of North Carolina at Chapel Hill)H-Index: 19
#2Diego Garc (CU: University of Colorado Boulder)H-Index: 12
Last. Dirk Hackbarth (BU: Boston University)H-Index: 14
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In this paper we show that when growth options represent a significant component of overall firm value, equity financing can dominate (i.e., be less dilutive than) debt financing under asymmetric information. In particular, we find that equity is more likely to dominate debt for younger firms with larger investment needs and with riskier growth opportunities. Thus, our model can explain why high-growth firms may prefer equity over debt, and then switch to debt as they mature. We also fid that eq...
17 CitationsSource
Given the complexity of statutory disclosure (Beshears et al., 2011), we examine how the framing and balance in risk disclosure (e.g. vis-a-vis return information) and reference to regulatory approval of prospectuses in advertisements affect investor behavior. Using an experimental survey design with mock advertisements, we demonstrate that explicit risk disclosure increases investors’ risk perception by 5 percent, while balancing risk disclosure with other information decreases the search for a...
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#1Kewei Hou (OSU: Ohio State University)H-Index: 16
#2Haitao Mo (LSU: Louisiana State University)H-Index: 1
Last. Lu Zhang (NBER: National Bureau of Economic Research)H-Index: 23
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In the investment theory, firms with high expected investment growth earn higher expected returns than firms with low expected investment growth, holding investment and expected profitability constant. Building on cross-sectional growth forecasts with Tobin’s q, operating cash flows, and change in return on equity as predictors, an expected growth factor earns an average premium of 0.84% per month (t = 10.27) in the 1967–2018 sample. The q5 model, which augments the Hou-Xue-Zhang (2015) q-factor...
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Financial economics
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