This study constructs a novel measure that aims to capture face-to-face private communications between firm managers and sell-side analysts by mapping detailed, large-volume taxi trip records from New York City to the GPS coordinates of companies and brokerages. Consistent with earnings releases...

Consensus analyst target prices are widely available online at no cost to investors. In this paper we consider whether these consensus target prices are informative for predicting future returns. We find that when considered in isolation, consensus target prices are not generally informative...

We use a proprietary dataset to test the implications of several asymmetric information models on how short-lived private information affects trading strategies and liquidity provision. Our identification rests on information acquisition before analyst recommendations are publically announced....

Yes. Chung, Lee, and Rösch (2020) show that liquidity for large orders improves for the treated firms with larger tick sizes after the implementation of the Tick Size Pilot Program. Accordingly, we hypothesize and find that the increased tick sizes of treated firms reduce execution costs of...

In recent years, U.S. government entities have become increasingly active as commercial participants in corporate restructurings by providing rescue loans when private market funding is unavailable. Like private lenders, the government can effectively control the operations of distressed...

This paper studies whether and why algorithmic traders exhibit one of the most broadlydocumented behavioral puzzles - the disposition effect. We use trade data from the NASDAQ Copenhagen Stock Exchange merged with the weather data. We find that on average, the disposition effect for human...

We study earnings per share (EPS) forecast revision and accuracy of banking analysts around operational risk event announcements in U.S. banks. We find that first announcements of operational risk events are more informative than their settlement announcements. Optimistic banking analysts revise...

We explore the effects of fundamental extrapolation on stock returns. Empirically, we propose a novel approach to extrapolate firms' fundamental information and find that a strategy based on fundamental extrapolation earns an average return of 0.80% per month. Theoretically, we show that...

We present evidence of first impression bias among finance professionals in the field. Equity analysts' forecasts, target prices, and recommendations suffer from first impression bias. If a firm performs particularly well (poorly) in the year before an analyst follows it, that analyst tends to...

Using proprietary data from a major fund data provider, we analyze the screening activity of investment consultants (ICs) who advise institutional investors with trillions of dollars in assets. We find that ICs frequently shortlist funds using threshold screens clustered at round, base 5 or base...