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Biased Shorts: Stock Market Implications of Short Sellers’ Disposition Effect

Massa, Massimo; von Beschwitz, Bastian - C.E.P.R. Discussion Papers - 2015

We investigate whether short sellers are subject to the disposition effect using a novel dataset that allows to identify the weekly closing of short positions. Consistent with the disposition effect, the closing of short sale positions is strongly related to a proxy of Shortsale Capital Gains...

Persistent link: https://www.econbiz.de/10011252613

Gender and the Labor Market: What Have We Learned from Field and Lab Experiments?

Azmat, Ghazala; Petrongolo, Barbara - C.E.P.R. Discussion Papers - 2014

We discuss the contribution of the experimental literature to the understanding of both traditional and previously unexplored dimensions of gender differences and discuss their bearings on labor market outcomes. Experiments have offered new findings on gender discrimination, and while they have...

Persistent link: https://www.econbiz.de/10011083423

Getting Better or Feeling Better? How Equity Investors Respond to Investment Experience

Campbell, John Y; Ramadorai, Tarun; Ranish, Benjamin - C.E.P.R. Discussion Papers - 2014

Using a large representative sample of Indian retail equity investors, many of them new to the stock market, we show that both years of investment experience and feedback from investment returns have significant effects on investor behavior, favored stock styles, and performance. We identify two...

Persistent link: https://www.econbiz.de/10011084250

Disposition Matters: Volume, Volatility and Price Impact of Behavioural Bias

Goetzmann, William; Massa, Massimo - C.E.P.R. Discussion Papers - 2004

We test the market impact of the disposition effect. We rely on the Grinblatt and Han (2002) model and derive testable implications about the expected relationship between the preponderance of disposition investors in the market and stock volatility, return and trading volume. We use a large...

Persistent link: https://www.econbiz.de/10005791546

Reason, Emotion and Information Processing in the Brain

Brocas, Isabelle; Carrillo, Juan D - C.E.P.R. Discussion Papers - 2007

Building on evidence from neurobiology and neuroscience, we model the physiological limitations faced by individuals in the process of decision-making that starts with sensory perception and ends in action selection. The brain sets a neuronal threshold, observes whether the neuronal cell firing...

Persistent link: https://www.econbiz.de/10005656356

Limits to Arbitrage and Hedging: Evidence from Commodity Markets

Acharya, Viral V; Lochstoer, Lars; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2009

futures contracts. Their hedging demand is met by financial intermediaries who act as speculators, but are constrained in risk …-taking. Increases (decreases) in producers’ hedging demand (the risk-bearing capacity of speculators) increase the costs of hedging … 1980-2006, we show that producers’ hedging demand - proxied by their default risk - forecasts spot prices, futures prices …

Persistent link: https://www.econbiz.de/10005016244

Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy

Acharya, Viral V; Carpenter, Jennifer - C.E.P.R. Discussion Papers - 2002

stochastic. It then uses the results to explain the dynamics of hedging. Bankruptcy rules are important determinants of corporate … produce the same prices, they can have very different hedging implications. We show that empirical results on the relation …

Persistent link: https://www.econbiz.de/10005123555

On the Fundamentals of Self-Fulfilling Speculative Attacks

Burnside, Craig; Eichenbaum, Martin; Rebelo, Sérgio - C.E.P.R. Discussion Papers - 2000

This paper proposes a theory of twin banking-currency crises in which both fundamentals and self-fulfilling beliefs play crucial roles. Fundamentals determine whether crises will occur. Self-fulfilling beliefs determine when they occur. The fundamental that causes ‘twin crises’ is government...

Persistent link: https://www.econbiz.de/10005123877

Is Cash Negative Debt? A Hedging Perspective on Corporate Financial Policies

Acharya, Viral V; Almeida, Heitor; Campello, Murillo - C.E.P.R. Discussion Papers - 2005

will allocate cash flows into cash holdings if their hedging needs are high (i.e., if the correlation between operating … if their hedging needs are low. The empirical examination of debt and cash policies of a large sample of firms reveals … hedging needs have a strong propensity to save cash out of cash flows while leaving their debt positions unchanged. In …

Persistent link: https://www.econbiz.de/10005124183

Entrepreneurial Incentives in Stock Market Economies

Acharya, Viral V; Bisin, Alberto - C.E.P.R. Discussion Papers - 2002

A Capital Asset Pricing Model of a stock market economy is examined under different corporate governance structures in which the objectives of managers and entrepreneurs in choosing the risk composition of their firms' returns are not aligned with those of shareholders and investors because of...

Persistent link: https://www.econbiz.de/10005124325