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Attracting investor attention through advertising
Lou, Dong - London School of Economics (LSE) - 2013
This paper provides evidence that managers adjust firm advertising, in part, to attract investor attention and influence short-term stock returns. First, I show that increased advertising spending is associated with a contemporaneous rise in retail buying and abnormal stock returns, and is...
Persistent link: https://www.econbiz.de/10010745567
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Rational asset pricing implications from realistic trading frictions
Zigrand, Jean-Pierre - London School of Economics (LSE) - 2002
We study a simple rational expectations (RE) model whose asset pricing implications address some of the short-run mispricings, informational inefficiencies, and overreactions observed in real markets, without a need to resort to behavioral assumptions. We accomplish this by relying on the...
Persistent link: https://www.econbiz.de/10010746573
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Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world
Lleo, Sebastien; Ziemba, Bill - London School of Economics (LSE) - 2014
We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting from when he first used it in Japan in 1988 through to the present in 2014. The model has called many but not all crashes. Those called have high...
Persistent link: https://www.econbiz.de/10011170088
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Mark-to-market accounting and systemic risk: evidence from the insurance industry
Ellul, Andrew; Jotikasthira, Chotibhak; Lundblad, … - London School of Economics (LSE) - 2013
One of the most contentious issues raised during the recent crisis has been the potentially exacerbating role played by mark-to-market accounting. Many have proposed the use of historical cost accounting, promoting its ability to avoid the amplification of systemic risk. We caution against...
Persistent link: https://www.econbiz.de/10011171756
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Multi-asset noisy rational expectations equilibrium with contingent claims
Chabakauri, Georgy; Yuan, Kathy; Zachariadis, Konstantinos - London School of Economics (LSE) - 2014
We consider a noisy rational expectations equilibrium in a multi-asset economy populated by informed and uninformed investors, and noise traders. Informed investors privately observe an aggregate risk factor affecting the probabilities of different states of the economy. Uninformed investors...
Persistent link: https://www.econbiz.de/10011126052
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Does beta move with news?: Systematic risk and firm-specific information flows
Patton, Andrew J.; Verardo, Michela - London School of Economics (LSE) - 2009
. We employ intra-daily data and recent advances in econometric theory to obtain daily firm-level estimates of beta for all …
Persistent link: https://www.econbiz.de/10011071113
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Connected stocks
Anton, Miguel; Polk, Christopher - London School of Economics (LSE) - 2010
By connecting stocks through common active mutual fund ownership, we forecast cross-sectional variation in return covariance, controlling for similarity in style (in- dustry, size, value, and momentum), the extent of common analyst coverage, and other pair characteristics. We argue this...
Persistent link: https://www.econbiz.de/10011071342
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From fiction to fact: the impact of CEO social networks
Kirchmaier, Thomas; Stathopoulos, Konstantinos - London School of Economics (LSE) - 2008
two competing theories that predict contradictory outcomes. Following social network theory, one would expect a positive … relation between social networks and firm performance, while agency theory in general and Bebchuk’s managerial power approach …, which is in line with the social network theory. Still, we find evidence in support of the argument that well-connected CEOs …
Persistent link: https://www.econbiz.de/10010884592
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Corporate ownership structure and performance in Europe
Grant, Jeremy; Kirchmaier, Thomas - London School of Economics (LSE) - 2004
In this paper, we show that ownership structures vary considerably across Europe, and that the dominant form of ownership is not necessarily the most efficient one. These findings are in contradiction to similar research based on US samples. The results also demonstrate that firms without a...
Persistent link: https://www.econbiz.de/10010884735
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Differential merger effects: the case of the personal computer industry
Genakos, Christos D. - London School of Economics (LSE) - 2004
This paper examines how information on the purchasing patterns of different customer segments can be used to more accurately evaluate the economic impact of mergers. Using a detailed dataset for the leading manufacturers in the US during the late nineties, I evaluate the welfare effects of the...
Persistent link: https://www.econbiz.de/10010928622